The centre and periphery relations in international stock markets
Date
2006Source Title
Applied Financial Economics Letters
Print ISSN
1744-6546
Electronic ISSN
1744-6554
Publisher
Routledge
Volume
2
Issue
6
Pages
365 - 370
Language
English
Type
ArticleItem Usage Stats
198
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211
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Abstract
Encouraged by the findings of the recent studies it is argued that a kind of centre-periphery relation has been emerging between the equity markets of the developed and less developed countries. To test the argument the VAR model is employed with block exogeneity. Empirical results show that S&P500 returns, representing the centre, affect the equity markets of the emerging markets either instantaneously or with a time lag depending on their geographical location.