The role of the timeline in Granger causality test in the presence of daily data non-synchronism

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

Applied Econometrics, 2012, vol. 27, issue 3, 3-19

Abstract: The factor of the earlier/later closing market, which appears in pairs of time series with non-synchronism problem exposure, may predetermine the results of the Granger causality test conducted on classic form. The shift in GMT timeline reverses the exposure of the market to the factor of earlier/later closing market, and may change the results of Granger causality test conducted on classic form. Verification of the given assumption on empirical data demonstrated that the US market, having moved from the later closing market to the earlier closing market condition (factor), started to show the behavior similar to other earlier closing markets.

Keywords: interdependence; cross-market linkages; spillover; non-synchronism; synchronisation; asynchronism; comovement; Granger causality; GMT 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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