Measuring Co-movements Between US and European Stock Markets
Preprint
- 6 June 2000
- preprint
- Published by Elsevier in SSRN Electronic Journal
Abstract
In this paper we concentrate on the consequences for the European stock market of a correction of the US Stock market. We explicitly consider the distinction between interdependence and contagion. We provide separate answers to the following questions:(i) is there long-term interdependence between US and Europe, i.e. does the equilibrium for European shares depend on the equilibrium for US shares? (ii) Is there short-term interdependence and contagion between US and European stock markets, i.e do short term fluctuations of the US share prices spill over to European share prices and is such co-movement stable in occasion of the occurrence of high volatility episodes?Keywords
This publication has 1 reference indexed in Scilit:
- Orthopedic Rheumatological Annual Examination (ORJ)Zeitschrift für Orthopädie und Unfallchirurgie, 2018