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

Author

Listed:
  • Grigoryev, Ruslan

    () (Kazan State Power Engineering University, Kazan, Russia)

  • Jaffry, Shabbar

    () (University of Portsmouth, UK)

  • Marchenko, German

    () (Kazan State Power Engineering University, Kazan, Russia)

Abstract

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.

Suggested Citation

  • Grigoryev, Ruslan & Jaffry, Shabbar & Marchenko, German, 2012. "Investigation of the consequences of ignoring daily data non-synchronism in cross-market linkages: BRIC and developed countries," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 26(2), pages 92-112.
  • Handle: RePEc:ris:apltrx:0173
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    File URL: http://pe.cemi.rssi.ru/pe_2012_2_92-112.pdf
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Grigoryev, Ruslan & Jaffry, Shabbar & Marchenko, German, 2012. "The role of the timeline in Granger causality test in the presence of daily data non-synchronism," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 27(3), pages 3-19.
    2. Korhonen, Iikka & Peresetsky, Anatoly, 2013. "What determines stock market behavior in Russia and other emerging countries?," BOFIT Discussion Papers 4/2013, Bank of Finland, Institute for Economies in Transition.

    More about this item

    Keywords

    interdependence; cross-market linkages; spillover; non-synchronism; synchronisation; asynchronism; comovement; Granger causality; timeline; contemporaneous causality; instantaneous causality.;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
    • F39 - International Economics - - International Finance - - - Other

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