Journal article
Growing International Co-movement in Stock Price Indexes
The Quarterly review of economics & business, Vol.30(3), pp.15-30
01 Oct 1990
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
The interrelationships among stock prices in major world stock exchange have been investigated by applying the VAR approach to daily stock price indexes in Tokyo, Frankfurt, London, and New York for the period January 1986 through November 1988. Evidence of a significant structural change, with regard to the correlation structure and leadership, was found in the major world stock markets since the stock market crash of October 1987. The impulse response function analysis showed that the degree of international co-movements in stock price indexes has increased significantly since the crash. The role of the immediately preceding market in the determination of stock prices was also greatly enhanced after the crash.
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Details
- Title
- Growing International Co-movement in Stock Price Indexes
- Creators
- Bang JeonGeorge von Furstenberg
- Publication Details
- The Quarterly review of economics & business, Vol.30(3), pp.15-30
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Identifiers
- 991019330622604721
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- Collaboration types
- Domestic collaboration
- Web of Science research areas
- Business, Finance
- Economics