Dynamic linkages between the center and periphery in international stock markets


ÖZDEMİR Z. A. , Olgun H., SARAÇOĞLU B.

RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, vol.23, no.1, pp.46-53, 2009 (ESCI) identifier identifier

  • Publication Type: Article / Article
  • Volume: 23 Issue: 1
  • Publication Date: 2009
  • Doi Number: 10.1016/j.ribaf.2008.05.001
  • Journal Name: RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE
  • Journal Indexes: Emerging Sources Citation Index (ESCI), Scopus
  • Page Numbers: pp.46-53
  • Keywords: Emerging markets, Stock markets, Granger-causality
  • Ankara Haci Bayram Veli University Affiliated: Yes

Abstract

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.