tailieunhanh - The International Price Transmission In Stock Index Futures Markets

Note, however, that the securities laws of applicable . jurisdictions, which are beyond the scope of this article, must be complied with. Although Regulation S provides a complex hierarchy of offering types and the corresponding requirements for each, the basic principle is that there must be no “directed selling efforts” in (toward) the United States. “Directed selling efforts” include any activity undertaken for the purpose of, or that could reasonably be expected to have the effect of, conditioning the market in the United States for any of the securities being offered in reliance on Regulation S. With respect to funds that are raising money both in the. | THE INTERNATIONAL PRICE TRANSMISSION IN STOCK INDEX FUTURES MARKETS JIAN YANG and DAVID A. BESSLER 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 isolatedfrom other major stock index futures markets. The United States and the United Kingdom appear to share leadership roles in stock index futures markets. The UK and German markets rather than the . exert significant influences on most European markets which indicates a pattern of regional integration in Europe. Innovation accounting results based on widely used Choleski decomposition are found to be seriously misleading. JEL G15 C32 I. INTRODUCTION Numerous studies have investigated market linkages and price transmission mechanisms in major international equity markets employing the analytical framework of the vector autoregression VAR or its variant the errorcorrection model ECM .1 Studies such as Von Furstenberg and Jeon 1989 Eun and Shim 1989 and Koch and Koch 1991 focus on the short-run dynamic pattern of price transmission others like Taylor and Tonks 1989 and Francis and Leachman 1998 are primarily interested in the long-run pattern of price transmission. More recently an increasing number of studies explore both long- and short-run patterns of price transmission. Included in this last set are the works of Malliaris and Urrutia 1992 Arshanapalli and Doukas 1993 Masih and We thank three anonymous referees session participants at the 2002 Financial Management Association and 2002 Southwestern Finance Association annual meetings and seminar participants at Texas A M University for helpful comments. An earlier version of the paper was awarded 2002 Best Paper in International Finance Award by Southwestern Finance Association. We also thank Michele Zinn for her editorial comments. Yang Department of Accounting Finance .