TY - JOUR AU - Setiadi, Robertus PY - 2021/06/18 Y2 - 2024/03/29 TI - WHO MOVES WESTERN EUROPE STOCK MARKETS? JF - Emerging Markets : Business and Management Studies Journal JA - EMBM VL - 8 IS - 1 SE - Articles DO - 10.33555/embm.v8i1.166 UR - https://journal.sgu.ac.id/ijembm/index.php/ijembm/article/view/166 SP - 25-39 AB - This paper focuses on short- and long-term causal relationship on six major Stock Exchanges in Western Europe which actively traded, while also considering the interaction with US Stock Exchange. The observation period is separated into 3 sub-samples to represent the pre-crisis period, crisis period, and post-crisis period; while the author also distinguishes between local currency and USD denominations in stock closing price. Conversion of local currency in USD denominations shows an effect on increasing the inter-dependence shown in the pre-crisis observation while tested using Johansen test. In the whole-period sample, Belgium, Germany, and the US should be considered as dominant country to granger cause the other Western Europe. Long-term relationships were also tested by granger causality showing different characteristics in each sub-sample. Finally, Italy is the most sensitive country in the response to other Western European countries innovations while tested by Generalized Impulse Response Analysis. ER -