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Are there common trends in European stock markets

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Organization and functioning of the principal European stock exchanges

1964

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Dependencies between European stock markets when price changes are unusually large

Schich, Sebastian T. - 2002

Niederlande und Italien von 1973 bis 2001. Abhängigkeit wird dabei gemessen anhand der bedingten Wahrscheinlichkeit einer … Italien weniger eng mit dem deutschen Aktienmarkt verbunden sind. Viertens sind die Abhängigkeiten zwischen zwei Märkten …

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Dependencies between European stock markets when price changes are unusually large

Schich, Sebastian T. - 2002

The present paper studies dependencies between European stock markets when returns are unusually large, using daily data on stock market indices for Germany, the United Kingdom, France, the Netherlands and Italy from 1973 to 2001. Dependency is measured by the conditional probability of an...