Nonlinear Diachronic Relationships between Financial Newspapers Circulations and the General Index of the Athens Stocks Exchange

Maria Kalpouzani and Dikaios Tserkezos ()
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Maria Kalpouzani: Dept. of Economics, University of Crete, Greece
Dikaios Tserkezos: Department of Economics, University of Crete, Greece

No 903, Working Papers from University of Crete, Department of Economics

Abstract: This paper investigates the existence of any linear or non-linear diachronic relationship between the financial newspapers circulations and the General Index of the Athens Stocks Exchange (ASE). We employed a nonlinear version of the Hsiao¢s (1979) linear causality technique in order to test and detect the direction of any possible linear or non-linear causality between these variables. Using daily data of the period 2003-2007 we identified non-linear bi-directional causality between the financial newspapers circulations and the General Index of the Athens Stocks Exchange (ASE).

Keywords: Financial newspapers circulations; Athens Stocks Exchange General Index; Non-linear Causality; Diachronic Impulse Response Functions (search for similar items in EconPapers)
JEL-codes: F17 F21 (search for similar items in EconPapers)
Date: 2009-03-24

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Persistent link: http://EconPapers.repec.org/RePEc:crt:wpaper:0903

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