Investigation of the consequences of ignoring daily data non-synchronism in cross-market linkages: BRIC and developed countries

Ruslan Grigoryev, Shabbar Jaffry and German Marchenko ()
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German Marchenko: Kazan State Power Engineering University, Kazan, Russia

Applied Econometrics, 2012, vol. 26, issue 2, 92-112

Abstract: The comparison was performed between Granger causality test results, based on the equations in classic and non-synchronism corrected forms applying the pairs of stock market indices with daily data non-synchronism problem. In contrast to the non-synchronism corrected form of the equation, the results of Granger causality test performed on classic form of the equation demonstrate the existence of bias, which induces underestimation/overestimation of causality from earlier/later closing markets.

Keywords: interdependence; cross-market linkages; spillover; non-synchronism; synchronisation; asynchronism; comovement; Granger causality; timeline; contemporaneous causality; instantaneous causality. (search for similar items in EconPapers)
JEL-codes: C32 C58 F36 F37 F39 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (3)

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