The international price transmission in stock index futures markets

被引：27
|
作者：
Yang, J [1 ]
Bessler, DA
机构：
[1] Prairie View A&M Univ, Dept Accounting Finance & Informat Syst, Prairie View, TX 77446 USA
[2] Texas A&M Univ, Dept Agr Econ, College Stn, TX 77843 USA
来源：
ECONOMIC INQUIRY | 2004年 / 42卷 / 03期
关键词：
D O I：
10.1093/ei/cbh067
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This study, explores dynamic price relationships among nine major stock index futures markets, combining an error-correction model with directed acyclic graph (DAG) analysis. DAG-based innovation accounting results show that the Japanese market is isolated from other major stock index futures markets. The United States and the United Kingdom appear to share leadership roles in stock index futures markets. The UK and German markets rather than the U. S. exert significant influences on most European markets, which indicates a pattern of regional integration in Europe. Innovation accounting results based on widely used Choleski decomposition are found to be seriously misleading.
引用
收藏
页码：370 / 386
页数：17
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