| Tekijä: | Brocato, J. |
| Otsikko: | Evidence on adjustment in major national stock market linkages over the 1980s |
| Lehti: | Journal of Business Finance and Accounting
1994 : JUL, VOL. 21:5, p. 643-667 |
| Asiasana: | FINANCE STOCK MARKETS ACCOUNTING |
| Kieli: | eng |
| Tiivistelmä: | This paper measures the alterations that have occurred in equity market correlations for six major internationally active stock exchanges between 1980 and 1987. The markets are chosen so as to allow for geographical diversity while still accounting for almost ninety percent of total worldwide equity market capitalization. The VAR variance decomposition technique is used to measure intermarket linkage patterns occurring over the 1980s. This paper suggests that world financial integration is, in part, responsible for the altered linkage patterns observed over the 1980s. |
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