Transmission of information between stock markets
Año de publicación: 1993
Número: 7
Páginas: 1-28
Tipo: Documento de Trabajo
Resumen
This paper analyzes the effect of foreign stock price movements ondomestic markets. The method we propose identifies, for each market in thesample, two different elements which have not been separated as yet: first, the importance of one market attributable to its intrinsic characteristics,which must be the same independently of the market receiving the influence.Second, how sensitive is the market index to the price variation observed inthe preceding markets. An empirical analysis of the Tokyo, Frankfurt and NewYork stock market indexes provided meaningful qualifications to existing results.