Xu, Haifeng; Hamori, Shigeyuki - In: Economics Bulletin 30 (2010) 4, pp. 2656-2667
In this paper, we use the cross-correlation function developed by Cheung and Ng (1996) to investigate the dynamic linkages among G7 countries in the mean and volatility of stock prices from June 2, 2003, through July 31, 2010. In particular, we examined the impact of the American financial...