Ozdemir, Zeynel Abidin; Cakan, Esin - In: Physica A: Statistical Mechanics and its Applications 377 (2007) 1, pp. 173-180
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....
