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 İndekslerine Giren Dergi) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 377 Konu: 1
  • Basım Tarihi: 2007
  • Doi Numarası: 10.1016/j.physa.2006.11.013
  • Dergi Adı: PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
  • Sayfa Sayıları: ss.173-180

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.