Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/24265 
Authors: 
Year of Publication: 
1998
Series/Report no.: 
ZEW Discussion Papers No. 98-13
Publisher: 
Zentrum für Europäische Wirtschaftsforschung (ZEW), Mannheim
Abstract: 
This paper investigates empirically the interrelationships between the daily stock market returns of the Nikkei 225, DAX and Dow Jones Industrial index. Contrary to former work this paper uses the succession of the markets in time to form different econometric models. In this way it is possible to detect causality not only from the US to foreign countries but in some cases vice versa. The observation period is October 1985 to Ocotber 1997. Analysis of the structural properties leads to the examination of four separated periods. Results for Hosoyas measure of the strength of causality and impulse response analysis facilitate a dynamic analysis of the causal structure. Increasing influence from NYSE to foreign markets can be shown, whereas influence of the foreign markets on the Dow Jones is decreasing.
Subjects: 
Granger Causality
Causality Measure
Shock Transmission
International Stock Markets
VAR
JEL: 
C32
G15
Document Type: 
Working Paper

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