Transmission of movements in stock markets
Javier Quesada () and
Ezequiel Uriel ()
The European Journal of Finance, 1998, vol. 4, issue 4, 331-343
The paper analyses the relationships between three stock markets: New York, Tokyo and Frankfurt. The non-simultaneity of the trading times in these three markets determines the results of cross-correlations and regressions with daily returns. To cope with this and other problems, an empirical model is proposed and estimated. This model allows the separation of the ability to influence and the sensitivity of the different markets, and New York is found to be the most influential market, with Tokyo the most sensitive.
Keywords: International; Linkages; Stock; Markets; Transmission; Of; Movements (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:taf:eurjfi:v:4:y:1998:i:4:p:331-343
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