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| Author: | Masih, R. Masih, A. M. M. |
| Title: | Common stochastic trends and the dynamic linkages driving European stock markets: evidence from pre- and post-October 1987 crash eras |
| Journal: | European Journal of Finance
2004 : FEB, VOL. 10:1, p. 81-104 |
| Index terms: | Stock markets Price indices Cointegration |
| Freeterms: | Granger temporal causality Variance decomposition |
| Language: | eng |
| Abstract: | In this paper, time series techniques are used to analyse the dynamic linkages and propagation of shocks among five European stock markets. While the authors do not find any long-run relationship of stock markets over the entire sample ped, evidence is found in support of a unique cointegrating vector over each of the pre- and post-crash samples. Furthermore the dynamic analysis reveals that the led-lag relationships changed quite significantly over the sample following the crash. |
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