The international price transmission in stock index futures markets

Economic Inquiry

Volumn 42, Issue 3, 2004, Pages 370-386

  Yang, Jian ^a   Bessler, David A ^b  

^a PRAIRIE VIEW A AND M UNIVERSITY   (United States)

^b TEXAS A AND M UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 3242723327     PISSN: 00952583     EISSN: None     Source Type: Journal    
DOI: 10.1093/ei/cbh067     Document Type: Article

References (34)

1. Agmon, T. "The Relations among Equity Markets: A Study of Share Price Co-movements in the United States, United Kingdom, Germany, and Japan." Journal of Finance, 27, 1972, 839-55.
2. Arshanapalli, B., and J. Doukas. "International Stock Market Linkages: Evidence from the Pre- and Post-October 1987 Period." Journal of Banking and Finance, 17, 1993, 193-208.
3. Battley, N. The World's Futures & Options Markets, 2nd edn. New York: Wiley, 2000.
4. Bernanke, B. "Alternative Explanations of the Money-Income Correlation." Carnegie-Rochester Conference Series on Public Policy, 25, 1986, 49-99.
5. Bessler, D. A., and J. Yang. "The Structure of Inter-dependence in International Stock Markets." Journal of International Money and Finance, 22, 2003, 261-87.
6. Bessler, D. A., J. Yang, and M. Wongcharupan. "Price Dynamics in the International Wheat Market: Modeling with Error Correction and Directed Graphs." Journal of Regional Science, 43, 2003, 1-33.
7. Eun, C., and S. Shim. "International Transmission of Stock Market Movements." Journal of Financial and Quantitative Analysis, 24, 1989, 241-256.
8. Francis, B., and L. Leachman. "Superexogeneity and the Dynamic Linkages among International Equity Markets." Journal of International Money and Finance, 17, 1998, 475-92.
9. Gonzalo, J. "Five Alternative Methods of Estimating Long-Run Equilibrium Relationships." Journal of Econometrics, 60, 1994, 203-33.
10. Haigh, M., and D. A. Bessler. "Causality and Price Discovery: An Application of Directed Acyclic Graphs." Journal of Business, forthcoming.
11. Hakkio, C. S., and M. Rush. "Cointegration: How Short Is the Long Run?" Journal of International Money and Finance, 10, 1991, 571-81.
12. Hamao, Y., R. Masulis, and V. Ng. "Correlation Price Changes and Volatility across International Stock Markets." Review of Financial Studies, 3, 1990, 281-307.
13. Hasbrouck, J. "One Security, Many Markets: Determining the Contributions to Price Discovery." Journal of Finance, 50, 1995, 1175-99.
14. Johansen, S. "Estimation and Hypothesis Testing of Cointegration vectors in Gaussian Vector Autoregressive Models." Econometrica, 59, 1991, 1551-80.
15. Johansen, S., and K. Juselius. "Identification of the Long-Run and the Short-Run Structure: An Application to the ISLM Model." Journal of Econometrics, 63, 1994, 7-36.
16. Kawaller, I., P. Koch, and T. Koch. "The Temporal Price Relationship between S&P 500 Futures and the S&P 500 Index." Journal of Finance, 42, 1987, 1309-29.
17. Koch, P., and T. Koch. "Evolution in Dynamic Linkages across Daily National Stock Indexes." Journal of International Money and Finance, 10, 1991, 231-51.
18. Lee, B. S., and B. N. Jeon. "Common Stochastic Trends and Predictability of International Stock Prices." Journal of the Japanese and International Economies, 9, 1995, 245-77.
19. Lin, W., R. F. Engle, and T. Ito. "Do Bulls and Bears Move across Boarders? International Transmission of Stock Returns and Volatility." Review of Financial Studies, 7, 1994, 507-38.
20. Lutkepohl, H., and H. Reimers. "Impulse Response Analysis of Cointegrated Systems." Journal of Economic Dynamics and Control, 16, 1992, 53-78.
21. Malliaris, A., and J. Urrutia. "The International Crash of October 1987: Causality Tests." Journal of Financial and Quantitative Analysis, 27, 1992, 353-64.
22. Masih, R., and A. M. M. Masih. "Long and Short Term Dynamic Causal Transmission amongst International Stock Markets." Journal of International Money and Finance, 20, 2001, 563-87.
23. Pearl, J. "Causal Diagrams for Empirical Research." Biometrika, 82, 1995, 669-710.
24. _. Causality. Cambridge: Cambridge University Press, 2000.
25. Phillips, P. "Impulse Response and Forecast Error Variance Asymptotics in Nonstationary VARs." Journal of Econometrics, 83, 1998, 21-56.
26. Schemes, R., P. Spirtes, C. Glymour, and C. Meek. TETRAD II: User's Manual and Software. New Jersey: Lawrence Erlbaum Associates, 1994.
27. Sims, C. "Macroeconomics and Reality." Econometrica, 48, 1980, 1-48.
28. _. "Forecasting Models for Policy Analysis." Quarterly Review of Federal Reserve Bank of Minneapolis, 10, 1986, 2-16.
29. Spirtes, P., C. Glymour, and R. Scheines. Causation, Prediction, and Search. Cambridge: MIT Press, 2000.
30. Swanson, N., and C. W. J. Granger. "Impulse Response Functions Based on a Causal Approach to Residual Orthogonalization in Vector Autoregression." Journal of the American Statistical Association, 92, 1997, 357-67.
31. Taylor, M., and I. Tonks. "The Internationalization of Stock Markets and the Abolition of U.K. Exchange Control." Review of Economics and Statistics, 71, 1989, 332-36.
32. Toda, H. Y., and P. C. B. Phillips. "Vector Autoregressions and Causality." Econometrica, 61, 1993, 1367-93.
33. Von Furstenberg, G. M., and B. N. Jeon. "International Stock Price Movements: Links and Messages." Brookings Papers on Economic Activity, 1, 1989, 125-79.
34. Yang, J. "Market Segmentation and Information Asymmetry in Chinese Stock Markets: A VAR Analysis." Financial Review, 38, 2003, 591-609.