Interdependence and Contemporaneous Causality among Eastern, Southern and Western European Stock Markets
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In this paper, we employ a Vector Error Correction Model (VECM) and Directed Acyclic Graphs (DAG) to investigate interdependence and contemporaneous causality among Eastern, Southern and Western European stock markets. Empirical results show that there is one cointegration relationship which implies the interdependence among the markets has been present. Based on the residuals of the VECM, the DAG analysis demonstrates that German and French stock markets have played important roles as they have influenced other stock markets.
Abstract
In this paper, we employ a Vector Error Correction Model (VECM) and Directed Acyclic Graphs (DAG) to investigate interdependence and contemporaneous causality among Eastern, Southern and Western European stock markets. Empirical results show that there is one cointegration relationship which implies the interdependence among the markets has been present. Based on the residuals of the VECM, the DAG analysis demonstrates that German and French stock markets have played important roles as they have influenced other stock markets.
참고문헌 (12)
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