Dynamic linkages between the center and periphery in international stock markets
AbstractThis 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.
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Bibliographic InfoArticle provided by Elsevier in its journal Research in International Business and Finance.
Volume (Year): 23 (2009)
Issue (Month): 1 (January)
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Web page: http://www.elsevier.com/locate/ribaf
Emerging markets Stock markets Granger-causality;
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