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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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    3. Latifa Fatnassi & Ezzeddine Abaoub, 2012. "Analysis Of The Cross-Country Predictability Via The Study Of Cointegration: The Case Of Six Asian Emerging Markets," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 1(4), pages 376-387.
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    6. Angelos Kanas, 1998. "Linkages between the US and European equity markets: further evidence from cointegration tests," Applied Financial Economics, Taylor & Francis Journals, vol. 8(6), pages 607-614.
    7. Mihir Dash, 2014. "Granger Causality and the Capital Asset Pricing Model," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 3(2), pages 68-73.
    8. Johnson, Robert & Soenen, Luc, 2003. "Economic integration and stock market comovement in the Americas," Journal of Multinational Financial Management, Elsevier, vol. 13(1), pages 85-100, February.
    9. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
    10. Jagan Gaur & Mihir Dash, 2015. "Macroeconomic Factors and Performance of Indian Stock Market," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 4(1), pages 11-15.
    11. Darrat, Ali F. & Zhong, Maosen, 2005. "Equity market linkage and multinational trade accords: The case of NAFTA," Journal of International Money and Finance, Elsevier, vol. 24(5), pages 793-817, September.
    12. Mihir Dash, 2015. "A Study of Granger Causality in Asian Stock Markets," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 4(3), pages 145-150.
    13. Fujii, Eiji, 2005. "Intra and inter-regional causal linkages of emerging stock markets: evidence from Asia and Latin America in and out of crises," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(4), pages 315-342, October.
    14. T. Mohanasundaram & P. Karthikeyan, 2017. "Decisive Economic and Stock Market Indicators on Foreign Institutional Investments: Evidence from India," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 6(1), pages 43-57, February.
    15. 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.
    16. Jose Pagan & Gokce Soydemir, 2000. "On the linkages between equity markets in Latin America," Applied Economics Letters, Taylor & Francis Journals, vol. 7(3), pages 207-210.
    17. Yu Zhang & Xiaosong Zheng, 2016. "A Study of Herd Behavior Based on the Chinese Stock Market," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 5(2), pages 131-135, May.
    18. Benjamin Miranda Tabak & Eduardo José Araújo Lima, 2002. "Causality and Cointegration in Stock Markets: The Case of Latin America," Working Papers Series 56, Central Bank of Brazil, Research Department.
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