Using daily data covering the 1988-1995 period, this paper checks the effects of three kinds of determinants on the main stock market indices of the G5: interactions between return and volatility, international transmission mechanisms and impact of trading volumes. The non-significance of...

In order to analyse the interest rate transmission mechanism, we study daily Euro-rates term structure for the US, Germany, and the UK between 1983 and 1997. We estimate multivariate VECM-GARCH models, which take into account moste of the usual features of financial data (non-stationarity,...

Building on work about stock markets in industrialized countries, we analyze volatility of stock returns in South-East Asia using the ARCH methodology. Our goal is to highlight specific features of Asian stock market, concerning the statistical properties of returns as well as the volatility...