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The International Price Transmission in Stock Index Futures Markets
Author(s) -
Yang Jian,
Bessler David A.
Publication year - 2004
Publication title -
economic inquiry
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.823
H-Index - 72
eISSN - 1465-7295
pISSN - 0095-2583
DOI - 10.1093/ei/cbh067
Subject(s) - futures contract , stock index futures , economics , financial economics , index (typography) , stock market index , stock (firearms) , german , price discovery , stock exchange , econometrics , stock market , finance , geography , context (archaeology) , archaeology , world wide web , computer science
This study explores dynamic price relationships among nine major stock index futures markets, combining an error‐correction model with directed acyclic graph (DAG) analysis. DAG‐based innovation accounting results show that the Japanese market is isolated from other major stock index futures markets. The United States and the United Kingdom appear to share leadership roles in stock index futures markets. The UK and German markets rather than the U.S. exert significant influences on most European markets, which indicates a pattern of regional integration in Europe. Innovation accounting results based on widely used Choleski decomposition are found to be seriously misleading.