The International Price Transmission in Stock Index Futures Markets.
This study explores dynamic price relationships among nine major stock index futures markets, combining an error-correction model with directed acyclic graph (DAG) analysis. DAG-based innovation accounting results show that the Japanese market is isolated from other major stock index futures markets...
| Publicado en: | Economic Inquiry Vol. 42; no. 3; pp. 370 - 387 |
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| Autores principales: | , |
| Formato: | Artículo |
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Wiley-Blackwell
July 2004
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| Acceso en línea: | Ver este registro en EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=ssf&AN=510365438&site=ehost-live header: @attributes: shortDbName: ssf uiTerm: 510365438 longDbName: Social Sciences Full Text (H.W. Wilson) uiTag: AN controlInfo: bkinfo: jinfo: jid: 00952583 EIQ jtl: Economic Inquiry issn: 00952583 maglogo: N pubinfo: dt: July 2004 vid: 42 iid: 3 pid: 480 pub: Wiley-Blackwell artinfo: ui: 510365438 10.1093/ei/cbh067 ppf: 370 ppct: 17 formats: fmt: – @attributes: type: T – @attributes: type: P size: 1.3MB tig: atl: The International Price Transmission in Stock Index Futures Markets. aug: au: Yang, Jian Bessler, David A. su: Mathematical models Stock index futures Stock exchanges sug: subj: Mathematical models Stock index futures Stock exchanges keyword: Stock exchanges -- International aspects ab: This study explores dynamic price relationships among nine major stock index futures markets, combining an error-correction model with directed acyclic graph (DAG) analysis. DAG-based innovation accounting results show that the Japanese market is isolated from other major stock index futures markets. The United States and the United Kingdom appear to share leadership roles in stock index futures markets. The UK and German markets rather than the U.S. exert significant influences on most European markets, which indicates a pattern of regional integration in Europe. Innovation accounting results based on widely used Choleski decomposition are found to be seriously misleading. (JEL G15, C32) Reprinted by permission of the publisher. pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: N holdings: @attributes: islocal: N |
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