Search Results - subject:"Granger‐causality"

Do Magazines' ”Companion Websites” Cannibalize the Demand for the Print Version?

Kaiser, Ulrich; Kongsted, Hans Christian - Centre for Industrial Economics (CIE), Økonomisk Institut - 2007

sales and foreign sales using Granger causality tests on the basis of monthly data for the German magazine market spanning …

Persistent link: https://www.econbiz.de/10005232966

The Relationship between Stock Market and Macroeconomic Variables: a Case Study for Iran

Mehrara, Mohsen - In: Iranian Economic Review 12 (2007) 1, pp. 51-62

This paper examines the causal relationship between stock prices and macroeconomic aggregates in Iran, by applying the techniques of the long–run Granger non–causality test proposed by Toda and Yamamoto (1995). We test the causal relationships between the TEPIX Index and the three...

Persistent link: https://www.econbiz.de/10010695839

Ticari Ve Finansal Disa Aciklik Ile Ekonomik Buyume Arasindaki Iliski: Turkiye Uzerine Bir Uygulama

YAPRAKLI, Asst. Prof. Sevda - In: Istanbul University Econometrics and Statistics e-Journal 5 (2007) 1, pp. 67-89

correction-augmented Granger causality tests and vector error correction model. According to the results, economic growth is … positively effected by trade openness, and negatively by financial openness in the long run. Error correction-augmented Granger … causality tests show that there is bi-directional causality between trade and financial openness and economic growth …

Persistent link: https://www.econbiz.de/10005112850

An empirical model for durations in stocks

Simonsen, Ola - In: Annals of Finance 3 (2007) 2, pp. 241-255

Persistent link: https://www.econbiz.de/10005673964

Where Do the Leaders Trade?

Hanousek, Jan; Nemecek, Libor - 1997

In the present paper we concentrate on the interaction and sharing of the information between the organized markets in the Czech Republic. Moreover, the interesting principal-agent problem between the Prague Stock Exchange (PSE) and RMS (over the counter system) is studied to identify the...

Persistent link: https://www.econbiz.de/10009476696

Where Do the Leaders Trade?

Hanousek, Jan; Nemecek, Libor - William Davidson Institute, University of Michigan - 1997

Persistent link: https://www.econbiz.de/10005489861

Information Flows Between Eurodollar Spot and Futures Markets

Cheung, Yin-Wong; Fung, Hung-Gay - In: Multinational Finance Journal 1 (1997) 4, pp. 255-271

The pattern of information flows between Eurodollar spot and futures markets is examined using a robust two-step procedure. This procedure allows for conditional mean and variance dynamics as well as conditional heteroskedasticity. We find spot rates affect futures data and vice versa. In...

Persistent link: https://www.econbiz.de/10010937078

Weak-form Efficiency and Causality Tests in Chinese Stock Markets

Laurence, Martin; Cai, Francis; Qian, Sun - In: Multinational Finance Journal 1 (1997) 4, pp. 291-307

China has two major stock exchanges, the Shanghai and the Shenzen exchanges. Each of these exchanges trades two types of shares, type “A” and type “B” shares. Type “A” shares are available to domestic investors only and type “B” shares are available to foreign investors. This...

Persistent link: https://www.econbiz.de/10010937154

Causality and Innovations Between Fertility and Infant Mortality

Yamada, Tadashi - 1983

The main issue of this paper is to study the sign and direction of causality between two demographic variables --the fertility rate and the infant mortality rate - by using time series methodology. It is shown that a fall in fertility will decrease infant mortality below its normal level. It is...

Persistent link: https://www.econbiz.de/10012478009

A model of the commercial loan market in Singapore

Goh, Kuang Hui; Wu, Ying - 1997

Persistent link: https://www.econbiz.de/10001500502