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dc.contributor.authorMasih, Rumi-
dc.contributor.authorMohammed Masih, Abul Mansur-
dc.date.accessioned2018-10-11T01:50:14Z-
dc.date.available2018-10-11T01:50:14Z-
dc.date.issued2004-
dc.identifier.citationMasih, Rumi & Mohammed Masih, Abul Mansur. (2004). Common stochastic trends and the dynamic linkages driving european stock markets: evidence from pre- and post-october 1987 crash eras. The European Journal of Finance, 10 (1), pp. 81-104.en_US
dc.identifier.issn1466-4364-
dc.identifier.urihttps://ikr.inceif.org/handle/INCEIF/2965-
dc.description.abstractGiven the impact of the October 1987 crash pre-empting fears of a deep-seated financial collapse, there is now much scope for assessing its importance quantitatively. In this paper, time series techniques are used to analyse the dynamic linkages and propagation of shocks among five European stock markets. While we do not find any long-run relationship of stock markets over the entire sample ped, evidence is found in support of a unique cointegrating vector over each of the pre- and post-crash samples. Furthermore, the dynamic analysis reveals that the lead-lag relationships changed quite significantly over the sample following the crash.en_US
dc.languageEnglish-
dc.language.isoenen_US
dc.publisherTaylor & Francis Ltden_US
dc.rights2004. Taylor & Francis Ltd-
dc.sourceSEDONA-
dc.subjectStock price indexen_US
dc.subjectPre/post crashen_US
dc.subjectGranger temporal causalityen_US
dc.subjectCointegrationen_US
dc.subjectVector error-correction modelen_US
dc.subjectVariance decompositionen_US
dc.subjectImpulse response functionen_US
dc.titleCommon stochastic trends and the dynamic linkages driving european stock markets: evidence from pre- and post-october 1987 crash erasen_US
dc.typeJournal Articleen_US
ikr.topic.maintopicConventional financeen_US
dc.identifier.doidoi:10.1080/13518470110040591-
ikr.doctypeScholarly Works-
Appears in Collections:Journal Article


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  • Full metadata record
    DC FieldValueLanguage
    dc.contributor.authorMasih, Rumi-
    dc.contributor.authorMohammed Masih, Abul Mansur-
    dc.date.accessioned2018-10-11T01:50:14Z-
    dc.date.available2018-10-11T01:50:14Z-
    dc.date.issued2004-
    dc.identifier.citationMasih, Rumi & Mohammed Masih, Abul Mansur. (2004). Common stochastic trends and the dynamic linkages driving european stock markets: evidence from pre- and post-october 1987 crash eras. The European Journal of Finance, 10 (1), pp. 81-104.en_US
    dc.identifier.issn1466-4364-
    dc.identifier.urihttps://ikr.inceif.org/handle/INCEIF/2965-
    dc.description.abstractGiven the impact of the October 1987 crash pre-empting fears of a deep-seated financial collapse, there is now much scope for assessing its importance quantitatively. In this paper, time series techniques are used to analyse the dynamic linkages and propagation of shocks among five European stock markets. While we do not find any long-run relationship of stock markets over the entire sample ped, evidence is found in support of a unique cointegrating vector over each of the pre- and post-crash samples. Furthermore, the dynamic analysis reveals that the lead-lag relationships changed quite significantly over the sample following the crash.en_US
    dc.languageEnglish-
    dc.language.isoenen_US
    dc.publisherTaylor & Francis Ltden_US
    dc.rights2004. Taylor & Francis Ltd-
    dc.sourceSEDONA-
    dc.subjectStock price indexen_US
    dc.subjectPre/post crashen_US
    dc.subjectGranger temporal causalityen_US
    dc.subjectCointegrationen_US
    dc.subjectVector error-correction modelen_US
    dc.subjectVariance decompositionen_US
    dc.subjectImpulse response functionen_US
    dc.titleCommon stochastic trends and the dynamic linkages driving european stock markets: evidence from pre- and post-october 1987 crash erasen_US
    dc.typeJournal Articleen_US
    ikr.topic.maintopicConventional financeen_US
    dc.identifier.doidoi:10.1080/13518470110040591-
    ikr.doctypeScholarly Works-
    Appears in Collections:Journal Article


  • Common_stochastic_trends_and_the_dynamic_linkages_driving...
    • Size : 436,78 kB

    • Format : Adobe PDF

    • View : 
    • Download :