Dynamic linkages between the center and periphery in international stock markets
This paper examines the dynamic linkages between the equity market of US representing the center and emerging markets using the Granger-causality test. The findings show that causality runs from the S&P500 to the stock prices of the 15 emerging markets but not vice versa.
If 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.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Eun, Cheol S. & Shim, Sangdal, 1989. "International Transmission of Stock Market Movements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(02), pages 241-256, June.
- John Y. Campbell & Pierre Perron, 1991.
"Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots,"
in: NBER Macroeconomics Annual 1991, Volume 6, pages 141-220
National Bureau of Economic Research, Inc.
- John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots," NBER Technical Working Papers 0100, National Bureau of Economic Research, Inc.
- Campbell, J.Y. & Perron, P., 1991. "Pitfalls and Opportunities: What Macroeconomics should know about unit roots," Papers 360, Princeton, Department of Economics - Econometric Research Program.
- Campbell, John & Perron, Pierre, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," Scholarly Articles 3374863, Harvard University Department of Economics.
- Granger, C. W. J., 1988. "Some recent development in a concept of causality," Journal of Econometrics, Elsevier, vol. 39(1-2), pages 199-211.
- Gilmore, Claire G. & McManus, Ginette M., 2002. "International portfolio diversification: US and Central European equity markets," Emerging Markets Review, Elsevier, vol. 3(1), pages 69-83, March.
- Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July.
- De Gooijer, Jan G. & Sivarajasingham, Selliah, 2008. "Parametric and nonparametric Granger causality testing: Linkages between international stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(11), pages 2547-2560.
- Ghosh, Asim & Saidi, Reza & Johnson, Keith H, 1999. "Who Moves the Asia-Pacific Stock Markets--US or Japan? Empirical Evidence Based on the Theory of Cointegration," The Financial Review, Eastern Finance Association, vol. 34(1), pages 159-70, February.
- Masih, Abul M. M. & Masih, Rumi, 1997. "Dynamic linkages and the propagation mechanism driving major international stock markets: An analysis of the pre- and post-crash eras," The Quarterly Review of Economics and Finance, Elsevier, vol. 37(4), pages 859-885.
- Kasa, Kenneth, 1992. "Common stochastic trends in international stock markets," Journal of Monetary Economics, Elsevier, vol. 29(1), pages 95-124, February.
- Hakan Berument & Nergiz Diner & Hasan Olgun, 2006. "The Center and Periphery Relations In International Stock Markets," Working Papers 0604, Department of Economics, Bilkent University.
- King, Mervyn A & Wadhwani, Sushil, 1990.
"Transmission of Volatility between Stock Markets,"
Review of Financial Studies,
Society for Financial Studies, vol. 3(1), pages 5-33.
- Hamao, Yasushi & Masulis, Ronald W & Ng, Victor, 1990. "Correlations in Price Changes and Volatility across International Stock Markets," Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 281-307.
- Cha, Baekin & Oh, Sekyung, 2000. "The relationship between developed equity markets and the Pacific Basin's emerging equity markets," International Review of Economics & Finance, Elsevier, vol. 9(4), pages 299-322, October.
- Ayadi, O. Felix & Dufrene, Uric B. & Chatterjee, Amitava, 1998. "Investment implications of the korean financial market reform," International Review of Financial Analysis, Elsevier, vol. 7(1), pages 83-94.
- Chen, Gong-meng & Firth, Michael & Meng Rui, Oliver, 2002. "Stock market linkages: Evidence from Latin America," Journal of Banking & Finance, Elsevier, vol. 26(6), pages 1113-1141, June.
- Ozdemir, Zeynel Abidin & Cakan, Esin, 2007. "Non-linear dynamic linkages in the international stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 377(1), pages 173-180.
- Paresh Narayan & Russell Smyth & Mohan Nandha, 2004. "Interdependence and dynamic linkages between the emerging stock markets of South Asia," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 44(3), pages 419-439.
- Arshanapalli, Bala & Doukas, John, 1993. "International stock market linkages: Evidence from the pre- and post-October 1987 period," Journal of Banking & Finance, Elsevier, vol. 17(1), pages 193-208, February.
- Wu, Chunchi & Su, Youg-Chern, 1998. "Dynamic relations among international stock markets," International Review of Economics & Finance, Elsevier, vol. 7(1), pages 63-84.
- Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
- Masih, Abul M. M. & Masih, Rumi, 1999. "Are Asian stock market fluctuations due mainly to intra-regional contagion effects? Evidence based on Asian emerging stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 7(3-4), pages 251-282, August.
- Hakan Berument & Onur Ince, 2005. "Effect of S&P500Õs Return on Emerging Markets : Turkish Experience," Working Papers 0508, Department of Economics, Bilkent University.
When requesting a correction, please mention this item's handle: RePEc:eee:riibaf:v:23:y:2009:i:1:p:46-53. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.