Abstract:We investigate the dynamic price relationships among ten major stock indexes in Europe before, during and after the recent financial crisis. Using an error-correction model we find that the stock markets are cointegrated with three cointegrating vectors before the crisis and that the markets are cointegrated with only one cointegrating vector during and after the crisis. We further apply directed acyclic graph (DAG) analysis on the contemporaneous correlations innovation matrix to explore the instantaneous tra… Show more
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