International transmission of stock prices among G7 countries: LA-VAR approach

Shigeyuki Hamori · Yuriko Imamura

32 citations0/0 files storedApplied Economics Letters

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

Abstract

The reported study analysed interdependence among stock prices in G7 countries using the LA-VAR method. Monthly data for the period from December 1969 to May 1995 were used and stock prices were analysed not only in local currencies but also in US dollars. The study revealed that the causal relationship between US stock prices and those in the rest of the world is significant. This may be due to the dominant influence of the US economy on the world market.

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References

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