The Price Transmission in European Stock Markets
We investigate the dynamic price relationships among ten major stock indexes in Europe before, during and after the recent financial crisis. Using an error-correction model we find that the stock markets are cointegrated with three cointegrating vectors before the crisis and that the markets are coi...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Tuwhera Open Access Publisher
2018-06-01
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| Series: | Applied Finance Letters |
| Subjects: | |
| Online Access: | https://ojs.aut.ac.nz/applied-finance-letters/article/view/72 |