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A rolling test of granger causality between the Finnish and Japanese security markets
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A rolling test of granger causality between the Finnish and Japanese security markets (1997)A rolling test of granger causality betwe…Foreign ownership restrictions and stock prices in the Thai capital market (1994)Foreign ownership restriction…Regularities in the data between major equity markets: evidence from Granger causality tests (1993)Regularities in the data betw…The International Crash of October 1987: Causality Tests (1992)The International Crash of Oc…Asset Pricing in Partially Segmented Markets: Evidence from the Finnish Market (1989)Asset Pricing in Partially Se…A comparison of lag–length selection techniques in tests of Granger causality between money growth and inflation: evidence for the US, 1959–86 (1989)A comparison of lag–length se…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…The Effects of Detrending in Granger Causality Tests (1985)The Effects of Detrending in …Lag-Length Selection and Tests of Granger Causality Between Money and Income (1985)Lag-Length Selection and Test…Lag-Length Selection and Tests of Granger Causality Between Money and Income (1984)Lag-Length Selection and Test…INFERENCE AND CAUSALITY IN ECONOMIC TIME SERIES MODELS (1984)INFERENCE AND CAUSALITY IN EC…Small Sample Properties of Three Tests for Granger-Causal Ordering in a Bivariate Stochastic System (1982)Small Sample Properties of Th…Autoregressive modelling and money-income causality detection (1981)Autoregressive modelling and …Country Risk: The Significance of the Country Factor for Share-Price Movements in the United Kingdom, Germany, and Japan (1973)Country Risk: The Significanc…THE RELATIONS AMONG EQUITY MARKETS: A STUDY OF SHARE PRICE CO‐MOVEMENTS IN THE UNITED STATES, UNITED KINGDOM, GERMANY AND JAPAN (1972)THE RELATIONS AMONG EQUITY MA…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…Fitting autoregressive models for prediction (1969)Fitting autoregressive models…An Intertemporal Capital Asset Pricing Model (1973)Risk, Return, and Equilibrium: Empirical Tests (1973)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)Information asymmetry, market segmentation and the pricing of cross-listed shares: theory and evidence from Chinese A and B shares (1998)Puzzles in the Chinese Stock Market (2002)The only game in town: Stock-price consequences of local bias☆ (2008)MONEY, INCOME, AND CAUSALITY (1972)Macroeconomics and Reality (1980)A note on the causal relationship between energy and GDP in Taiwan (2000)DOES FOREIGN DIRECT INVESTMENT PROMOTE ECONOMIC GROWTH? EVIDENCE FROM EAST ASIA AND LATIN AMERICA (2001)Causal Relationship between Energy Consumption and GDP Growth Revisited: A Dynamic Panel Data Approach (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The theory and practice of econometrics (1986)Energy consumption, real income and temporal causality: results from a multi-country study based on cointegration and error-correction modelling techniques (1996)On the temporal causal relationship between energy consumption, real income, and prices: Some new evidence from Asian-energy dependent NICs Based on a multivariate cointegration/vector error-correction approach (1997)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2008)Causal Change Detection in Possibly Integrated Systems: Revisiting the Money–Income Relationship* (2019)Comparing alternative tests of causality in temporal systems (1983)Mean and Volatility Spillover Effects in the U.S. and Pacific–Basin Stock Markets (1997)On the relationship between stock returns and exchange rates: Tests of granger causality (1998)The big, bad wolf and the rational market: portfolio insurance, the 1987 crash and the performativity of economics (2004)Portfolio Selection: Efficient Diversification of Investments (1959)Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios (1969)Assessing international diversification of West German corporations (1987)Evolution in dynamic linkages across daily national stock indexes (1991)Common Volatility in International Equity Markets (1993)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Bounds testing approaches to the analysis of level relationships (2001)Oil and the Macroeconomy since World War II (1983)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Testing for Granger non-causality in heterogeneous panels (2012)Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models (2001)Tourism as a long-run economic growth factor: the Spanish case (2002)Estimation of Panel Vector Autoregression in Stata (2016)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing32,276 cited
  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods23,136 cited
  • 1969Fitting autoregressive models for prediction2,483 cited
  • 1981Autoregressive modelling and money-income causality detection710 cited
  • 1984Lag-Length Selection and Tests of Granger Causality Between Money and Income324 cited
  • 1972THE RELATIONS AMONG EQUITY MARKETS: A STUDY OF SHARE PRICE CO‐MOVEMENTS IN THE UNITED STATES, UNITED KINGDOM, GERMANY AND JAPAN291 cited
  • 1985Lag-Length Selection and Tests of Granger Causality Between Money and Income285 cited
  • 1992The International Crash of October 1987: Causality Tests275 cited
  • 1989Asset Pricing in Partially Segmented Markets: Evidence from the Finnish Market273 cited
  • 1994Foreign ownership restrictions and stock prices in the Thai capital market265 cited
  • 1982Small Sample Properties of Three Tests for Granger-Causal Ordering in a Bivariate Stochastic System241 cited
  • 1984INFERENCE AND CAUSALITY IN ECONOMIC TIME SERIES MODELS236 cited
  • 1989A comparison of lag–length selection techniques in tests of Granger causality between money growth and inflation: evidence for the US, 1959–8697 cited
  • 1993Regularities in the data between major equity markets: evidence from Granger causality tests

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64 cited
  • 1973Country Risk: The Significance of the Country Factor for Share-Price Movements in the United Kingdom, Germany, and Japan50 cited
  • 1985The Effects of Detrending in Granger Causality Tests49 cited
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