Loading...
The european stock market impulse to the U.S. financial crisis
Anaraki, Nahid Kalbasi
Anaraki, Nahid Kalbasi
Author(s)
Author(s) (Additional)
Illustrator(s)
Producer(s)
Contributor(s)
Contributor(s) (Other)
Editor(s)
Advisor(s)
Contact(s)
Data Collector(s)
Keywords
Collections
Files
Loading...
n09354.pdf
Adobe PDF, 91.57 KB
Research Projects
Organizational Units
Journal Issue
Online Access
Abstract
This study examines how the European stock market reacts to the US fundamentals including the Federal Fund Rate (FFR), the Euro-dollar exchange rate, and the US stock market indices. The results from Johansen and Juselius cointegration technique suggest that a long-term relationship exists between the European stock market, and the US fundamentals. The Granger causality test indicates that causality runs from the US to European stock market. Using a ector Error Correction Model (VECM) we measure the long and short-term elasticity of the European Stock Market not only to European fundamentals, but to the US fundamentals, the parity of the Euro-dollar exchange rate, and the US stock market indices. Results from variance decomposition technique indicate that the US business cycles play a dominant role in explaining the European stock market volatility, compared with EU fundamentals.
Note(s)
Topic
Type
Article
Date
2010-05
Identifier
ISBN
DOI
Copyright/License
With permission of the license/copyright holder