Non-linear dynamic linkages in the international stock markets
AbstractThis 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.
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Bibliographic InfoArticle provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.
Volume (Year): 377 (2007)
Issue (Month): 1 ()
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Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/
Stock markets; Non-linear causality;
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