Non-linear dynamic linkages in the international stock markets

ÖZDEMİR Z. A., Cakan E.

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, vol.377, no.1, pp.173-180, 2007 (SCI-Expanded, Scopus) identifier identifier

  • Publication Type: Article / Article
  • Volume: 377 Issue: 1
  • Publication Date: 2007
  • Doi Number: 10.1016/j.physa.2006.11.013
  • Journal Name: PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
  • Journal Indexes: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Page Numbers: pp.173-180
  • Keywords: stock markets, non-linear causality, GRANGER CAUSALITY, RETURNS, TRANSMISSION
  • Ankara Haci Bayram Veli University Affiliated: No

Abstract

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 stock markets, Japan and France do not linear Granger cause the US, but just the UK does. (c) 2006 Elsevier B.V. All rights reserved.