Fig 1.
Time variations in weekly stock price indices and returns of S&P 500, FTSE 100 and EURO STOXX 50 based on local currency terms.
(a) Weekly stock price indices and returns of S&P 500 from 1980–2015. (b) Weekly stock price indices and returns of FTSE 100 prices and returns from 1980–2015. (c) Weekly stock price indices and returns of EURO STOXX 50 prices and returns from 1998–2015.
Table 1.
List of economic, financial and political shocks during 1980–2015.
Table 2.
The three pairs of indices out of S&P 500, FTSE 100 and EURO STOXX 50, and the different currency terms used.
Fig 2.
Dynamic correlation between S&P 500, FTSE 100 and EURO STOXX 50 based on common and local currency terms over 1980–2015.
The red shading represents implementation of QE policies. (a) Dynamic correlation between S&P 500 and FTSE 100 over 1980–2015. (b) Dynamic correlation between index S&P 500 and EURO STOXX 50 over 1998–2015. (c) Dynamic correlation between FTSE 100 and EURO STOXX 50 over 1998–2015.
Table 3.
Statistical analysis of dynamic correlation coefficient.
Fig 3.
p-values from dynamic ADF and PP unit root tests of the S&P 500 index based on USD, GBP and EUR respectively, in log levels.
The red line indicates 5% statistical significance level. (a) S&P 500 index in log level (USD). (b) S&P 500 index in log level (GBP). (c) S&P 500 index in log level (EUR).
Fig 4.
p-values from dynamic ADF and PP unit root tests of the FTSE 100 index based on USD, GBP and EUR respectively, in log levels.
The red line indicates 5% statistical significance level. (a) FTSE 100 index in log level (USD). (b) FTSE 100 index in log level (GBP). (c) FTSE 100 index in log level (EUR).
Fig 5.
p-values from dynamic ADF and PP unit root tests of the EURO STOXX 50 index based on USD, GBP and EUR respectively, in log levels.
The red line indicates 5% statistical significance level. (a) EURO STOXX 50 index in log level (USD). (b) EURO STOXX 50 index in log level (GBP). (c) EURO STOXX 50 index in log level (EUR).
Fig 6.
Dynamic p-values (based on DF and PP tests models) after BH FDR controlling showing FTSE 100’s cointegration with S&P 500 in USD, GBP and local currency terms, during 1980–2015.
The red horizontal line denotes the false discovery rate with 0.05 for the multiple tests; black vertical lines correspond to economic, financial and political shocks during 1980–2015; red shading represents implementation of QE policies. (a) FTSE 100’s cointegration with S&P 500 measured in USD. (b) FTSE 100’s cointegration with S&P 500 measured in GBP. (c) FTSE 100’s cointegration with S&P 500 measured in local currencies.
Fig 7.
Dynamic p-values (based on DF and PP tests models) after BH FDR controlling showing S&P 500 100’s cointegration with FTSE 100 in USD, GBP and local currency terms, during 1980–2015.
The red horizontal line denotes the false discovery rate with 0.05 for the multiple tests; black vertical lines correspond to external and internal economic, financial and political shocks during 1980–2015; red shading represents implementation of QE policies. (a) S&P 500’s cointegration with FTSE 100 measured in USD. (b) S&P 500’s cointegration with FTSE 100 measured in GBP. (c) S&P 500’s cointegration with FTSE 100 measured in local currencies.
Fig 8.
Dynamic p-values (based on DF and PP tests models) after BH FDR controlling showing EURO STOXX 50’s cointegration with S&P 500 in USD, EUR and local currency terms, during 1998–2015.
The red horizontal line denotes the false discovery rate with 0.05 for the multiple tests; gray vertical lines correspond to external and internal financial shocks during 1998–2015; red shading represents implementation of QE policies.(a) EURO STOXX 50’s cointegration with S&P 500 measured in USD. (b) EURO STOXX 50’s cointegration with S&P 500 measured in GBP. (c) EURO STOXX 50’s cointegration with S&P 500 measured in local currencies.
Fig 9.
Dynamic p-values (based on DF and PP tests models) after BH FDR controlling showing S&P 500 100’s cointegration with EURO STOXX 50 in USD, EUR and local currency terms, during 1998–2015.
