Vortelinos, Dimitrios; Gkillas (Gillas), Konstantinos; … - In: International Journal of Managerial Finance 14 (2018) 1, pp. 78-129
Purpose: The purpose of this paper is to examine the inter-relations among the US stock indices. Design/methodology/approach: Data of nine US stock indices spanning a period of sixteen years (2000-2015) are employed for this purpose. Asymmetries are examined via an error correction model....