Granger causality testing for Argentina MERVAL index and the major world stock markets

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Fil: Buzzi, Sergio Martín. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas. Departamento de Estadística y Matemática; Argentina.

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Autores principales: Buzzi, Sergio Martín, Ojeda, Silvia María
Formato: conferenceObject
Lenguaje:Inglés
Publicado: 2022
Materias:
Granger causality
Time series
VARX
Stock markets
Acceso en línea:http://hdl.handle.net/11086/23764
Aporte de:
Repositorio Digital Universitario (UNC) de Universidad Nacional de Córdoba
id I10-R141-11086-23764
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spelling I10-R141-11086-237642024-07-08T16:43:50Z Granger causality testing for Argentina MERVAL index and the major world stock markets Buzzi, Sergio Martín Ojeda, Silvia María Granger causality Time series VARX Stock markets Fil: Buzzi, Sergio Martín. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas. Departamento de Estadística y Matemática; Argentina. Fil: Ojeda, Silvia María. Universidad Nacional de Córdoba. Facultad de Matemática, Astronomía y Física; Argentina. 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. Fil: Buzzi, Sergio Martín. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas. Departamento de Estadística y Matemática; Argentina. Fil: Ojeda, Silvia María. Universidad Nacional de Córdoba. Facultad de Matemática, Astronomía y Física; Argentina. Estadística y Probabilidad 2022-04-08T18:44:31Z 2022-04-08T18:44:31Z 2015-10 conferenceObject 2451-8131 http://hdl.handle.net/11086/23764 eng Licencia Creative Commons Atribución-NoComercial 4.0 Internacional http://creativecommons.org/licenses/by-nc/4.0/ Impreso
institution Universidad Nacional de Córdoba
institution_str I-10
repository_str R-141
collection 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 Fil: Buzzi, Sergio Martín. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas. Departamento de Estadística y Matemática; Argentina.
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
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