The Interrelationships Between U.S. and Foreign Equity Market Yields: Tests of Granger Causality

Steven J Cochran and Iqbal Mansur
Additional contact information
Steven J Cochran: Villanova University
Iqbal Mansur: Widener University

Journal of International Business Studies, 1991, vol. 22, issue 4, 723-736

Abstract: This study examines the interrelationships between yields on the U.S. and several foreign market portfolios over the 1980-89 period. Tests of Granger causality are used to investigate the effects of uni-directional causality, bi-directional causality, and contemporaneous adjustment in the determination of market rates of return. The results indicate that international equity market returns are largely contemporaneously determined, and the significance of contemporaneous effects varied over time. Uni-directional and bi-directional causality were found to be relatively weak.© 1991 JIBS. Journal of International Business Studies (1991) 22, 723–736

Date: 1991
References: Add references at CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.palgrave-journals.com/jibs/journal/v22/n4/pdf/8490321a.pdf Link to full text PDF (application/pdf)
http://www.palgrave-journals.com/jibs/journal/v22/n4/full/8490321a.html Link to full text HTML (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pal:jintbs:v:22:y:1991:i:4:p:723-736

Ordering information: This journal article can be ordered from
http://www.springer. ... nt/journal/41267/PS2

Access Statistics for this article

Journal of International Business Studies is currently edited by John Cantwell

More articles in Journal of International Business Studies from Palgrave Macmillan, Academy of International Business
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().