On the causality and co-movements of scandinavian stock market returns
AbstractThis paper reports some tests of Scandinavian stock market indices. Firstly, Granger causality tests of daily Swedish, Norwegian, Danish and Finnish stock returns are performed. Secondly, the effects of world-wide returns on these four Scandinavian markets are analysed. Some causality between Scandinavian markets is observed. The Swedish market is found to be the leading one of the four, while the other three appear to have no significant influence on other markets. Thus, the results do not indicate full integration of information between Scandinavian stock markets. The world-wide returns seem to have significant leading effects on Scandinavian market returns. This may be due to the growing international capital movements across countries and stock exchanges. The ongoing internationalization may well have significant effects on the returns behaviour of Scandinavian stock markets, in particular in Norway, Denmark and Finland.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Elsevier in its journal Scandinavian Journal of Management.
Volume (Year): 9 (1993)
Issue (Month): 1 (March)
Contact details of provider:
Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/872/description#description
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Eduard Baumöhl & Mária Farkašovská & Tomáš Výrost, 2010. "Stock Market Integration: DCC MV-GARCH Model," Politická ekonomie, University of Economics, Prague, vol. 2010(4), pages 488-503.
- Aaltonen, J. & Östermark, R., 1997. "A rolling test of granger causality between the Finnish and Japanese security markets," Omega, Elsevier, vol. 25(6), pages 635-642, December.
- Ostermark, Ralf, 2001. "Multivariate cointegration analysis of the Finnish-Japanese stock markets," European Journal of Operational Research, Elsevier, vol. 134(3), pages 498-507, November.
- Knif, Johan & Pynnonen, Seppo, 1999. "Local and global price memory of international stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 9(2), pages 129-147, April.
- G. G. Booth & T. Martikainen, 1999. "Excess returns and international diversification: The Scandinavian view," European Journal of Finance, Taylor and Francis Journals, vol. 5(3), pages 181-185.
- Joseph Friedman & Yochanan Shachmurove, 2005. "European Stock Market Dynamics Before and After the Introduction of the Euro," PIER Working Paper Archive 05-028, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wendy Shamier).
If references are entirely missing, you can add them using this form.