In Search of Market Index Leaders: Evidence from World Financial Markets
This paper investigates the presence of Granger-causality amongst world market indices: S&P 500, Dow Jones Industrial Average, Eurostoxx 50, Nikkei, FTSE 100, from January 2nd 1987 to October 17th 2008. Using daily market returns I performed a Granger-causality test, based on the Vector Autoregressive (VAR) model, in order to detect the causalities amongst indices. Different sub-samples were considered, which take into account the distinction between bearish and bullish phases of the markets. Results show that there is high Granger-causality amongst stock returns in every phase of financial markets, but that a real market index leader does not exist, except for Nikkei and Eurostoxx in the third quartile.
|Date of creation:||29 Oct 2008|
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- Pan, Ming-Shiun & Liu, Y. Angela & Roth, Herbert J., 1999. "Common stochastic trends and volatility in Asian-Pacific equity markets," Global Finance Journal, Elsevier, vol. 10(2), pages 161-172.
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