Non-Linear Dynamic Linkages in the International Stock Markets

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 stockarkets, Japan and France do not linear Granger cause the US, but just the UK does

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Year of publication:	2009
Authors:	Ozdemir, Zeynel Abidin ; Cakan, Esin
Publisher:	[S.l.] : SSRN
Subject:	Internationaler Finanzmarkt \| International financial market \| Aktienmarkt \| Stock market \| Welt \| World \| Aktienindex \| Stock index \| Japan \| Großbritannien \| United Kingdom \| Deutschland \| Germany

Extent:	1 Online-Ressource (16 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Physica A: Statistical Mechanics and its Applications, Vol. 377, No. 1, pp. 173-180, 2007 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 25, 2009 erstellt
Classification:	C32 - Time-Series Models ; G14 - Information and Market Efficiency; Event Studies
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014200485