Multivariate Granger causality in international asset pricing: evidence from the Finnish and Japanese financial economies

Ralf Ostermark

Applied Financial Economics, 1998, vol. 8, issue 1, 67-72

Abstract: The present study combines the test of causality in multiple time series with a rolling framework. The algorithm generates the time pattern of causality of the underlying vector process. The algorithm is applied to testing whether the Japanese stock market Granger causes the Finnish derivatives market. The Japanese stock market is seen to Granger cause the Finnish derivatives market at distinct time intervals within the sample period, possibly during periods of regime switches, trend changes or major global disturbances.

Date: 1998
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DOI: 10.1080/096031098333267

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