Abstract #301862

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JSM 2002 Abstract #301862
Activity Number: 355
Type: Contributed
Date/Time: Wednesday, August 14, 2002 : 2:00 PM to 3:50 PM
Sponsor: Business & Economics Statistics Section*
Abstract - #301862
Title: Analysis of The Linkage Among the Daily Movement of the U.S., the U.K., and the Japanese Stock Markets During 1999-2001
Author(s): Fahimeh Rezayat*+
Affiliation(s): California State University, Dominguez Hills
Address: 1000 E. Victoria, Carson, California, 90747, USA
Keywords: Multivariate autoregressive moving averasge
Abstract:

The purpose of this study is to examine the joint impact of the daily movements of the stock markets of the two of the three leading markets on the third Market during 1999-2001, as well as to investigate whether their impacts have changed through this period. Daily closing trading value of the Standard and Spoor's 500 Index, the Nikkei 225 Index and the Financial Times Stock Exchange 100 Index (FTSE) are used to represent the U.S., Japan, and the UK stock markets, respectively. Multivariate autoregressive integrated moving average is employed. To analyze the dynamic of the relationship, the data are sliced to three-month data and the resulting fitted models are used.

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