Skip to main content
    • Aa
    • Aa

International Transmission of Stock Market Movements


This paper investigates the international transmission mechanism of stock market movements by estimating a nine-market vector autoregression (VAR) system. Using simulated responses of the estimated VAR system, we (i) locate all the main channels of interactions among national stock markets, and (ii) trace out the dynamic responses of one market to innovations in another. Generally speaking, a substantial amount of multi-lateral interaction is detected among national stock markets. Innovations in the U.S. are rapidly transmitted to other markets in a clearly recognizable fashion, whereas no single foreign market can significantly explain the U.S. market movements. Also, the dynamic response pattern is found to be generally consistent with the notion of informationally efficient international stock markets.

Linked references
Hide All

This list contains references from the content that can be linked to their source. For a full set of references and notes please see the PDF or HTML where available.

T. Agmon The Relations among Equity Markets: A Study of Share Price Co-Movements in the United States, United Kingdom, Germany and Japan.” Journal of Finance, 27 (091972), 839855.

T. Agmon Country Risk: The Significance of Country Factor for Share Price Movements in the United Kingdom, Germany, and Japan.” Journal of Business, 46 (011973), 2432.

C. Granger Investigating Causal Relations by Econometric Models and Cross Spectral Methods.” Econometrica, 37 (071969), 429438.

H. Grubel , and K. Fadner . “The Interdependence of International Equity Markets.” Journal of Finance, 26 (031971), 8994.

J. Hilliard The Relationship between Equity Indices on World Exchanges.” Journal of Finance, 34 (031979), 103114.

D. Lessard World, Country and Industry Relationships in Equity Returns: Implications for Risk Reduction through International Diversification.” Financial Analysts Journal, 32 (01/021976), 28.

W. Lupoletti , and R. Webb . “Defining and Improving the Accuracy of Macroeconomic Forecasts: Contributions from a VAR Model.” Journal of Business, 59 (041986), 263285.

D. Panton ; V. Lessig and O. Joy . “Comovements of International Equity Markets: A Taxonomic Approach.” Journal of Financial and Quantitative Analysis, 11 (091976), 415432.

D. Ripley Systematic Elements in the Linkage of National Stock Market Indices.” Review of Economics and Statistics, 55 (081973), 356361.

C. Sims Macroeconomics and Reality.” Econometrica, 48 (011980), 148.

Recommend this journal

Email your librarian or administrator to recommend adding this journal to your organisation's collection.

Journal of Financial and Quantitative Analysis
  • ISSN: 0022-1090
  • EISSN: 1756-6916
  • URL: /core/journals/journal-of-financial-and-quantitative-analysis
Please enter your name
Please enter a valid email address
Who would you like to send this to? *


Full text views

Total number of HTML views: 0
Total number of PDF views: 105 *
Loading metrics...

Abstract views

Total abstract views: 5400 *
Loading metrics...

* Views captured on Cambridge Core between September 2016 - 22nd September 2017. This data will be updated every 24 hours.