The International Price Transmission in Stock Index Futures Markets
研究了九个主要股指期货市场之间的动态价格关系，发现日本市场孤立，英美共同领导，英国和德国对欧洲市场影响显著，呈现区域一体化模式。
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 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 U.S. 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.