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...

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Publicado en:	Economic Inquiry Vol. 42; no. 3; pp. 370 - 387
Autores principales:	Yang, Jian, Bessler, David A.
Formato:	Artículo
Publicado:	Wiley-Blackwell July 2004
Materias:	Mathematical models Stock index futures Stock exchanges
Acceso en línea:	Ver este registro en EBSCOhost