Do the US trends drive the UK-French market linkages?: empirical evidence from a threshold intraday analysis
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.
Format du dépôt | Notice |
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Type de dépôt | Article dans une revue |
Résumé |
en
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.
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Titre |
en
Do the US trends drive the UK-French market linkages?: empirical evidence from a threshold intraday analysis
|
Auteur(s) |
Fredj Jawadi
1, 2, 3, 4
, Waël Louhichi
5
, Hachmi Ben Ameur
2
1
EconomiX -
EconomiX
( 2564 )
- Bâtiment G
200 Avenue de la République
92001 NANTERRE CEDEX
- France
2
Amiens School of Management
( 234287 )
- France
3
UEVE -
Université d'Évry-Val-d'Essonne
( 300306 )
- Boulevard François Mitterrand 91025 Evry Cedex
- France
4
LITEM -
Laboratoire en Innovation, Technologies, Economie et Management (EA 7363)
( 1042298 )
- 9 rue Charles Fourier, 91011 Evry Cedex
- France
5
CREM -
Centre de recherche en économie et management
( 894 )
- 7 place Hoche, BP 86514
35065 RENNES CEDEX
- France
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Nom de la revue |
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Commentaire |
HCERES C, ABS 1
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Langue du document |
Anglais
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Vulgarisation |
Non
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Comité de lecture |
Oui
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Audience |
Internationale
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Date de publication |
2013
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Date de publication électronique |
2012-08-28
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Volume |
20
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Numéro |
5
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Page/Identifiant |
499-503
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Collaboration/Projet |
|
Domaine(s) |
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Mots-clés (JEL) |
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Mots-clés |
en
US stock market news, Contagion, Dependency, TAR, Structural breaks
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DOI | 10.1080/13504851.2012.714064 |
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