International interdependence and dynamic linkages between developed stock markets

Abstract

This study investigates interdependence and dynamic linkages using daily values of seven indices from five European countries (UK, Germany, France, Italy, Spain), United states of America and Japan. We find that the U.S. market is the leading stock market in the world and the UK stock market is the leading one in Europe. An interesting point is that the German stock market seems not to have a strong effect on the other markets, with its influences embedded in FTSE's 100 influences.