Non-linear dynamic linkages in the international stock markets

Zeynel Ozdemir () and Esin Cakan ()

Physica A: Statistical Mechanics and its Applications, 2007, vol. 377, issue 1, 173-180

Abstract: This study examines the dynamic relationship between the major stock indices of the US, Japan, France and the UK by using the non-linear Granger-causality test. The empirical evidence indicates that there is a strong bi-directional non-linear causal relationship between the US and the others. While the US stock market Granger causes significantly the other considered stock markets, Japan and France do not linear Granger cause the US, but just the UK does.

Keywords: Stock markets; Non-linear causality (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (17)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:377:y:2007:i:1:p:173-180

DOI: 10.1016/j.physa.2006.11.013

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