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The role of the timeline in Granger causality test in the presence of daily data non-synchronism

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Author Info

  • Grigoryev, Ruslan

    ()
    (Kazan State Power Engineering University, Kazan, Russia)

  • Jaffry, Shabbar

    ()
    (University of Portsmouth, UK)

  • Marchenko, German

    ()
    (Kazan State Power Engineering University, Kazan, Russia)

Abstract

The factor of the earlier/later closing market, which appears in pairs of time series with non-synchronism problem exposure, may predetermine the results of the Granger causality test conducted on classic form. The shift in GMT timeline reverses the exposure of the market to the factor of earlier/later closing market, and may change the results of Granger causality test conducted on classic form. Verification of the given assumption on empirical data demonstrated that the US market, having moved from the later closing market to the earlier closing market condition (factor), started to show the behavior similar to other earlier closing markets.

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File URL: http://pe.cemi.rssi.ru/pe_2012_3_03-19.pdf
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Bibliographic Info

Article provided by Publishing House "SINERGIA PRESS" in its journal Applied Econometrics.

Volume (Year): 27 (2012)
Issue (Month): 3 ()
Pages: 3-19

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Handle: RePEc:ris:apltrx:0175

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Web page: http://appliedeconometrics.cemi.rssi.ru/

Related research

Keywords: interdependence; cross-market linkages; spillover; non-synchronism; synchronisation; asynchronism; comovement; Granger causality; GMT timeline; contemporaneous causality; instantaneous causality.;

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References

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  1. Breusch, T.S. & Pagan, A.R., . "The Lagrange multiplier test and its applications to model specification in econometrics," CORE Discussion Papers RP -412, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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  12. Grigoryev, Ruslan & Jaffry, Shabbar & Marchenko, German, 2012. "Investigation of the consequences of ignoring daily data non-synchronism in cross-market linkages: BRIC and developed countries," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 26(2), pages 92-112.
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Cited by:
  1. Korhonen, Iikka & Peresetsky , Anatoly, 2013. "What determines stock market behavior in Russia and other emerging countries?," BOFIT Discussion Papers 4/2013, Bank of Finland, Institute for Economies in Transition.

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