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Investigation of the consequences of ignoring daily data non-synchronism in cross-market linkages: BRIC and developed countries

  • Grigoryev, Ruslan

    ()

    (Kazan State Power Engineering University, Kazan, Russia)

  • Jaffry, Shabbar

    ()

    (University of Portsmouth, UK)

  • Marchenko, German

    ()

    (Kazan State Power Engineering University, Kazan, Russia)

The comparison was performed between Granger causality test results, based on the equations in classic and non-synchronism corrected forms applying the pairs of stock market indices with daily data non-synchronism problem. In contrast to the non-synchronism corrected form of the equation, the results of Granger causality test performed on classic form of the equation demonstrate the existence of bias, which induces underestimation/overestimation of causality from earlier/later closing markets.

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Article provided by Publishing House "SINERGIA PRESS" in its journal Applied Econometrics.

Volume (Year): 26 (2012)
Issue (Month): 2 ()
Pages: 92-112

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Handle: RePEc:ris:apltrx:0173
Contact details of provider: Web page: http://appliedeconometrics.cemi.rssi.ru/

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  10. Godfrey, Leslie G, 1978. "Testing for Higher Order Serial Correlation in Regression Equations When the Regressors Include Lagged Dependent Variables," Econometrica, Econometric Society, vol. 46(6), pages 1303-10, November.
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