Cointegration, error correction and Granger causality: an application with Latin American stock markets
This paper offers an empirical investigation of the presence of a long run relationship in stock prices in six Latin Emerging Markets. We find evidence of a long run relationship among all of these countries in a bivariate framework. Results indicate the presence of bidirectional rather than unidirectional causality suggesting the absence of weak exogeneity among their stock prices.
Volume (Year): 4 (1997)
Issue (Month): 8 ()
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