Granger causality testing for Argentina MERVAL index and the major world stock markets
In this paper are analyzed the causal links among a selected group of global stock market indices, with special focus on the role of Argentina MERVAL index. With this objective in mind, two types of non-conventional Granger causality test are performed in order to avoid the theoretical limitations o...
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Formato: | conferenceObject |
Lenguaje: | Inglés |
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2022
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Acceso en línea: | http://hdl.handle.net/11086/23764 |
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I10-R14111086-23764 |
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institution |
Universidad Nacional de Córdoba |
institution_str |
I-10 |
repository_str |
R-141 |
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Repositorio Digital Universitario (UNC) |
language |
Inglés |
topic |
Granger causality Time series VARX Stock markets |
spellingShingle |
Granger causality Time series VARX Stock markets Buzzi, Sergio Martín Ojeda, Silvia María Granger causality testing for Argentina MERVAL index and the major world stock markets |
topic_facet |
Granger causality Time series VARX Stock markets |
description |
In this paper are analyzed the causal links among a selected group of global stock market indices, with special focus on the role of Argentina MERVAL index. With this objective in mind, two types of non-conventional Granger causality test are performed in order to avoid the theoretical limitations of the traditional test which requires stationary time series. The first test is based in a surplus-lag VAR model and allows testing for Granger causality in thecontext of non-stationary processes. The second test rests on the estimation of a VARX model and is robust to non-stationarity; long memory; and non-modeled structural breaks. This second test also admits conditioning on endogenous modeled control variables. The estimations are performed using daily data for a long time period, being both testing procedures implemented in the programming language R. Finally the results from both tests are compared and interpreted in order to capture their economic meaning. |
format |
conferenceObject |
author |
Buzzi, Sergio Martín Ojeda, Silvia María |
author_facet |
Buzzi, Sergio Martín Ojeda, Silvia María |
author_sort |
Buzzi, Sergio Martín |
title |
Granger causality testing for Argentina MERVAL index and the major world stock markets |
title_short |
Granger causality testing for Argentina MERVAL index and the major world stock markets |
title_full |
Granger causality testing for Argentina MERVAL index and the major world stock markets |
title_fullStr |
Granger causality testing for Argentina MERVAL index and the major world stock markets |
title_full_unstemmed |
Granger causality testing for Argentina MERVAL index and the major world stock markets |
title_sort |
granger causality testing for argentina merval index and the major world stock markets |
publishDate |
2022 |
url |
http://hdl.handle.net/11086/23764 |
work_keys_str_mv |
AT buzzisergiomartin grangercausalitytestingforargentinamervalindexandthemajorworldstockmarkets AT ojedasilviamaria grangercausalitytestingforargentinamervalindexandthemajorworldstockmarkets |
bdutipo_str |
Repositorios |
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1764820395755569153 |