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dc.contributor.authorDornau, Roberten_US
dc.coverage.temporal1985-1997en_US
dc.date.accessioned2009-02-16T14:50:35Z-
dc.date.available2009-02-16T14:50:35Z-
dc.date.issued1998en_US
dc.identifier.urihttp://hdl.handle.net/10419/24265-
dc.description.abstractThis 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.en_US
dc.language.isoengen_US
dc.publisherZentrum für Europäische Wirtschaftsforschung (ZEW) Mannheim-
dc.relation.ispartofseriesZEW Discussion Papers 98-13en_US
dc.subject.jelC32en_US
dc.subject.jelG15en_US
dc.subject.ddc330en_US
dc.subject.keywordGranger Causalityen_US
dc.subject.keywordCausality Measureen_US
dc.subject.keywordShock Transmissionen_US
dc.subject.keywordInternational Stock Marketsen_US
dc.subject.keywordVARen_US
dc.subject.stwBörsenkursen_US
dc.subject.stwKapitalertragen_US
dc.subject.stwInternationaler Preiszusammenhangen_US
dc.subject.stwSchocken_US
dc.subject.stwUSAen_US
dc.subject.stwEuropaen_US
dc.subject.stwJapanen_US
dc.titleShock around the clock - on the causal relations between international stock markets, the strength of causality and the intensity of shock transmission: an econometric analysisen_US
dc.typeWorking Paperen_US
dc.identifier.ppn24375681Xen_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:zewdip:5186-
Appears in Collections:ZEW Discussion Papers
Publikationen von Forscherinnen und Forschern des ZEW

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