首页    期刊浏览 2022年07月02日 星期六
登录注册

文章基本信息

  • 标题:The Price Transmission in European Stock Markets
  • 本地全文:下载
  • 作者:Yalan Feng ; James Frank Refalo
  • 期刊名称:Applied Finance Letters
  • 印刷版ISSN:2253-5799
  • 电子版ISSN:2253-5802
  • 出版年度:2018
  • 卷号:7
  • 期号:1
  • 页码:2-12
  • DOI:10.24135/afl.v7i1.72
  • 出版社:Tuwhera Open Access Publisher
  • 摘要:We investigate the dynamic price relationships among ten major stock indexes in Europe before, during and after the recent financial crisis. Using an error-correction model we find that the stock markets are cointegrated with three cointegrating vectors before the crisis and that the markets are cointegrated with only one cointegrating vector during and after the crisis. We further apply directed acyclic graph (DAG) analysis on the contemporaneous correlations innovation matrix to explore the instantaneous transmission pattern. The results show that France and Spain appear to share leadership roles before the crisis while leadership role is less obvious during and after the crisis. We also find a decreasing number of instantaneous casual relationships between the markets after the crisis, indicating that the markets are becoming more independent.
  • 关键词:error correction model (ECM); cointegration; directed acyclic graphs (DAG); financial crisis
国家哲学社会科学文献中心版权所有