Dynamic linkages between the center and periphery in international stock markets

ÖZDEMİR Z. A., Olgun H., SARAÇOĞLU B.

RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, cilt.23, sa.1, ss.46-53, 2009 (ESCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 23 Sayı: 1
  • Basım Tarihi: 2009
  • Doi Numarası: 10.1016/j.ribaf.2008.05.001
  • Dergi Adı: RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE
  • Derginin Tarandığı İndeksler: Emerging Sources Citation Index (ESCI), Scopus
  • Sayfa Sayıları: ss.46-53
  • Anahtar Kelimeler: Emerging markets, Stock markets, Granger-causality
  • Ankara Hacı Bayram Veli Üniversitesi Adresli: Hayır

Özet

This paper examines the dynamic linkages between the equity market of US representing the center and emerging markets using the Granger-causality test. The findings show that causality runs from the S&P500 to the stock prices of the 15 emerging markets but not vice versa. (C) 2008 Elsevier B.V. All rights reserved.