Document Type

Article

Language

eng

Format of Original

12 p.

Publication Date

2004

Publisher

IUP Publications

Source Publication

IUP Journal of Applied Economics

Source ISSN

0972-6861

Abstract

This paper examines the interaction between international national stock markets using daily data and a VAR model. The results indicate that the speed of adjustment to equilibrium after a shock is about two days, indicating that markets are highly efficient at processing international information. Moreover, the US market appears to be the most important in the system, while Japan is very independent and does not have much effect on the other markets in the sample. Finally, the recent Asian financial crisis appears to have amplified the importance of the Asian markets to the rest of the global exchanges.

Comments

Published version. IUP Journal of Applied Economics, Vol. 3, No. 4 (July 2004): 35-46. Publisher link. © 2004 IUP Publications. Used with permission.

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