Asymmetric Information Transmission between a Transition Economy and the U.S. Market: Evidence from the Warsaw Stock Exchange

We investigate the international information transmission between the U.S. and Polish stock markets using daily return data from the S&P 500 Index and the Warszawski Indeks Gieldowy (WIG). The results show no volatility spillover between these two markets and that these two markets are not drive...

Full description

Saved in:
Bibliographic Details
Main Authors: WU, Chunchi, Tse, Y., Young, Allan
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2003
Subjects:
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/829
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English