IDEAS home Printed from https://ideas.repec.org/a/wly/isacfm/v8y1999i4p253-270.html
   My bibliography  Save this article

Shock around the clock—on the causal relations between international stock markets, the strength of causality and the intensity of shock transmission: an econometric analysis

Author

Listed:
  • Robert Dornau

Abstract

This paper investigates empirically the interrelationships between the daily stock market returns of the Nikkei 225, DAX and Dow Jones Industrial index. In contrast 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 USA to foreign countries but in some cases vice versa. The observation period is October 1985 to October 1997. Analysis of the structural properties leads to the examination of four separated periods. Results for Hosoya’s 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. Copyright © 1999 John Wiley & Sons, Ltd.

Suggested Citation

  • Robert Dornau, 1999. "Shock around the clock—on the causal relations between international stock markets, the strength of causality and the intensity of shock transmission: an econometric analysis," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 8(4), pages 253-270, December.
    • Handle: RePEc:wly:isacfm:v:8:y:1999:i:4:p:253-270
    DOI: 10.1002/(SICI)1099-1174(199912)8:43.0.CO;2-K
    as

    Download full text from publisher

    File URL: https://doi.org/10.1002/(SICI)1099-1174(199912)8:43.0.CO;2-K
    Download Restriction: no
    File URL: https://libkey.io/10.1002/(SICI)1099-1174(199912)8:43.0.CO;2-K?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Steven J Cochran & Iqbal Mansur, 1991. "The Interrelationships Between U.S. and Foreign Equity Market Yields: Tests of Granger Causality," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 22(4), pages 723-736, December.
    2. Eun, Cheol S. & Shim, Sangdal, 1989. "International Transmission of Stock Market Movements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(2), pages 241-256, June.
    3. Clive, W.J. & Lin, Jin-Lung, 1995. "Causality in the Long Run," Econometric Theory, Cambridge University Press, vol. 11(3), pages 530-536, June.
    4. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
    5. Becker, Kent G & Finnerty, Joseph E & Gupta, Manoj, 1990. "The Intertemporal Relation between the U.S. and Japanese Stock Markets," Journal of Finance, American Finance Association, vol. 45(4), pages 1297-1306, September.
    6. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    7. Lutkepohl, Helmut, 1990. "Asymptotic Distributions of Impulse Response Functions and Forecast Error Variance Decompositions of Vector Autoregressive Models," The Review of Economics and Statistics, MIT Press, vol. 72(1), pages 116-125, February.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Climent, Francisco & Meneu, Vicente, 2003. "Has 1997 Asian crisis increased information flows between international markets," International Review of Economics & Finance, Elsevier, vol. 12(1), pages 111-143.
    2. Mohamed El Hedi Arouri & Mondher Bellalah & Duc Khuong Nguyen, 2010. "The comovements in international stock markets: new evidence from Latin American emerging countries," Applied Economics Letters, Taylor & Francis Journals, vol. 17(13), pages 1323-1328.
    3. Lee, Cheng F & Rui, Oliver M, 2000. "Does Trading Volume Contain Information to Predict Stock Returns? Evidence from China's Stock Markets," Review of Quantitative Finance and Accounting, Springer, vol. 14(4), pages 341-360, June.
    4. Caporale, Guglielmo Maria & Hassapis, Christis & Pittis, Nikitas, 1998. "Unit roots and long-run causality: investigating the relationship between output, money and interest rates," Economic Modelling, Elsevier, vol. 15(1), pages 91-112, January.
    5. Leitao, Joao & Armada, Manuel Rocha & Ferreira, Joaaquim, 2012. "Corruption and Co-Movements in European Listed Sport Companies: Did Calciocaos really matter?," MPRA Paper 42474, University Library of Munich, Germany.
    6. Joseph Friedman & Yochanan Shachmurove, "undated". ""Using Vector Autoregression Models to Analyze the Behavior of the European Community Stock Markets''," CARESS Working Papres 97-04, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences.
    7. Balcilar, Mehmet & Hammoudeh, Shawkat & Toparli, Elif Akay, 2018. "On the risk spillover across the oil market, stock market, and the oil related CDS sectors: A volatility impulse response approach," Energy Economics, Elsevier, vol. 74(C), pages 813-827.
    8. Chen, Gong-meng & Firth, Michael & Meng Rui, Oliver, 2002. "Stock market linkages: Evidence from Latin America," Journal of Banking & Finance, Elsevier, vol. 26(6), pages 1113-1141, June.
    9. Catherine Bruneau & Eric Jondeau, 1999. "Long‐run Causality, with an Application to International Links Between Long‐term Interest Rates," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(4), pages 545-568, November.
    10. GABRIEL, Victor Manuel de Sousa & MANSO, José Ramos Pires, 2014. "Financial Crisis And Stock Market Linkages," Revista Galega de Economía, University of Santiago de Compostela. Faculty of Economics and Business., vol. 23(4), pages 133-148.
    11. Wei, Yanfeng & Guo, Xiaoying, 2016. "An empirical analysis of the relationship between oil prices and the Chinese macro-economy," Energy Economics, Elsevier, vol. 56(C), pages 88-100.
    12. Shujie Yao & Dan Luo & Stephen Morgan, 2008. "Shanghai Stock Exchange Composite Index and Bank Stock Prices in China: A Causality Analysis," Discussion Papers 08/25, University of Nottingham, GEP.
    13. James E. Payne, 2003. "A Survey of the International Empirical Evidence on the Tax-Spend Debate," Public Finance Review, , vol. 31(3), pages 302-324, May.
    14. Smales, Lee A., 2022. "Spreading the fear: The central role of CBOE VIX in global stock market uncertainty," Global Finance Journal, Elsevier, vol. 51(C).
    15. KAMKOUM, Arnaud Cedric, 2023. "The Federal Reserve’s Response to the Global Financial Crisis and its Effects: An Interrupted Time-Series Analysis of the Impact of its Quantitative Easing Programs," Thesis Commons d7pvg, Center for Open Science.
    16. Jin, Xiaoye, 2015. "Volatility transmission and volatility impulse response functions among the Greater China stock markets," Journal of Asian Economics, Elsevier, vol. 39(C), pages 43-58.
    17. Carl Deschamps & Jan Mattijs, 2015. "Anatomy of a performance management system: the elusive path from targets to productivity," Working Papers CEB 15-037, ULB -- Universite Libre de Bruxelles.
    18. M. T. Alguacil & V. Orts, 2003. "Inward Foreign Direct Investment and Imports in Spain," International Economic Journal, Taylor & Francis Journals, vol. 17(3), pages 19-38.
    19. Ramona Dumitriu & Razvan Stefanescu, 2015. "The Relationship Between Romanian Exports And Economic Growth After The Adhesion To European Union," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 17-26.
    20. Baur, Dirk & Jung, Robert C., 2006. "Return and volatility linkages between the US and the German stock market," Journal of International Money and Finance, Elsevier, vol. 25(4), pages 598-613, June.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wly:isacfm:v:8:y:1999:i:4:p:253-270. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.interscience.wiley.com/jpages/1099-1174/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.