TRANSMISSION OF INFORMATION BETWEEN STOCK MARKETS

Ezequiel Uriel (), Javier Quesada () and Amado Peiró Giménez
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Amado Peiró Giménez: Universitat de València

Working Papers. Serie EC from Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie)

Abstract: Este trabajo analiza el efecto del precio de las acciones extranjeras enlos mercados nacionales. El método que aquí se propone identifica, para cadauno de los mercados estudiados, dos elementos distintos hasta ahora nodiferenciados: primero, la importancia de un mercado atribuible a suscaracterísticas intrínsecas, que deben ser las mismas independientemente delmercado que recibe la influencia. Segundo, la sensibilidad del índice bursátila las variaciones de precio observadas en los mercados precedentes. Unanálisis empírico de los índices de las bolsas de Tokio, Frankfurt y NuevaYork, permite cualificar de forma significativa los resultados existentes enla literatura. This paper analyzes the effect of foreign stock price movements ondomestic markets. The method we propose identifies, for each market in thesample, two different elements which have not been separated as yet: first,the importance of one market attributable to its intrinsic characteristics,which must be the same independently of the market receiving the influence.Second, how sensitive is the market index to the price variation observed inthe preceding markets. An empirical analysis of the Tokyo, Frankfurt and NewYork stock market indexes provided meaningful qualifications to existingresults.

Pages: 28 pages
Date: 1993-12
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Persistent link: https://EconPapers.repec.org/RePEc:ivi:wpasec:1993-07

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