The International Price Transmission in Stock Index Futures Markets

37 Pages Posted: 13 Sep 2003

See all articles by Jian Yang

Jian Yang

University of Colorado at Denver - Business School

David Bessler

Texas A&M University, College Station - Department of Agricultural Economics

Abstract

This study explores dynamic price relationships among nine major stock index futures markets, combining an error correction model with directed acyclic graph (DAG) analysis. DAG-based innovation accounting results show that the Japanese market is isolated from other major stock index futures markets. The U.S. and the UK appear to share leadership roles in stock index futures markets. The UK and German markets rather than the US exert significant influences on most European markets, which indicates a pattern of regional integration in Europe. Innovation accounting results based on widely used Choleski decomposition are found to be seriously misleading.

Keywords: Stock index futures, Error correction model, Impulse response analysis, Forecast error variance decomposition, Directed acyclic graphs

JEL Classification: G15, C32

Suggested Citation

Yang, Jian and Bessler, David, The International Price Transmission in Stock Index Futures Markets. Available at SSRN: https://ssrn.com/abstract=433322 or http://dx.doi.org/10.2139/ssrn.433322

Jian Yang (Contact Author)

University of Colorado at Denver - Business School ( email )

1250 14th St.
Denver, CO 80204
United States

David Bessler

Texas A&M University, College Station - Department of Agricultural Economics ( email )

College Station, TX 77840
United States
979-845-3096 (Phone)

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