Lead/lag linkages between European stock markets

Ilhan Meric, Larry M. Prober, Charles W. Mccall, Gulser Meric

Research output: Contribution to journalArticlepeer-review

Abstract

In this paper, we study the lead/lag linkages between eighteen European stock markets with the Granger (1968, 1988) causality (G-C) technique with daily index returns data for the January 1, 2001-January 1, 2011 period. We find that the German, Belgian, Swedish, French, and Austrian stock markets are the most influential and the Irish, Norwegian, Spanish, and Dutch stock markets are the least influential stock markets in Europe. The Turkish, German, Finnish, and Irish stock markets are the least affected and the U.K., Portuguese, Spanish, and Danish stock markets are the most affected stock markets by the movements in the other European stock markets.

Original languageEnglish (US)
Pages (from-to)139-149
Number of pages11
JournalEuropean Journal of Economics, Finance and Administrative Sciences
Issue number42
StatePublished - Dec 1 2011

All Science Journal Classification (ASJC) codes

  • Business, Management and Accounting(all)
  • Economics, Econometrics and Finance(all)

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