Testing for unit roots and granger non-causality in time series with multiple structural breaks. An international stock markets application

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

Detalles Bibliográficos
Autores principales: Buzzi, Sergio Martín, Ojeda, Silvia María
Formato: conferenceObject
Lenguaje:Inglés
Publicado: 2022
Materias:
Time series
Unit root
Granger causality
Stock markets
Acceso en línea:http://hdl.handle.net/11086/28142
Aporte de:
Repositorio Digital Universitario (UNC) de Universidad Nacional de Córdoba
id I10-R141-11086-28142
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spelling I10-R141-11086-281422024-07-08T15:37:11Z Testing for unit roots and granger non-causality in time series with multiple structural breaks. An international stock markets application Buzzi, Sergio Martín Ojeda, Silvia María Time series Unit root Granger causality Stock markets Fil: Buzzi, Sergio Martín. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas; Argentina. Fil: Ojeda, Silvia María. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas; Argentina. In the current paper, we analyze the relationship amongst the dynamics of a group of selected stock indices using daily data. In order to that, we explore the statistical properties of the series, in particular the existence of breaks and unit roots. Two questions of interest are whether or not there are markets that lead the others and which are them. The concept of Granger causality, as a proxy of causality, enables us to address these issues. Moreover, knowing that a market helps to forecast the movements of another market index provides valuable information for traders. Also, this information is useful for improving the knowledge on financial crisis transmission channels. The existence of multiple structural breaks generates problems on the unit roots and Granger non-causality testing. Given that, we design procedures to lead with those issues. Fil: Buzzi, Sergio Martín. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas; Argentina. Fil: Ojeda, Silvia María. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas; Argentina. Estadística y Probabilidad 2022-08-11T16:22:20Z 2022-08-11T16:22:20Z 2014-10 conferenceObject http://hdl.handle.net/11086/28142 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 Time series
Unit root
Granger causality
Stock markets
spellingShingle Time series
Unit root
Granger causality
Stock markets
Buzzi, Sergio Martín
Ojeda, Silvia María
Testing for unit roots and granger non-causality in time series with multiple structural breaks. An international stock markets application
topic_facet Time series
Unit root
Granger causality
Stock markets
description Fil: Buzzi, Sergio Martín. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas; Argentina.
format conferenceObject
author Buzzi, Sergio Martín
Ojeda, Silvia María
author_facet Buzzi, Sergio Martín
Ojeda, Silvia María
author_sort Buzzi, Sergio Martín
title Testing for unit roots and granger non-causality in time series with multiple structural breaks. An international stock markets application
title_short Testing for unit roots and granger non-causality in time series with multiple structural breaks. An international stock markets application
title_full Testing for unit roots and granger non-causality in time series with multiple structural breaks. An international stock markets application
title_fullStr Testing for unit roots and granger non-causality in time series with multiple structural breaks. An international stock markets application
title_full_unstemmed Testing for unit roots and granger non-causality in time series with multiple structural breaks. An international stock markets application
title_sort testing for unit roots and granger non-causality in time series with multiple structural breaks. an international stock markets application
publishDate 2022
url http://hdl.handle.net/11086/28142
work_keys_str_mv AT buzzisergiomartin testingforunitrootsandgrangernoncausalityintimeserieswithmultiplestructuralbreaksaninternationalstockmarketsapplication
AT ojedasilviamaria testingforunitrootsandgrangernoncausalityintimeserieswithmultiplestructuralbreaksaninternationalstockmarketsapplication
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