This paper examines the relationship between the stock market price indices and index returns in three major European equity markets, FTSE100 (U.K), DAX (Germany), and CAC40 (France). Our results, obtained using a vector autoregressive (VAR) model, indicate that while the price indices of the...

In recent times, policy makers, scientists, academics and commentators have become increasingly nervous about the US economic downturn. Discussions have centred around the range and magnitude of the country's socio-economic problems, its vexing production decline and its unsatisfactory...