Tsuji, Chikashi - In: Applied Economics and Finance 1 (2014) 2, pp. 37-47
heteroskedasticity (MGARCH) model reveal the following evidence. First, (1) we clarify that all US stock returns of the Dow Jones, S&P … Nikkei 225. Moreover, we also find that (2) the changes of the NASDAQ-S&P 500 (NS) ratio are statistically significantly … positively influenced by the returns of TOPIX and the Nikkei 225 while the changes of the Dow Jones-S&P 500 (DS) ratio and the …