This study explores dynamic price relationships among nine major stock index futures markets, combining an error correction model with directed acyclic graph (DAG) analysis. DAG-based innovation accounting results show that the Japanese market is isolated from other major stock index futures...

This study investigates financial contagion among seven international stock markets around the October 19, 1987 crash. Building on a recent advance in vector autoregression analysis by Swanson and Granger (1997), data-determined historical decompositions are conducted to provide a day-by-day...