© 2003

An Empirical Investigation of Stock Markets

The CCF Approach


Part of the Research Monographs in Japan-U.S. Business & Economics book series (JUSB, volume 8)

Table of contents

  1. Front Matter
    Pages i-xvii
  2. Shigeyuki Hamori
    Pages 1-5
  3. Shigeyuki Hamori
    Pages 61-81
  4. Shigeyuki Hamori
    Pages 121-124
  5. Back Matter
    Pages 125-131

About this book


An Empirical Investigation of Stock Markets: The CCF Approach attempts to make an empirical contribution to the literature on the movements of stock prices in major economies, i.e. Germany, Japan, the UK and the USA. Specifically, the cross-correlation function (CCF) approach is used to analyze the stock market. This volume provides some empirical evidence regarding the economic linkages among a group of different countries.

Chapter 2 and Chapter 3 analyze the international linkage of stock prices among Germany, Japan, the UK and the USA. Chapter 2 applies the standard approach, whereas Chapter 3 uses the CCF approach. Chapter 4 analyzes the relationship between stock prices and exchange rates. Chapter 5 analyzes the relationship among stock prices, exchange rates, and real economic activities. Chapter 6 summarizes the main results obtained in each chapter and comments on the possible directions of future research.


Germany Japan USA exchange rates research stock market value-at-risk

Authors and affiliations

  1. 1.Kobe UniversityJapan

Bibliographic information

  • Book Title An Empirical Investigation of Stock Markets
  • Book Subtitle The CCF Approach
  • Authors Shigeyuki Hamori
  • Series Title Research Monographs in Japan-U.S. Business & Economics
  • DOI
  • Copyright Information Kluwer Academic Publishers 2003
  • Publisher Name Springer, Boston, MA
  • eBook Packages Springer Book Archive
  • Hardcover ISBN 978-1-4020-7517-9
  • Softcover ISBN 978-1-4613-4838-2
  • eBook ISBN 978-1-4419-9208-6
  • Series ISSN 1385-7568
  • Edition Number 1
  • Number of Pages XVII, 131
  • Number of Illustrations 0 b/w illustrations, 0 illustrations in colour
  • Topics International Economics
    Macroeconomics/Monetary Economics//Financial Economics
  • Buy this book on publisher's site