Non-linear dynamic linkages in the international stock markets

Ozdemir Z. A., Cakan E.

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, cilt.377, sa.1, ss.173-180, 2007 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 377 Sayı: 1
  • Basım Tarihi: 2007
  • Doi Numarası: 10.1016/j.physa.2006.11.013
  • Dergi Adı: PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Sayfa Sayıları: ss.173-180
  • Anahtar Kelimeler: stock markets, non-linear causality, GRANGER CAUSALITY, RETURNS, TRANSMISSION
  • Gazi Üniversitesi Adresli: Hayır

Özet

This study examines the dynamic relationship between the major stock indices of the US, Japan, France and the UK by using the non-linear Granger-causality test. The empirical evidence indicates that there is a strong bi-directional non-linear causal relationship between the US and the others. While the US stock market Granger causes significantly the other considered stock markets, Japan and France do not linear Granger cause the US, but just the UK does. (c) 2006 Elsevier B.V. All rights reserved.