Kasibhatla, Krishna; Stewart, David; Sen, Swapan; … - Volkswirtschaftliche Fakultät, … - 2006
This paper examines the relationship between the stock market price indices and index returns in three major European equity markets, FTSE100 (U.K), DAX (Germany), and CAC40 (France). Our results, obtained using a vector autoregressive (VAR) model, indicate that while the price indices of the...