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Cointegration, error correction and Granger causality: an application with Latin American stock markets

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  • Kausik Chaudhuri

Abstract

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.

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  • Kausik Chaudhuri, 1997. "Cointegration, error correction and Granger causality: an application with Latin American stock markets," Applied Economics Letters, Taylor & Francis Journals, vol. 4(8), pages 469-471.
    • Handle: RePEc:taf:apeclt:v:4:y:1997:i:8:p:469-471
    DOI: 10.1080/758536627
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    Cited by:

    1. Taher, Sumaiyah & Masih, Mansur, 2018. "Which market is the driver of the Asian stock markets ?," MPRA Paper 107975, University Library of Munich, Germany.
    2. Ronit Mukherji, 2015. "Stock Market Efficiency in Developing Economies," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 9(4), pages 402-429, November.
    3. Srinivasan Palamalai & Kalaivani M. & Christopher Devakumar, 2013. "Stock Market Linkages in Emerging Asia-Pacific Markets," SAGE Open, , vol. 3(4), pages 21582440135, November.
    4. P., Srinivasan & M., Kalaivani, 2013. "Stock Market Linkages in Emerging Asia-Pacific Markets," MPRA Paper 45871, University Library of Munich, Germany.
    5. Roland Füss & Dieter Kaiser, 2007. "The tactical and strategic value of hedge fund strategies: a cointegration approach," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 21(4), pages 425-444, December.
    6. Chancharat,Surachai & Valadkhani, Abbas, 2007. "An Empirical Analysis of the Thai and Major International Stock Markets," Economics Working Papers wp07-13, School of Economics, University of Wollongong, NSW, Australia.
    7. Moinak Maiti & Darko Vukovic & Yaroslav Vyklyuk & Zoran Grubisic, 2022. "BRICS Capital Markets Co-Movement Analysis and Forecasting," Risks, MDPI, vol. 10(5), pages 1-13, April.
    8. 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, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 26(2), pages 92-112.
    9. Ewing, Bradley T. & Payne, James E. & Sowell, Clifford, 1999. "NAFTA and North American stock market linkages: an empirical note," The North American Journal of Economics and Finance, Elsevier, vol. 10(2), pages 443-451.

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