haku: @indexterm causality / yhteensä: 38
viite: 3 / 38
| Tekijä: | Beine, M.(et al.) |
| Otsikko: | International nonlinear causality between stock markets |
| Lehti: | European Journal of Finance
2008 : OCT-DEC, VOL. 14:7-8, p. 663-686 |
| Asiasana: | international stock markets causality models linear models structural analysis Europe USA Japan financial markets |
| Vapaa asiasana: | co-movements linear and nonlinear causality FIGARCH model multiple structural breaks integration testing |
| Kieli: | eng |
| Tiivistelmä: | Based on test for linear and nonlinear Granger causality between the French, German, Japanese, UK and US daily stock index returns from 1973 to 2003 and filter out heteroskedasticity using a FIGARCH model. The author finds a strong contemporaneous linear dependence between European countries and a directional linear dependence from the US towards the other markets and linear causality increases after 1987, a finding consistent with the expected effects of financial liberalization of the 1980s and the 1990s. The paper documents the presence of bidirectional nonlinear causality between daily returns. To check for spurious nonlinear causality. etc. |
SCIMA