A Study of Granger Causality in Latin American Stock Markets
Mihir Dash ()
Journal of Applied Management and Investments, 2017, vol. 6, issue 2, 82-88
This study investigates the inter-linkages between the US stock market and the Brazilian, Argentinean, and Mexican stock markets, during the period of 2000-07, prior to the global financial crisis, using the augmented Dickey-Fuller test to check the returns series for stationarity, and the Granger causality test to check for causality of returns between the markets. The results of the study suggest that the US market is closely integrated with the Brazilian market, which in turn is closely integrated with the Argentinian and Mexican markets. The results, thus, indicate integration of the Latin American markets, mediated through the Brazilian market.
Keywords: inter-linkages between stock markets; augmented Dickey-Fuller test; Granger causality test (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:ods:journl:v:6:y:2017:i:2:p:82-88
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