Interdependencies among the Nordic and U.S. Stock Markets

Ike Mathur · Vijaya Subrahmanyam

59 citations0/0 files storedScandinavian Journal of Economics

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

Abstract

Using the concept of causality, interdependencies among the stock market indices for four Nordic countries and the U.S. are examined. The vector autoregressive model results indicate that the U.S. market affected only the Danish, but not the Norwegian, Finnish or Swedish markets. The Swedish market was causally prior to both the Norwegian and Finnish markets. The Norwegian, Danish and Finnish markets did not Granger cause any other market. The results indicate that the Nordic stock markets are less than fully integrated.

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References

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