On the causality and co-movements of scandinavian stock market returns

Markku Malkamäki, Teppo Martikainen, Jukka Perttunen and Vesa Puttonen

Scandinavian Journal of Management, 1993, vol. 9, issue 1, 67-76

Abstract: This paper reports some tests of Scandinavian stock market indices. Firstly, Granger causality tests of daily Swedish, Norwegian, Danish and Finnish stock returns are performed. Secondly, the effects of world-wide returns on these four Scandinavian markets are analysed. Some causality between Scandinavian markets is observed. The Swedish market is found to be the leading one of the four, while the other three appear to have no significant influence on other markets. Thus, the results do not indicate full integration of information between Scandinavian stock markets. The world-wide returns seem to have significant leading effects on Scandinavian market returns. This may be due to the growing international capital movements across countries and stock exchanges. The ongoing internationalization may well have significant effects on the returns behaviour of Scandinavian stock markets, in particular in Norway, Denmark and Finland.

Keywords: Finance; stock; markets; Scandinavia; causality. (search for similar items in EconPapers)
Date: 1993
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Citations: View citations in EconPapers (9)

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