 Are the stock indices of FTSE Malaysia, China and USA causally linked together ?Nur Alissa Nasir and Abul Masih MPRA Paper from University Library of Munich, Germany Abstract: In this paper, we test the causal linkages among the FTSE Malaysia, FTSE China and FTSE USA stock market indices. The investigation is conducted using the standard time series econometric techniques using monthly data. The issue is approached from two perspectives: (i) whether these markets move together (ii) and the dynamic linkages of the lead-lag relationships. Our analysis finds one significant cointegrating relationship among the selected markets, with the FTSE Malaysia being the follower and the FTSE China being being the most leading one. These findings tend to suggest that the FTSE Stock Indices of these three markets have a strong long-run equilibrium relationship mostly driven by fundamental elements of the economy. In addition, the strong leading role of the FTSE China Index implies that the China market may have a strong influence over the other regional markets. These findings have strong policy implications. Keywords: FTSE stock indices; causal linkages; VECM; VDC (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:98782 Access Statistics for this paper More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC. |
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