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A Study of Granger Causality in Latin American Stock Markets

Author

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  • Mihir Dash

    (School of Business, Alliance University, India)

Abstract

This study investigates the inter-linkages between the US stock market and the Brazilian, Argentinean, and Mexican stock markets, during the period of 2000-07, prior to the global financial crisis, using the augmented Dickey-Fuller test to check the returns series for stationarity, and the Granger causality test to check for causality of returns between the markets. The results of the study suggest that the US market is closely integrated with the Brazilian market, which in turn is closely integrated with the Argentinian and Mexican markets. The results, thus, indicate integration of the Latin American markets, mediated through the Brazilian market.

Suggested Citation

  • Mihir Dash, 2017. "A Study of Granger Causality in Latin American Stock Markets," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 6(2), pages 82-88, May.
    • Handle: RePEc:ods:journl:v:6:y:2017:i:2:p:82-88
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    References listed on IDEAS

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    19. Mihir Dash & Silky Sonthalia Sundarka, 2015. "Testing the Stationarity of Beta for Automotive and Auto-Ancillary Sector Stocks in Indian Stock Market," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 4(2), pages 76-81.
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