In Search of Market Index Leaders: Evidence from Asian Markets

Emanuele Canegrati

MPRA Paper from University Library of Munich, Germany

Abstract: This paper investigates the presence of Granger-causality amongst market indices in six Asian stock markets: Malaysia, India, China, Pakistan, the Philippine and Japan, from April 7th 1992 to July 23rd 2008. Using daily market returns I performed a Granger-causality test, based on the Vector Autoregressive (VAR) model, in order to detect the causalities amongst indices. Different sub-samples were considered, which take into account the distinction between bearish and bullish phases of the markets. Results show that there is not Granger-causality amongst stock returns for the overall sample, but that there is Granger-causality amongst some indices during bearish and bullish phases. In particular, I found that market index leaders does exist both in up and down trends, even though these market leaders are not necessarily the same in the two phases.

Keywords: Granger-causality; Asian stock markets; market indices; VAR (search for similar items in EconPapers)
JEL-codes: G14 G15 (search for similar items in EconPapers)
Date: 2008-10-23
New Economics Papers: this item is included in nep-cwa and nep-sea
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