Lead/lag linkages between European stock markets

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

Lead/lag linkages between European stock markets

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

Accounting & Finance

Research output: Contribution to journal › Article › peer-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 language	English (US)
Pages (from-to)	139-149
Number of pages	11
Journal	European Journal of Economics, Finance and Administrative Sciences
Issue number	42
State	Published - Dec 2011

All Science Journal Classification (ASJC) codes

General Economics, Econometrics and Finance
General Business, Management and Accounting

Cite this

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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.",

author = "Ilhan Meric and Prober, {Larry M.} and Mccall, {Charles W.} and Gulser Meric",

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language = "English (US)",

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AB - 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.

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JF - European Journal of Economics, Finance and Administrative Sciences

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ER -

Lead/lag linkages between European stock markets

Abstract

All Science Journal Classification (ASJC) codes

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