Intra-Day Returns Transmissions between US and European Equity Markets

We study intraday returns transmissions between Standard amp; Poor's 500 and three European Stock Indices (FTSE 100, CAC, DAX) Using vector autoregressive models. Our purpose is to investigate intermarket dependencies before and after the opening of the New York Stock Exchange. Causality tests on intermarket dynamics are performed by employing maximum likelihood statistics that preserve their asymptotic size under non-gaussian and heteroskedastic disturbances. This allows us to safely draw conclusions on the conditional mean of the joint market-returns distribution without reference to higher moments of the conditional distribution. Both robustified causality tests and impulse response analysis reveal strong causalities among the European markets before and after the opening of the New York Stock Exchange as well as important transmissions from the Samp;P 500 to the continental indices