Interdependence of stock exchange indices from leading capital markets: USA, Germany and Japan Stock Market

In the context of globalization, due to accelerated process economic integration countries and financial markets, interdependence world's leading markets is more than obvious. This paper investigates stock exchange indices from capital in world: USA, European Union Asia. Our intention determine direction causality between observed as well whether what way shocks one market are transmitted other markets. Research methodology includes stationarity testing, existence cointegration, application Vector Autoregressive Model (VAR) which complemented by Granger test Impulse Response Function (IRF) analysis. The results research follows. Johansen's cointegration showed that there no long-term equilibrium relationship while Granger's mutual Germany United States. As for Japanese index, previous events States statistically significant, but on Tokyo Stock Exchange cannot explain movements According IRF analysis, may occur US have an almost identical impact all On hand, disturbances not German American market, i.e. remain Japan.