search query: @author Hirayama, K. / total: 1
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| Author: | Hirayama, K. Tsutsui, Y. |
| Title: | Threshold effect in international linkage of stock prices |
| Journal: | Japan and the World Economy
1998 : OCT, VOL. 10:4, p. 441:454 |
| Index terms: | JAPAN SHARE PRICES ECONOMIC CONDITIONS |
| Language: | eng |
| Abstract: | This paper examines whether the international linkage of the stock price indexes found in previous studies is confirmed for the case where the stock index changes only slightly, utilizing the daily stock price index data from 1975 to 1995 for the US, UK, Germany, and Japan. Using dummy variables in the regressions, it is shown that small changes in the stock price index of any country do not affect the other country's index. In contrast, large changes have a significant effect in most cases. |
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