Linkages Between the US and European Stock Markets
| Author | : Guglielmo Maria Caporale |
| Publisher | : |
| Total Pages | : |
| Release | : 2015 |
| Genre | : |
| ISBN | : |
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Linkages Between the USA and the Pan-European Equity Markets
| Author | : Konstantinos Gkillas |
| Publisher | : |
| Total Pages | : |
| Release | : 2018 |
| Genre | : |
| ISBN | : |
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This paper investigates the existence of long-run benefits of the international diversification in the equity markets of the US and the Pan-European Stock Exchange. The study which spans 6 years uses weekly data based on closing values of the general indices of Dow & Jones Industrial Average and Euronext 100. The objective of this study is to present and analyze the long-run relations before and after to January in 2006 when the market run by Euronext has a market capitalization of US $2.9 trillion, making it the 5th largest exchange on the planet. The analysis used the methods of Engle & Granger and Johansen for the cointegration analysis.
Stock Market Exuberance
| Author | : Giulio Cifarelli |
| Publisher | : |
| Total Pages | : 41 |
| Release | : 2000 |
| Genre | : |
| ISBN | : |
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The Bilateral Linkages Between the U.S. Stock Market and Six National Stock Markets in the First and the Second Order Moments
| Author | : Liu Yuan Tang |
| Publisher | : |
| Total Pages | : 142 |
| Release | : 2008 |
| Genre | : |
| ISBN | : |
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Stock Market Exuberance
| Author | : Giovanna Paladino |
| Publisher | : |
| Total Pages | : 27 |
| Release | : 2004 |
| Genre | : |
| ISBN | : |
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This paper investigates the high frequency behaviour of US, British and German stock market exuberance using an index provided by standard portfolio arbitrage relationships. Symmetric and asymmetric multivariate GARCH models are implemented to quantify international volatility comovements. In the period from January 1992 to April 2000 a change in the pattern of volatility transmission is detected at the beginning of summer 1997. Empirical analysis suggests that equity markets volatility modelling with exuberance indexes is more accurate than modelling with stock returns. Furthermore, the estimated conditional covariances between exuberance indexes fluctuate over time and tend to rise whenever volatility increases.
Cross-national Stock Market Interdependence
| Author | : Gyorgy Konda |
| Publisher | : |
| Total Pages | : 74 |
| Release | : 1997 |
| Genre | : |
| ISBN | : |
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Intra-Day Anomalies in the Relationship Between U.S. Futures and European Stock Indexes
| Author | : Alessandro Innocenti |
| Publisher | : |
| Total Pages | : |
| Release | : 2019 |
| Genre | : |
| ISBN | : |
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The paper presents an empirical investigation of the intraday minute by minute relationship between the U.S. S&P 500 Index Futures and the three major European stock indexes (CAC 40, DAX-100, and FTSE 100). Data analysis shows that the well established positive correlation between futures and stock indexes extends to this specific cross-country case. The correlation is particularly strong in the opening and closing of the European markets, but decreases quickly and remarkably between 13:00 and 13:30 (CET time). This fall is interpreted as derived from the expected release of press communication from U.S. companies. While in U.S. futures traded volumes decrease until the announcements are made, in Europe the expectation of new information coming from U.S. affects indexes price sensitivity providing arbitrage opportunities, due to the imperfect international integration of financial markets.
Linkages and Relationships between Emerging European and Developed Stock Markets Before and after the Russian Crisis of 1997-1998
| Author | : Brian M. Lucey |
| Publisher | : |
| Total Pages | : 35 |
| Release | : 2009 |
| Genre | : |
| ISBN | : |
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We examine the relationship between Russian and other Central and Eastern European equity markets over the 1995-2004 period. Using traditional Johansen and Juselius multivariate cointegration approaches and examining Impulse Response Functions from VECM's we find that the extent of the relationship differs markedly before and after the Russian crisis of 1998. However, further examination, using the Gregory-Hansen approach, indicates that the effect of the Russian crisis is more complex, and that Russian market shows significantly more evidence of integration with developed markets since, albeit the extent of interdependencies differs in case of the US and European markets. A DCC model indicates that the conditional relationship between the Russian market and the main developed markets is, as shown by the Gregory-Hansen approach, shifting.
The Future of European Stock Markets
| Author | : Alasdair Murray |
| Publisher | : |
| Total Pages | : 58 |
| Release | : 2001 |
| Genre | : Stock exchanges |
| ISBN | : 9781901229233 |
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The creation of a single market in equities remains one of the EU's unfinished projects. But the author argues against a centralised market and instead, suggests establishing a new and flexible regulatory framework, allowing Europe to compete effectively in the global arena.
The Emerging Market Crisis and Stock Market Linkages
| Author | : Cheng Hsiao |
| Publisher | : |
| Total Pages | : 35 |
| Release | : 2006 |
| Genre | : |
| ISBN | : |
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This study examines the long-run price relationship and the dynamic price transmission among the U.S., Germany, and four major Eastern European emerging stock markets, with particular attention to the impact of the 1998 Russian financial crisis. The results show that both the long-run price relationship and the dynamic price transmission were strengthened among these markets after the crisis. The influence of Germany became noticeable on all the Eastern European markets only after the crisis but not before the crisis. We also conduct a rolling generalized VAR analysis to confirm the robustness of the main findings.
