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International Transmission of Stock Market Movements
Abstract
This paper investigates the international transmission mechanism of stock market movements by estimating a nine-market vector autoregression (VAR) system. Using simulated responses of the estimated VAR system, we (i) locate all the main channels of interactions among national stock markets, and (ii) trace out the dynamic responses of one market to innovations in another. Generally speaking, a substantial amount of multi-lateral interaction is detected among national stock markets. Innovations in the U.S. are rapidly transmitted to other markets in a clearly recognizable fashion, whereas no single foreign market can significantly explain the U.S. market movements. Also, the dynamic response pattern is found to be generally consistent with the notion of informationally efficient international stock markets.
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Citations
Cites
Investigating causal relations by econometric models and cross-spectral methods
Granger, C. W. J. (1969) · Econometrica · doi:10.2307/1912791 · Cited by 22,989
Cited by
Correlations in price changes and volatility across international stock markets
Hamao, Y., Masulis, R. W., & Ng, V. (1990) · Review of Financial Studies · doi:10.1093/rfs/3.2.281 · Cited by 1,926
Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility
Lin, W.-L., Engle, R. F., & Ito, T. (1994) · Review of Financial Studies · doi:10.1093/rfs/7.3.507 · Cited by 873
International stock market linkages: Evidence from the pre- and post-October 1987 period
Arshanapalli, B., & Doukas, J. (1993) · Journal of Banking & Finance · doi:10.1016/0378-4266(93)90088-u · Cited by 561
Karolyi, G. A. (1995) · Journal of Business & Economic Statistics · doi:10.1080/07350015.1995.10524575 · Cited by 499
MEAN AND VOLATILITY SPILLOVERS ACROSS MAJOR NATIONAL STOCK MARKETS: FURTHER EMPIRICAL EVIDENCE
Theodossiou, P., & Lee, U. (1993) · Journal of Financial Research · doi:10.1111/j.1475-6803.1993.tb00152.x · Cited by 313
Metadata
- Authors
- Eun, C. S., & Shim, S.
- Venue
- The Journal of Financial and Quantitative Analysis
- Publisher
- JSTOR
- Published
- 1989-06
- Volume
- 24
- Issue
- 2
- Pages
- 241
- ISSN
- 0022-1090 (ISSN-L)
- OpenAlex
- W2127223208
- Cited by
- 1,412
- References
- 1
- FWCI
- 16.32
- Type
- journal article
- Language
- en
- Open access
- closed
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- Eun, C. S., & Shim, S. (1989). International Transmission of Stock Market Movements. The Journal of Financial and Quantitative Analysis. https://doi.org/10.2307/2330774
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
