haku: @author Masih, R. / yhteensä: 5
viite: 3 / 5
Tekijä: | Masih, R. Masih, A. M. M. |
Otsikko: | Long and short term dynamic causal transmission amongst international stock markets |
Lehti: | Journal of International Money and Finance
2001 : AUG, VOL. 20:4, p. 563-587 |
Asiasana: | STOCKS STOCK MARKETS FINANCE |
Kieli: | eng |
Tiivistelmä: | This paper investigates the dynamic causal linkages amongst nine major international stock price indexes. In order to gauge the causal transmission patterns the authors employ very recent methods of: (i) vector error- correction modeling and (ii) level VAR modeling with possibly integrated and cointegrated processes, advocated by: (i) Toda and Phillips and (ii) Toda and Yamamoto, respectively. The paper illustrates how such methods may be appropriately augmented in a compatible fashion to unearth previously unfounded linkage properties inherent amongst a system of stock price indexes. In particular, the authors demonstrate that previous research, by using ordinary difference VARs, ignored an important component of linkages displayed purely over the long run. |
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