search query: @author Koutmos, G. / total: 8
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| Author: | Koutmos, G. |
| Title: | Modeling the dynamic interdependence of major European stock markets |
| Journal: | Journal of Business Finance and Accounting
1996 : SEP, VOL. 23:7, p. 975-988 |
| Index terms: | STOCK MARKETS EUROPE INTERNATIONAL CAPITAL MARKET |
| Language: | eng |
| Abstract: | This paper investigates the short-run dynamics of four major European Stock markets. The joint distribution of stock returns is modeled as a VAR with errors following a multivariate Exponential GARCH process. This formulation allows detailed investigation of lead/lag relations and volatility interactions. There is substantial evidence that European stock markets are linked through their first and second moments. These linkages in turn imply that today's information set is useful in terms of predicting tomorrow's conditional means and conditional variances. |
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