haku: @author Peiró, A. / yhteensä: 4
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| Tekijä: | Peiro, A. Quesada, J. Uriel, E. |
| Otsikko: | Transmission of movements in stock markets |
| Lehti: | European Journal of Finance
1998 : DEC, VOL. 4:4, p. 331-343 |
| Asiasana: | Stock markets Models USA Japan Germany Europe |
| Kieli: | eng |
| Tiivistelmä: | In the paper, the relationships btw. three stock markets are analyzed: New York, Tokyo and Frankfurt. The non-simultaneity of the trading times in these three markets determines the results of cross-correlations and regressions with daily returns. To cope with this and other problems, an empirical model is proposed and estimated. This model allows the separation of the ability to influence and the sensitivity of the different markets, and New York is found to be the most influential market, with Tokyo the most sensitive. |
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