Appropriate lag specification for daily responses of international stock markets

Yoshiro Tsutsui () and Kenjiro Hirayama ()

Applied Financial Economics, 2004, vol. 14, issue 14, 1017-1025

Abstract: This paper explores the international linkage of stock prices, using daily stock price indices of the four major economies (USA, UK, Germany, and Japan) from June 1974 to December 1997. It is argued that previous studies have not estimated the structural equation system reflecting the sequential occurrence of market closing, which is crucial in investigating the characteristics of daily responses among international stock markets. By estimating the structural equation system, it is found that the most recent market has the strongest effect, except for the case of Japanese effects on the German market.

Date: 2004
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/0960310032000056735 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apfiec:v:14:y:2004:i:14:p:1017-1025

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20

DOI: 10.1080/0960310032000056735

Access Statistics for this article

Applied Financial Economics is currently edited by Anita Phillips

More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().