EconPapers    
Economics at your fingertips  
 

International correlation structure of financial market movements - the evidence from the UK and the US

Arnold Cheng

Applied Financial Economics, 1998, vol. 8, issue 1, 1-12

Abstract: This paper provides new empirical evidence on the international transmission mechanism of the UK and the US stock market movements and the relationship between the UK and the US economic indicators by using factor analytic approach and canonical correlation analysis. The results show that the UK and the US economies are closely related. The US economic cycle seems to lead those in the UK, as the US economy is more influential than the UK economy. This is in accordance with the results supporting high international integration between the UK and the US stock markets. There seems to be a statistically significant relation between the UK and the US stocks. Significant evidence for feedback relationships between the two stock markets is also found. Overall, support is offered to the finding that the US financial market and US economy seem to have more effect on the behaviour of the UK counterpart than vice versa.

Date: 1998
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/096031098333195 (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:8:y:1998:i:1:p:1-12

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

DOI: 10.1080/096031098333195

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 ().

 
Page updated 2025-03-20
Handle: RePEc:taf:apfiec:v:8:y:1998:i:1:p:1-12