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Stock Market Interactions between the BRICS and the United States: Evidence from Asymmetric Granger Causality Tests in the Frequency Domain

Author

Listed:
  • Tsangyao Chang

    (Department of Finance, Feng Chia University, Taichung, Taiwan.)

  • Omid Ranjbar

    (Department of Economics, University of Allameh Tabataba'i, Tehran, Iran.)

  • Charl Jooste

    (Department of Economics, University of Pretoria, Pretoria, South Africa.)

Abstract

The interaction of BRICS stock markets with the United States is studied using an asymmetric Granger causality test based on the frequency domain. This type of analysis allows for both positive and negative shocks over different horizons. There is a clear bivariate causality that runs both ways between the United States stock market and the respective BRICS markets. In addition, both negative and positive shocks in the United States stock market affect the majority of BRICS markets.

Suggested Citation

  • Tsangyao Chang & Omid Ranjbar & Charl Jooste, 2017. "Stock Market Interactions between the BRICS and the United States: Evidence from Asymmetric Granger Causality Tests in the Frequency Domain," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 21(2), pages 297-320, Spring.
    • Handle: RePEc:eut:journl:v:21:y:2017:i:2:p:297
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    References listed on IDEAS

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    Cited by:

    1. Pasrun Adam & Ambo Wonua Nusantara & Abd AzisMuthalib, 2017. "Foreign Interest Ratesand the IslamicStock Market Integration between Indonesia and Malaysia," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 21(3), pages 639-659, Summer.
    2. Muhammad Hanif & Ariba Sabah, 2020. "Stock Markets’ Integration in Post Financial Crisis Era: Evidence from Literature," Capital Markets Review, Malaysian Finance Association, vol. 28(2), pages 43-71.

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