Cointegration, error correction and Granger causality: an application with Latin American stock markets

Kausik Chaudhuri

Applied Economics Letters, 1997, vol. 4, issue 8, 469-471

Abstract: This paper offers an empirical investigation of the presence of a long run relationship in stock prices in six Latin Emerging Markets. We find evidence of a long run relationship among all of these countries in a bivariate framework. Results indicate the presence of bidirectional rather than unidirectional causality suggesting the absence of weak exogeneity among their stock prices.

Date: 1997
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DOI: 10.1080/758536627

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