haku: @author Saettem, F. / yhteensä: 3
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| Tekijä: | Gjerde, O. Saettem, F. |
| Otsikko: | Linkages among European and world stock markets |
| Lehti: | European Journal of Finance
1995 : JUN, VOL. 1:2, p. 165-179 |
| Asiasana: | FINANCE STOCK MARKETS EUROPE |
| Kieli: | eng |
| Tiivistelmä: | Causal relations and dynamic interactions among equity returns in ten countries for the period 1983-1994 are analyzed. An innovation accounting approach based on a multivariate vector autoregressive model is used to estimate the proportion of each market return's forecast error attributable to innovations in foreign market returns. Three major results appear. The variance decompositions indicate a strong degree of economic interaction among stock markets. The US stock market has a considerable influence on stock market performance in almost every country. |
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