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Journal Article

International Transmission of Stock Market Movements

Cheol S. Eun and Sangdal Shim
The Journal of Financial and Quantitative Analysis
Vol. 24, No. 2 (Jun., 1989), pp. 241-256
DOI: 10.2307/2330774
Stable URL: http://www.jstor.org/stable/2330774
Page Count: 16
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International Transmission of Stock Market Movements
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Abstract

This paper investigates the international transmission mechanism of stock market movements by estimating a nine-market vector autoregression (VAR) system. Using simulated responses of the estimated VAR system, we (i) locate all the main channels of interactions among national stock markets, and (ii) trace out the dynamic responses of one market to innovations in another. Generally speaking, a substantial amount of multi-lateral interaction is detected among national stock markets. Innovations in the U.S. are rapidly transmitted to other markets in a clearly recognizable fashion, whereas no single foreign market can significantly explain the U.S. market movements. Also, the dynamic response pattern is found to be generally consistent with the notion of informationally efficient international stock markets.

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