A common factor analysis for the US and the German stock markets during overlapping trading hours

Flad, Michael; Jung, Robert C.

doi:10.1016/j.intfin.2007.07.005

Cited by 15 publications

(12 citation statements)

References 27 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…For example for q = 0.1, the Rényi transfer entropy estimate of the flow from the S&P 500 to the DAX is 27% higher than the reverse flow from the DAX to the S&P 500. Even though our pre-crisis sample is longer than that of Flad and Jung (2008), our results are in line with their finding of US dominance in the information flows. During the crisis period the picture is altered: First, the information flow intensity increases considerably; the difference between pre-crisis and crisis estimates is also statistically significant.…”

Section: Stock Market Datasupporting

confidence: 90%

“…This is in line with findings of Flad and Jung (2008). However, during the financial crisis the information flows became more conform.…”

supporting

confidence: 91%

“…In contrast to the study of Flad and Jung (2008), we do not depend on the existence of cointegration between stock market indices, whose economic plausibility and empirical support have been questioned in recent studies (compare Dimpfl, 2013). Instead, our analysis uses the concept of Rényi transfer entropy, which is a flexible non-parametric method that accounts for linear as well as non-linear dependencies (Schreiber, 2000).…”

Section: Introductionmentioning

confidence: 64%

See 2 more Smart Citations

The impact of the financial crisis on transatlantic information flows: An intraday analysis

Dimpfl

Peter

2014

Journal of International Financial Markets, Institutions and Mo

View full text Add to dashboard Cite

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in AbstractWe use intraday stock index return data from both sides of the Atlantic during overlapping trading hours to analyze the dynamic interactions between European and US stock markets. We are particularly interested in differences of information transmission before, during, and after the financial crisis of 2007 to 2009. Our analysis draws on the concept of Rényi transfer entropy to allow for a flexible and model-free empirical assessment of linear as well as non-linear market dependencies. Thereby the importance of extreme (tail) observations of the return distributions is highlighted. The results show significant bi-directional information transfer between the US and the European markets with a dominant flow from the US market. During the crisis dynamic interactions increase. At the same time information flows from European markets increase. The US market does not entirely regain its leading role in the after crisis period.

show abstract

Section: Stock Market Datasupporting

confidence: 90%

“…This is in line with findings of Flad and Jung (2008). However, during the financial crisis the information flows became more conform.…”

supporting

confidence: 91%

Section: Introductionmentioning

confidence: 64%

See 1 more Smart Citation

The impact of the financial crisis on transatlantic information flows: An intraday analysis

Dimpfl

Peter

2014

Journal of International Financial Markets, Institutions and Mo

View full text Add to dashboard Cite

show abstract

“…Their results showed that the inclusion of the upper/lower bounds does not affect the results and found that the futures lead price movement over the spot. Flad and Jung (2008) investigated both the short-term and long-term relations between the DAX and DJIA indices. They applied Kasa (1992) decomposition, Gonzalo and Granger (1995) PT and Hasbrouck (1995) IS methods.…”

Section: Classical Empirical Methodologies Used To Study the Price DImentioning

confidence: 99%

Do ETFs lead the price moves? Evidence from the major US markets

Buckle

Chen

Guo

et al. 2018

International Review of Financial Analysis

View full text Add to dashboard Cite

In this paper, we study relative price discovery for three major US indices, their futures and exchange traded funds (ETFs) using intra-day price movements from 2003 until 2013. The methodologies employed in our analysis include information share (IS), permanent and transitory decomposition (PT), and weighted price contribution (WPC). The results from PT indicate that for each index ETFs have taken over the role of price discovery from futures contracts; while the results from WPC suggest that the spot markets lead price movements, which in turn implies the ETFs may have adjusted prices actively to pre-market information and activities.

show abstract

“…In this case, it is not clear to which point in world time the common trend is attributed. Flad and Jung (2008) use high-frequency intra-day 1-min returns data. To avoid the problem of non-synchronous data they use data only for the overlapping hours of the USA and German stock market trading sessions.…”

Section: Introductionmentioning

confidence: 99%

Autocorrelation in an unobservable global trend: does it help to forecast market returns?

Peresetsky

Yakubov

2017

IJCEE

View full text Add to dashboard Cite

Abstract:In this paper, a Kalman filter-type model is used to extract a global stochastic trend from discrete non-synchronous data on daily stock market index returns from different markets.1 The model allows for the autocorrelation in the global stochastic trend, which means that its increments are predictable. It does not necessarily mean the predictability of market returns, since the global trend is unobservable. The performance of the model for the forecast of market returns is explored for three markets: Japan, UK, USA.

show abstract

A common factor analysis for the US and the German stock markets during overlapping trading hours

Cited by 15 publications

References 27 publications

The impact of the financial crisis on transatlantic information flows: An intraday analysis

The impact of the financial crisis on transatlantic information flows: An intraday analysis

Do ETFs lead the price moves? Evidence from the major US markets

Autocorrelation in an unobservable global trend: does it help to forecast market returns?

Contact Info

Product

Resources

About