Fisher, K.P., and Palasvirta, A. P., "H igh Road to a G loba l Marketp lace : The Intern ational Transmission of Stock Market Fluctua tions." The Financial Review, Vol. 25 No. 3 (August 1990), pp. 371-394.  Home/Search   Document Not in Database   Summary   Related Articles

.... one location (a heat wave ) Najand, Rahman, and Yung (1992) use daily currency 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 ....

....II can be tested by examining whether the peak coherences are statistically different from zero for each of the seven contract months and the three contract pairings. Thus, testing the peak coherences determines whether a volatility relationship exists between the stock index futures contracts. Fisher and Palasvirta (1990) employ a simulation procedure to show that testing the peak coherence does not create biased results. Moreover, the confidence interval results reported below support the significance of the peak coherences . To test the significance of the peak coherences one employs the test statis tic, Y, ....

Fisher, K.P., and Palasvirta, A. P., "H igh Road to a G loba l Marketp lace : The Intern ational Transmission of Stock Market Fluctua tions." The Financial Review, Vol. 25 No. 3 (August 1990), pp. 371-394.

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