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Testing for causality-in-mean and in-variance among the U.S., China, and some Africa capital markets: A CCF approach

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  • Osabuohien-Irabor Osarumwense

    (Department of International Economics, School of Economics, Ural Federal University, Ekaterinburg, Russia)

Abstract

Aim/purpose – Owing to the huge risk occasioned by negative contagion effects associated with financial market linkages, markets participants and academia have continued to examine the capital market cross country interdependence at different levels. In this paper, we examined the causal relationships among the U.S., China and some top African capital market indexes.

Suggested Citation

  • Osabuohien-Irabor Osarumwense, 2021. "Testing for causality-in-mean and in-variance among the U.S., China, and some Africa capital markets: A CCF approach," Journal of Economics and Management, Sciendo, vol. 43(1), pages 131-153, January.
    • Handle: RePEc:vrs:jecman:v:43:y:2021:i:1:p:131-153:n:3
    DOI: 10.22367/jem.2021.43.07
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    References listed on IDEAS

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    More about this item

    Keywords

    causality-in-mean; causality-in-variance; capital market; cross-correlation function;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General

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