search query: @author Masih, A. / total: 4
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| Author: | Masih, A. Masif, R. |
| Title: | Dynamic linkages and the propagation mechanism driving major stock markets: an analysis of the pre- and post-crash eras |
| Journal: | Quarterly Review of Economics and Finance
1997 : vol. 37:4, p. 859-886 |
| Index terms: | ECONOMICS STOCK MARKETS DYNAMIC MODELS |
| Language: | eng |
| Abstract: | The stock market crash of October 1987 earmarked fears of a deep-seated financial crisis. In recent years, while there has been a number of empirical studies devoted to examinations of the number of common trends in a system of stock price indexes, only a minority has focused on what effect the crash has had on the characteristics of major stock markets. In this paper, the authors demonstrate how the techniques of unit root testing, cointegration, vector error-correction modelling and forecast error variance decomposition analysis , may be used to shed some light on these concerns in the context of six major international markets. |
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