search query: @author Aaltonen, J. / total: 1
reference: 1 / 1
« previous | next »
| Author: | Aaltonen, J. Östermark, R. |
| Title: | A rolling test of Granger causality between the Finnish and Japanese security markets |
| Journal: | Omega
1997 : DEC, VOL. 25:6, p. 635-642 |
| Index terms: | FINLAND JAPAN ASSETS PRICING STOCK MARKETS |
| Language: | eng |
| Abstract: | In the paper, the impact of Japanese stock market on two financial asset groups on the Finnish market in the early 90s is tested. The asset groups are free and restricted shares. The causality is tested in the Granger sense. The research issue is particularly interesting since the restrictions on foreign ownership were abolished by the end of 1992. The linkage btw. the Japanese and Finnish financial economies is seen to be stronger for free than for restricted shares. Significant Granger causality btw. Japanese and Finnish free shares is observed at relatively long consecutive time intervals, whereas the Japanese impact on the restricted shares is only occasional. Thus, the decision to abolish the restrictions not only leads to increased international dependence in the future, but will also change the risk profile of the restricted shares. |
« previous | next »
SCIMA