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Nonlinear Diachronic Relationships between Financial Newspapers Circulations and the General Index of the Athens Stocks Exchange

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Author Info
Maria Kalpouzani (Dept. of Economics, University of Crete, Greece)
Dikaios Tserkezos () (Department of Economics, University of Crete, Greece)
Abstract

This paper investigates the existence of any linear or non-linear diachronic relationship between the financial newspapers circulations and the General Index of the Athens Stocks Exchange (ASE). We employed a nonlinear version of the Hsiao¢s (1979) linear causality technique in order to test and detect the direction of any possible linear or non-linear causality between these variables. Using daily data of the period 2003-2007 we identified non-linear bi-directional causality between the financial newspapers circulations and the General Index of the Athens Stocks Exchange (ASE).

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File URL: http://economics.soc.uoc.gr/wpa/docs/Tserkezos_20090324.pdf
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Publisher Info
Paper provided by University of Crete, Department of Economics in its series Working Papers with number 0903.

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Length: 17 pages
Date of creation: 24 Mar 2009
Date of revision:
Handle: RePEc:crt:wpaper:0903

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Related research
Keywords: Financial newspapers circulations; Athens Stocks Exchange General Index; Non-linear Causality; Diachronic Impulse Response Functions;

Find related papers by JEL classification:
F17 - International Economics - - Trade - - - Trade Forecasting and Simulation
F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements

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This page was last updated on 2009-12-10.

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