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dc.contributor.authorMasih, Rumi-
dc.contributor.authorMohammed Masih, Abul Mansur-
dc.date.accessioned2018-11-05T11:30:51Z-
dc.date.available2018-11-05T11:30:51Z-
dc.date.issued2001-
dc.identifier.citationMasih, Rumi and Mohammed Masih, Abul Mansur. (2001). Long and short term dynamic causal transmission amongst international stock markets. Journal of International Money and Finance, 20, pp. 563-587.en_US
dc.identifier.issn0261-5606-
dc.identifier.urihttps://ikr.inceif.org/handle/INCEIF/2983-
dc.description.abstractThis paper investigates the dynamic causal linkages amongst nine major international stock price indexes. In order to gauge the causal transmission patterns we employ very recent methods of: (i) vector error-correction modeling and (ii) level VAR modeling with possibly integrated and cointegrated processes, advocated by: (i) Toda and Phillips (Econometrica, 61 (1993) 1367) and (ii) Toda and Yamamoto (J. Econometrics, 66 (1995) 225), respectively. The paper illustrates how such methods may be appropriately augmented in a compatible fashion to unearth previously unfounded linkage properties inherent amongst a system of stock price indexes. In particular, we demonstrate that previous research, by using ordinary difference VARs, ignored an important component of linkages displayed purely over the long run. This untapped evidence essentially provides robust and very useful information to international financial analysts and investors. At a substantive level, results of this study tend to support the contention offered by several studies in the literature of significant interdependencies between the established OECD and the Asian markets, and also the leadership of the US and UK markets over the short and long run. The levels VAR, however, illustrate the Japanese market's influence as an additional long run leader. Findings seem to be plausible given that these three markets (US, UK and Japan) have consistently contributed over 75% of global stock market capitalization over the major part of the sample under consideration. At a methodological level, this analysis also provides a primer for the wealth of applied financial econometric research focusing on dynamic causal inference which involve systems containing possibly integrated and cointegrated processes.en_US
dc.languageEnglish-
dc.language.isoenen_US
dc.publisherElsevier Science Ltd.en_US
dc.rights2001. Elsevier Science Ltd-
dc.sourceSEDONA-
dc.subjectStock price/marketen_US
dc.subjectLinkagesen_US
dc.subjectIntegrationen_US
dc.subjectGranger causalityen_US
dc.subjectUnit rootsen_US
dc.subjectIntegrated processesen_US
dc.subjectCointegrationen_US
dc.subjectVector error-correction modelingen_US
dc.subjectVector autoregressionen_US
dc.titleLong and short term dynamic causal transmission amongst international stock marketsen_US
dc.typeJournal Articleen_US
ikr.topic.maintopicConventional financeen_US
ikr.topic.subtopicConventional finance::Capital marketsen_US
ikr.doctypeScholarly Works-
Appears in Collections:Journal Article


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  • Full metadata record
    DC FieldValueLanguage
    dc.contributor.authorMasih, Rumi-
    dc.contributor.authorMohammed Masih, Abul Mansur-
    dc.date.accessioned2018-11-05T11:30:51Z-
    dc.date.available2018-11-05T11:30:51Z-
    dc.date.issued2001-
    dc.identifier.citationMasih, Rumi and Mohammed Masih, Abul Mansur. (2001). Long and short term dynamic causal transmission amongst international stock markets. Journal of International Money and Finance, 20, pp. 563-587.en_US
    dc.identifier.issn0261-5606-
    dc.identifier.urihttps://ikr.inceif.org/handle/INCEIF/2983-
    dc.description.abstractThis paper investigates the dynamic causal linkages amongst nine major international stock price indexes. In order to gauge the causal transmission patterns we employ very recent methods of: (i) vector error-correction modeling and (ii) level VAR modeling with possibly integrated and cointegrated processes, advocated by: (i) Toda and Phillips (Econometrica, 61 (1993) 1367) and (ii) Toda and Yamamoto (J. Econometrics, 66 (1995) 225), respectively. The paper illustrates how such methods may be appropriately augmented in a compatible fashion to unearth previously unfounded linkage properties inherent amongst a system of stock price indexes. In particular, we demonstrate that previous research, by using ordinary difference VARs, ignored an important component of linkages displayed purely over the long run. This untapped evidence essentially provides robust and very useful information to international financial analysts and investors. At a substantive level, results of this study tend to support the contention offered by several studies in the literature of significant interdependencies between the established OECD and the Asian markets, and also the leadership of the US and UK markets over the short and long run. The levels VAR, however, illustrate the Japanese market's influence as an additional long run leader. Findings seem to be plausible given that these three markets (US, UK and Japan) have consistently contributed over 75% of global stock market capitalization over the major part of the sample under consideration. At a methodological level, this analysis also provides a primer for the wealth of applied financial econometric research focusing on dynamic causal inference which involve systems containing possibly integrated and cointegrated processes.en_US
    dc.languageEnglish-
    dc.language.isoenen_US
    dc.publisherElsevier Science Ltd.en_US
    dc.rights2001. Elsevier Science Ltd-
    dc.sourceSEDONA-
    dc.subjectStock price/marketen_US
    dc.subjectLinkagesen_US
    dc.subjectIntegrationen_US
    dc.subjectGranger causalityen_US
    dc.subjectUnit rootsen_US
    dc.subjectIntegrated processesen_US
    dc.subjectCointegrationen_US
    dc.subjectVector error-correction modelingen_US
    dc.subjectVector autoregressionen_US
    dc.titleLong and short term dynamic causal transmission amongst international stock marketsen_US
    dc.typeJournal Articleen_US
    ikr.topic.maintopicConventional financeen_US
    ikr.topic.subtopicConventional finance::Capital marketsen_US
    ikr.doctypeScholarly Works-
    Appears in Collections:Journal Article


  • Long_and_short_term_dynamic_causal_transmission_amongst_i...
    • Size : 211,72 kB

    • Format : Adobe PDF

    • View : 
    • Download :