Which Stock Exchange Leads the Other: Comparison Between US, Australia, Euro Zone and UK

Gholamreza Zandi, Muhammad Usman Javaid, Urooj Anwar, Muhammad Umar Islam


Recently, Financial linkages among the most advanced countries are being explored. It is very crucial matter for investors, regulators and government alike. For investor so that they can effectively manage their portfolio and for regulators to implement right policies. However, there is lack of study on identifying existence of the financial linkages and measuring direction and strength of causality among the most advanced countries based on the most updated .Hence, this paper examines linkages between stock markets of four advanced stock markets (the United States, Australia , Euro zone and UK) during the period of January 2004 to December 2013. The method applied are the error correction and variance decompositions technique including recently improved “long run structural modelling (LRSM)”. Our findings, based on the above mentioned rigorous techniques, tend to suggest that there is direction of causation largely from U.K, and Euro Area and lowly from Australia to the US.

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DOI: https://doi.org/10.5430/ijfr.v10n5p250

Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License.

This journal is licensed under a Creative Commons Attribution 4.0 License.

International Journal of Financial Research
ISSN 1923-4023(Print)ISSN 1923-4031(Online)


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