Liu, Y.; Pan, Ming-Shiun; Shieh, Joseph - In: Journal of Economics and Finance 22 (1998) 1, pp. 59-69
Using a vector autoregressive analysis, this paper examines the structure of international transmissions in daily returns for six national stock markets— the U.S., Japan, Hong Kong, Singapore, Taiwan, and Thailand. Our results generally indicate that (1) the degree of interdependence among...