Panopulu, Aikaterinē; Pantelidis, Theologos - In: Applied financial economics 19 (2009) 10/12, pp. 917-933
We investigate the international information transmission between the US and the rest of the G-7 countries using daily stock market return data covering the last 20 years. A split-sample analysis reveals that the linkages between the markets have changed substantially in the recent era (i.e....
