Regularities in the data between major equity markets: evidence from Granger causality tests

Kenneth L. Smith · Joe Brocato · John E. Rogers

64 citations0/0 files storedApplied Financial Economics

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

Abstract

Weekly returns from markets in the US, Great Britain, West Germany and Japan are subjected to bivariate causality tests during the period 17 January 1979 to 26 June 1991. We find evidence of Granger unidirectional causality running from the US to the other countries immediately after the October 1987 world-wide crash. These episodes are brief, with the exception of the linkage from the US to the German market. Also presented is evidence of brief periods of causality running from the other markets to the US.

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References

1989International Transmission of Stock Market Movements 1991The World Price of Covariance Risk 1989Stock Volatility and the Crash of '87 1988The International Crash of October 1987 1972THE RELATIONS AMONG EQUITY MARKETS: A STUDY OF SHARE PRICE CO‐MOVEMENTS IN THE UNITED STATES, UNITED KINGDOM, GERMANY AND JAPAN 1988Are National Stock Markets Linked?1990High Road to a Global Marketplace: The International Transmission of Stock Market Fluctuations

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