A Study of the Interdependence of Four Major Stock Markets Using a Vector Autoregression
Description:
The question for this thesis is whether the four major stock markets--the United States, Great Britain, West Germany, and Japan are interdependent or segmented. The study period runs from February 1979 to June 1987, with the Wall Street Journal as a source of data. The Granger causality test is used to test for relationships among the four major stock markets. The thesis is divided into five chapters-- 1) statement of the problem; 2) survey of literature; 3) methodology; 4) results and 5) concl…
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Date:
August 1989
Creator:
Cheong, Onn Kee
Partner:
UNT Libraries