The structure of interdependence in international stock markets Academic Article uri icon


  • This study investigates the dynamic structure of nine major stock markets using an error correction model and directed acyclic graphs (DAG). The DAG representation provides a structure of causality among these markets in contemporaneous time. Building on this contemporaneous structure and the estimated error correction model, innovation accounting techniques are applied. The results show that the Japanese market is among the most highly exogenous and the Canadian and French markets among the least exogenous in our nine-market study. The US market is highly influenced by its own historical innovations, but it is also influenced by market innovations from the UK, Switzerland, Hong Kong, France and Germany. The US market is the only market that has a consistently strong impact on price movements in other major stock markets in the longer-run. 2003 Elsevier Science Ltd. All rights reserved.

published proceedings

  • Journal of International Money and Finance

author list (cited authors)

  • Bessler, D. A., & Yang, J.

citation count

  • 246

complete list of authors

  • Bessler, David A||Yang, Jian

publication date

  • April 2003