Common stochastic trends and the dynamic linkages driving european stock markets: evidence from pre- and post-october 1987 crash eras

Rumi Masih, A. Mansur and M. Masih
Authors registered in the RePEc Author Service: Abul Mansur Mohammed Masih

The European Journal of Finance, 2004, vol. 10, issue 1, 81-104

Abstract: Given the impact of the October 1987 crash pre-empting fears of a deep-seated financial collapse, there is now much scope for assessing its importance quantitatively. In this paper, time series techniques are used to analyse the dynamic linkages and propagation of shocks among five European stock markets. While we do not find any long-run relationship of stock markets over the entire sample ped, evidence is found in support of a unique cointegrating vector over each of the pre- and post-crash samples. Furthermore, the dynamic analysis reveals that the lead-lag relationships changed quite significantly over the sample following the crash.

Keywords: Stock price index; Pre/post crash; Granger temporal causality; Cointegration; Vector error-correction model; Variance decomposition; Impulse response function (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (6)

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DOI: 10.1080/13518470110040591

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