Propagative causal price transmission among international stock markets: evidence from the pre- and post globalization period
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This paper examines the patterns of dynamic linkages among national stock prices of six major international stock markets with particular reference to what impact the development of global markets (or the globalization phenomenon) had upon the leading stock markets, such as the US, Japan, and UK. In particular, the focus of this paper is in what ways, if any, the role of these leading markets has changed since globalization. The analysis employs recent time series techniques to a data set that consists of two non overlapping samples of monthly prices defining pre globalization (1972:01-1979:12) and post globalization (1984:01-1996:06). Given the generality of applying several techniques, which provide us with an overall assessment of the robustness of results generated, our findings contrast previous research, which discovered a lack of interdependence during the period prior to the 1980s.
International stock markets , Pre-globalization , Post-globalization
Mohammed Masih, Abul Mansur & Masih, Rumi. (2002). Propagative causal price transmission among international stock markets: evidence from the pre- and post globalization period. Global Finance Journal, 13, pp. 63-91.
Elsevier Science Inc.