Do the US trends drive the UK-French market linkages?: empirical evidence from a threshold intraday analysis
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2013
- handle: 10670/1.sf508w
- halshs: halshs-00875569
- doi: 10.1080/13504851.2012.714064
Ce document est lié à :
info:eu-repo/semantics/altIdentifier/doi/10.1080/13504851.2012.714064
Mots-clés
US stock market news Contagion Dependency TAR Structural breaks C - Mathematical and Quantitative Methods/C.C2 - Single Equation Models • Single Variables/C.C2.C22 - Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models • Diffusion Processes G - Financial Economics/G.G1 - General Financial Markets/G.G1.G15 - International Financial MarketsSujets proches
Public markets Frenchmen (French people) Center-periphery relations Dependent nations Core-periphery relationsCiter ce document
Fredj Jawadi et al., « Do the US trends drive the UK-French market linkages?: empirical evidence from a threshold intraday analysis », HAL-SHS : économie et finance, ID : 10.1080/13504851.2012.714064
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Résumé
This article investigates the impact of US stock market openings on linkages between the UK and French markets. Using intraday data over the period December 2004 to March 2009, we find significant time-varying dependence between the UK and French stock returns, which alter according to the state of the US market. Indeed, not only does the opening of the US market itself significantly affect the UK stock dependency, but such linkages also seem to be closely dependent on bearish or bullish US market trends. Interestingly, the estimation of a two-regime Threshold Autoregressive (TAR) model indicates that the bearish US trends are a source of minor linkage (lower regime), whereas the bullish US trends involve higher interdependency (upper regime). This finding is particularly interesting as following the US trend expectations enables us to better forecast future European stock prices and to calculate the level of their potential contagion effects.