The causal relationships between equity indices on world exchanges

The Engle and Granger cointegration analysis and Granger causality tests are applied to monthly time series of nine major stock market indices over the period January 1982 to February 1991 to examine for causal linkages. The empirical results indicate that there is adequate evidence to refute the notion of informationally efficient stock markets.

[1]  C. Granger.  Investigating Causal Relations by Econometric Models and Cross-Spectral Methods , 1969 .

[2]  George E. P. Box,et al.  Time Series Analysis: Forecasting and Control , 1977 .

[3]  Eduardo S. Schwartz,et al.  Integration vs. Segmentation in the Canadian Stock Market , 1986 .

[4]  P. Perron,et al.  The Great Crash, The Oil Price Shock And The Unit Root Hypothesis , 1989 .

[5]  W. Fuller,et al.  Distribution of the Estimators for Autoregressive Time Series with a Unit Root , 1979 .

[6]  C. Granger.  Testing for causality: a personal viewpoint , 1980 .

[7]  Jimmy E. Hilliard,et al.  The Relationship Between Equity Indices on World Exchanges , 1979 .

[8]  A note on the informational efficiency of emerging stock markets , 1993 .

[9]  H. Akaike.  A new look at the statistical model identification , 1974 .

[10]  John Geweke,et al.  Comparing alternative tests of causality in temporal systems: Analytic results and experimental evidence☆ , 1983 .

[11]  Donald R. Lessard,et al.  World, Country, and Industry Relationships in Equity Returns: Implications for Risk Reduction through International Diversification , 1975 .

[12]  Regularities in the data between major equity markets: evidence from Granger causality tests , 1993 .

[13]  T. Agmon,et al.  THE RELATIONS AMONG EQUITY MARKETS: A STUDY OF SHARE PRICE CO‐MOVEMENTS IN THE UNITED STATES, UNITED KINGDOM, GERMANY AND JAPAN , 1972 .

[14]  Gwilym M. Jenkins,et al.  Time series analysis, forecasting and control , 1972 .

[15]  Bala Arshanapalli,et al.  International stock market linkages: Evidence from the pre- and post-October 1987 period , 1993 .

[16]  Balbir S. Sahni,et al.  Causality Between Public Expenditure and National Income , 1984 .

[17]  David K. Guilkey,et al.  Small Sample Properties of Three Tests for Granger-Causal Ordering in a Bivariate Stochastic System , 1982 .

[18]  A. Malliaris,et al.  The International Crash of October 1987: Causality Tests , 1992, Journal of Financial and Quantitative Analysis.

[19]  Cointegration-based tests of daily foreign exchange market efficiency , 1990 .

[20]  C. Granger,et al.  Co-integration and error correction: representation, estimation and testing , 1987 .

[21]  Ming-Shiun Pan,et al.  An Empirical Analysis of Stock Prices in Major Asian Markets and the United States , 1992 .

[22]  Clive W. J. Granger,et al.  Predictability of Stock Market Prices. , 1971 .