search query: @indexterm International economic relations / total: 112
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| Author: | Bessler, D.A. Yang, J. |
| Title: | The structure of interdependence in international stock markets |
| Journal: | Journal of International Money and Finance
2003 : APR, VOL. 22:2, p. 261-287 |
| Index terms: | Cointegration Error correction models International economic relations Market structure Stock markets |
| Language: | eng |
| Abstract: | The dynamic structure of nine major stock markets is investigated using an error correction model and directed acyclic graphs (DAG). The DAG representation provides a structure of causality among these markets in contemporaneous time. Innovation accounting techniques are applied building on the contemporaneous structure and the estimated error correction model. |
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