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| Author: | Jeon, B.N. Furstenberg, M.v. |
| Title: | Growing international co-movement in stock price indexes |
| Journal: | Quarterly Review of Economics and Business
1990 : AUTUMN, VOL. 30:3, p.15-30 |
| Index terms: | STOCK MARKETS STOCK EXCHANGES |
| Language: | eng |
| Abstract: | The authors investigate the inter- relationships among stock prices in major world stock exchanges by applying the VAR approach to daily stock price indexes between 1986 and 1988. It was found that a significant structural change has occurred since the stock market crash of October 1987. The impulse response function analysis showed that the degree of international co-movements has increased significantly since the crash. |
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