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dc.contributor.authorDornau, Roberten
dc.date.accessioned2009-02-16T14:50:35Z-
dc.date.available2009-02-16T14:50:35Z-
dc.date.issued1998-
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
dc.language.isoengen
dc.publisher|aZentrum für Europäische Wirtschaftsforschung (ZEW) |cMannheimen
dc.relation.ispartofseries|aZEW Discussion Papers |x98-13en
dc.subject.jelC32en
dc.subject.jelG15en
dc.subject.ddc330en
dc.subject.keywordGranger Causalityen
dc.subject.keywordCausality Measureen
dc.subject.keywordShock Transmissionen
dc.subject.keywordInternational Stock Marketsen
dc.subject.keywordVARen
dc.subject.stwBörsenkursen
dc.subject.stwKapitalertragen
dc.subject.stwInternationaler Preiszusammenhangen
dc.subject.stwSchocken
dc.subject.stwUSAen
dc.subject.stwEuropaen
dc.subject.stwJapanen
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 analysis-
dc.typeWorking Paperen
dc.identifier.ppn85248254Xen
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:zewdip:5186en

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