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High Road to a Global Marketplace: The International Transmission of Stock Market Fluctuations
Author(s) -
Fischer K. P.,
Palasvirta A. P.
Publication year - 1990
Publication title -
financial review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.621
H-Index - 47
eISSN - 1540-6288
pISSN - 0732-8516
DOI - 10.1111/j.1540-6288.1990.tb00802.x
Subject(s) - stock market , stock market index , stock (firearms) , economics , index (typography) , stock market bubble , financial economics , capitalization weighted index , econometrics , lag , monetary economics , geography , computer science , computer network , context (archaeology) , archaeology , world wide web
The paper reports the results of a cross‐spectral analysis of the price behavior of stock market indices in 23 countries. The primary goal of our study is to test for interdependence between the time series of stock market indices to support or reject the hypothesis that world markets are becoming more integrated. We reassess and extend findings of the late 1970s measuring the coherence and lead/lag relationships between stock markets worldwide, employing a time series of daily country index returns. In contrast to earlier results, we find a high and statistically significant level of interdependence between stock markets, and we also find that U.S. index prices lead almost every country index in the sample.