Hilliard, J. "The Relationship Between Equity Indices on World Exchanges." Journal of Finance (March 1979): 103---14. Home/Search Document Not in Database Summary Related Articles Check |
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Information Dispersal: A Microstructure Analysis of Stock.. - Daigler, Herbst (Correct)
.... 2 Other articles of interest concerning the degree of interrelatedness of international equity markets on a daily basis, as well as the direction and magnitude of the transmission of these market movements, include Fisher and Palasvirta (1990) Philippatos, Christofi and Christofi (1983) and Hilliard (1979). 3 Thus, while futures price changes lead cash changes, Chan, Chan and Karolyi (1991) and Kawaller, Koch, and Koch (1990) show that the volatility relationship can go in either direction. 2 futures data to show that vo latility i n one currency futures contract is transmitted to other ....
Hilliard, J., "The Relationship Between Equity Indices on World Exchan ges." Journal of Finance, Vol. 34 No. 1 (March 1979), pp. 103-114.
Correlation Dynamics Between International Stock Markets Using .. - Martens, Poon (1999) (Correct)
....Panel B of Table 1 presents the lag one cross correlations for non synchronous and synchronous returns. Without controlling for non synchroneity, the US returns appear to lead returns in the two European markets in part (a) of Panel B 7 , which is reported in previous studies (see for example, Hilliard (1979), Jaffe and Westerfield (1985) These spurious lead lag correlations disappear once the non synchroneity is controlled for in synchronous correlation in part (b) of Panel B. The other point worth noting here is the widespread negative correlation estimates in the lower triangle of the weekly ....
Hilliard J. (1979) "The relationship between equity indices on world exchanges", Journal of Finance, Vol.34, pp.103-114.
ENTROPY, BIFURCATION AND DYNAMIC MARKET DISEQUILIBRIUM David Nawrocki - Of (Correct)
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Hilliard, J. "The Relationship Between Equity Indices on World Exchanges." Journal of Finance (March 1979): 103---14.
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