The red horizontal line denotes the false discovery rate with 0.05 for the multiple tests; gray vertical lines correspond to external and internal financial shocks during 1998–2015; red shading represents implementation of QE policies.(a) S&P 500 100’s cointegration with EURO STOXX 50 measured in USD. (b) S&P 500 100’s cointegration with EURO STOXX 50 measured in GBP. (c) S&P 500 100’s cointegration with EURO STOXX 50 measured in local currencies.
Fig 10.
Dynamic p-values (based on DF and PP tests models) after BH FDR controlling showing EURO STOXX 50’s cointegration with FTSE 100 in GBP, EUR and local currency terms, during 1998–2015.
The red horizontal line denotes the false discovery rate with 0.05 for the multiple tests; gray vertical lines correspond to external and internal financial shocks during 1998–2015; red shading represents implementation of QE policies.(a) EURO STOXX 50’s cointegration with FTSE 100 measured in GBP. (b) EURO STOXX 50’s cointegration with FTSE 100 measured in EUR. (c) EURO STOXX 50’s cointegration with FTSE 100 measured in local currencies.
Fig 11.
Dynamic p-values (based on DF and PP tests models) after BH FDR controlling showing FTSE 100’s cointegration with EURO STOXX 50 in GBP, EUR and local currency terms, during 1998–2015.
The red horizontal line denotes the false discovery rate with 0.05 for the multiple tests; gray vertical lines correspond to external and internal financial shocks during 1998–2015; red shading represents implementation of QE policies.(a) FTSE 100’s cointegration with EURO STOXX 50 measured in GBP. (b) FTSE 100’s cointegration with EURO STOXX 50 measured in EUR. (c) FTSE 100’s cointegration with EURO STOXX 50 measured in local currencies.
Table 4.
Observed periods of cointegration and Granger causality (in long run) between the S&P 500 and FTSE 100 during 1980–2015.
Table 5.
The observed periods of cointegration and Granger causality (in long run) between the S&P 500 and EURO STOXX 50, during 1998–2015.
Table 6.
The observed periods of cointegration and Granger causality (in long run) between the FTSE 100 and EURO STOXX 50 during 1998–2015.
Fig 12.
The statistical significant and negative dynamic ECM-based long-run Granger causality of S&P 500 and FTSE 100 measured in common and local currency terms in 1980–2015.
The blue bars show the S&P 500 causes FTSE 100, and the yellow bars show the FTSE 100 causes S&P 500, respectively. The red shading represents implementation of QE policies. (a) Dynamic long-run Granger causality between S&P 500 and FTSE 100 measured in USD. (b) Dynamic long-run Granger causality between S&P 500 and FTSE 100 measured in GBP. (c) Dynamic long-run Granger causality between S&P 500 and FTSE 100 measured in local currencies.
Fig 13.
The statistical significant and negative dynamic ECM-based long-run Granger causality of S&P 500 and EURO STOXX 50 measured in common and local currency terms in 1998–2015.
The blue bars show the S&P 500 causes EURO STOXX 50, and the yellow bars show the EURO STOXX 50 causes S&P 500, respectively. The red shading represents implementation of QE policies. (a) Dynamic long-run Granger causality between S&P 500 and EURO STOXX 50 measured in USD. (b) Dynamic long-run Granger causality between S&P 500 and EURO STOXX 50 measured in EUR. (c) Dynamic long-run Granger causality between S&P 500 and EURO STOXX 50 measured in local currencies.
Fig 14.
The statistical significant and negative dynamic ECM-based long-run Granger causality of FTSE 100 and EURO STOXX 50 measured in common and local currency terms in 1998–2015.
The blue bars show the FTSE 100 causes EURO STOXX 50, and the yellow bars show the EURO STOXX 50 causes FTSE 100, respectively. The red shading represents implementation of QE. (a) Dynamic long-run Granger causality between FTSE 100 and EURO STOXX 50 measured in GBP. (b) Dynamic long-run Granger causality between FTSE 100 and EURO STOXX 50 measured in EUR. (c) Dynamic long-run Granger causality between FTSE 100 and EURO STOXX 50 measured in local currencies.
Table 7.
Statistical analysis of dynamic error correction coefficients (absolute value) of ECTs.