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An Econometric Analysis on Influential Power Across Global Stock Markets

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  • Huaibing Yu

Abstract

Global stock markets are considered to be more integrated than ever and having impacts on each other. By utilizing the VAR model and the corresponding impulse response functions (IRFs), this research paper constructs the “Influence Index†to quantify and order the influential power for major stock markets across the globe. Statistical evidences show that the U.S. stock market dominates the global markets by achieving the highest influence index of 3.18, followed by Australia (1.85) and Britain (1.12). However, stock markets housed in developing economies show very weak influential power, which could be due to the lack of international recognitions and market establishment. Stock markets in China and Argentina possess the lowest and the second lowest market power with influence index of only 0.26 and 0.28 respectively. Corresponding evidences also offer an important indication that established markets are much less sensitive to impacts generated from other markets, while developing markets are more prone to outside influences. JEL classification numbers: G12; G14; G17Keywords: Global Stock Markets, Market Power, Influence Index

Suggested Citation

  • Huaibing Yu, 2019. "An Econometric Analysis on Influential Power Across Global Stock Markets," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 8(3), pages 1-1.
    • Handle: RePEc:spt:fininv:v:8:y:2019:i:3:f:8_3_1
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    References listed on IDEAS

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    More about this item

    Keywords

    global stock markets; market power; influence index;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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