ABSTRACT. The present paper analyses the relationship between three international stock markets: London, Toronto and Hong-Kong. The non-overlapping trading periods in those three stock markets determine the results of cross-correlations and regressions of the daily returns. In order to deal with problems of autocorrelation a new model proposed by Peiro et al. (1998) is being estimated. This model allows the division of the influencing ability and sensitivity of each market to specific innovations and in global innovations as well. Under this framework, London found to be the most influential market with Hong-Kong the most sensitive.



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