A rolling test of Granger causality between the Finnish and Japanese security markets

Omega

Volumn 25, Issue 6, 1997, Pages 635-642

  Aaltonen, J ^a   Östermark, Ralf ^a  

^a ÅBO AKADEMI UNIVERSITY   (Finland)

Author keywords

Granger causality; International asset pricing; Restricted vs free shares

Indexed keywords

FINANCIAL MARKETS; STATISTICAL TESTS;

FINANCIAL ASSETS; FINNISH; GRANGER CAUSALITY; INTERNATIONAL ASSET PRICING; JAPANESE STOCK MARKETS; RESEARCH ISSUES; RESTRICTED VS FREE SHARE; ROLLING TESTS; SECURITIES MARKET; TIME INTERVAL;

COMMERCE;

EID: 0031521342     PISSN: 03050483     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0305-0483(97)00023-6     Document Type: Article

References (24)

1. 1. Granger, C. W. J., Investigating causal relations by econometric models and cross spectral methods. Econometrica, 1969, 37, 424-438.
2. 2. Hietala, P. T., Asset pricing in partially segmented markets: evidence from the Finnish market. Journal of Finance, 1989, 44, 697-718.
3. 3. Bergström, C., Rydqvist, K. and Sellin, P., Asset pricing with inflow and outflow constraints: theory and empirical evidence from Sweden. Journal of Business Finance and Accounting, 1993, 20, 865-879.
4. 4. Bailey, W. and Jagtiani, J., Foreign ownership restrictions and stock prices in the Thai capital market. Journal of Financial Economics, 1994, 36, 57-87.
5. 5. Östermark, R., Modelling cointegrated processes by a vector-valued state space algorithm. Evidence on the impact of Japanese stock prices on the Finnish derivatives market. In Applications of Computer Aided Time Series Modelling. Lecture Notes in Statistics 11, eds. M. Aoki and A. M. Havenner. Springer-Verlag, New York, NY, 1997, pp. 141-179.
6. 6. Östermark, R. and Höglund, R., Multivariate EGARCHX - modelling of the international asset return signal response mechanism. International Journal of Finance and Economics, 1997, 2, 249-262.
7. 7. Agmon, T., The relations among equity markets: a study of share price co-movements in the United States, United Kingdom Germany, and Japan. Journal of Finance, 1972, 27, 839-855.
8. 8. Agmon, T., Country risk: the significance of the country factor for share-price movements in the United Kingdom, Germany, and Japan. Journal of Business, 1973, 46, 24-32.
9. 9. Joy, M., Panton, D., Reilly, F. and Martin, S., Comovements of major equity markets. Financial Review, 1976, 11, 1-20.
10. 10. Cochran, S. J. and Mansur, I., The interrelationships between U.S. and foreign equity market yields: tests of Granger causality. Journal of International Business Studies, 1991, 22, 723-736.
11. 11. Malliaris, A. G. and Urrutia, J. L., The international crash of October 1987: causality tests. Journal of Financial and Quantitative Analysis, 1992, 27, 353-363.
12. 12. Smith, K. L., Brocato, J. and Rogers, J. E., Regularities in the data between major equity markets: evidence from Granger causality tests. Applied Financial Economics, 1993, 3, 55-60.
13. 13. Malkamäki, M., Martikainen, T., Perttunen, J. and Puttonen, V., On the causality and co-movements of Scandinavian stock market returns. Scandinavian Journal of Management, 1993, 9, 67-76.
14. 14. Pehkonen, J., Real wages-employment relationship on Finnish manufacturing: a VAR approach. Applied Economics, 1991, 23, 1559-1568.
15. 15. Guilkey, D. K. and Salemi, M. K., Small sample properties of three tests for Granger-causal ordering in a bivariate stochastic system. Review of Economics and Statistics, 1982, 64, 668-680.
16. 16. Geweke, J., Inference and causality in economic time series model. In Handbook of Econometrics, Vol. 2, eds. Z. Griliches and M. D. Intriligator. North-Holland, Amsterdam, 1984, pp. 1101-1144.
17. 17. Kang, H., The effects of detrending in Granger causality tests. Journal of Business and Economic Statistics, 1985, 3, 344-349.
18. 18. Thornton, D. L. and Batten, D. S., Lag-length selection and tests of Granger causality between money and income. Journal of Money, Credit, and Banking, 1985, 17, 163-178.
19. 19. Jones, J. D., A comparison of lag-length selection techniques in tests of Granger causality between money growth and inflation: evidence for the US, 1959-86. Applied Economics, 1989, 21, 809-822.
20. 20. Kang, H., The optimal lag selection and transfer function analysis in Granger causality tests. Journal of Economic Dynamics and Control, 1989, 13, 151-169.
21. 21. Akaike, H., Fitting autoregression for prediction. Annals of the Institute of Statistical Mathematics, 1969, 21, 243-247.
22. 22. Hsiao, C., Autoregressive modelling and money-income causality detection. Journal of Monetary Economics, 1981, 7, 85-106.
23. 23. Engle, R. F. and Granger, C. W. J., Co-integration and an error correction: representation, estimation, and testing. Econometrica, 1987, 55, 251-275.
24. 24. Davidson, R. and MacKinnon, J. G., Estimation and Inference in Econometrics. Oxford University Press, 1993.