Granger causality testing for Argentina MERVAL index and the major world stock markets
Fil: Buzzi, Sergio Martín. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas. Departamento de Estadística y Matemática; Argentina.
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| Format: | conferenceObject |
| Language: | eng |
| Published: |
2022
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| Online Access: | http://hdl.handle.net/11086/23764 |
| _version_ | 1806012360522989568 |
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| author | Buzzi, Sergio Martín Ojeda, Silvia María |
| author_facet | Buzzi, Sergio Martín Ojeda, Silvia María |
| author_sort | Buzzi, Sergio Martín |
| collection | Repositorio Digital Universitario |
| description | Fil: Buzzi, Sergio Martín. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas. Departamento de Estadística y Matemática; Argentina. |
| format | conferenceObject |
| id | rdu-unc.23764 |
| institution | Universidad Nacional de Cordoba |
| language | eng |
| publishDate | 2022 |
| record_format | dspace |
| spelling | rdu-unc.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 |
| 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 |
| title | 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_short | 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 |
| topic | Granger causality Time series VARX Stock markets |
| url | http://hdl.handle.net/11086/23764 |
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