Cointegration, error correction and Granger causality: an application with Latin American stock markets
AbstractThis paper offers an empirical investigation of the presence of a long run relationship in stock prices in six Latin Emerging Markets. We find evidence of a long run relationship among all of these countries in a bivariate framework. Results indicate the presence of bidirectional rather than unidirectional causality suggesting the absence of weak exogeneity among their stock prices.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Economics Letters.
Volume (Year): 4 (1997)
Issue (Month): 8 ()
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Web page: http://www.tandf.co.uk/journals/routledge/13504851.html
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