Interdependencies among the Nordic and U.S. Stock Markets
AbstractUsing the concept of Granger causality, interdependencies among the stock market indices for four Nordic countries and the United States are examined. The vector autoregressive model results indicate that the U.S. market affected only the Danish, but not the Norwegian, Finnish, or Swedish markets. The Swedish market was causally prior to both the Norwegian and Finnish markets. The Norwegian, Danish, and Finnish markets did not "Granger cause" any other market. The results indicate that the Nordic stock markets are less than fully integrated. Copyright 1990 by The editors of the Scandinavian Journal of Economics.
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal Scandinavian Journal of Economics.
Volume (Year): 92 (1990)
Issue (Month): 4 ()
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Web page: http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1467-9442
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