Temporal links between price indices of stock markets with overlapping business hours
Año de publicación: 1995
Número: 2
Páginas: 1-28
Tipo: Documento de Trabajo
Resumen
This article analyzes the way in which intemational stock markets transmit information around the world. We are able to decompose the influenced of one market on another one in two elements: the capability of one market to exercise influence on any other market and the sensitivity of every market to information coming from other stock markets. We extend previous work including markets with overlapping operating schedules. The prediction accuracy of the proposed model is favourably compared with altemative models.