The Impact of US Stock Market on the Co-Movements of BRIC Stock Markets—Evidence from Linear Conditional Granger Causality

• 作者: Lu Wang Yang Yang Yuanhui Ma
• 来源期刊: 统计学期刊(英文)
• 学科: 医学
• 关键词: Stock Market BRIC CO-MOVEMENT CONDITIONAL GRANGER CAUSALITY
• 年，卷（期）: 2017,（5）
• 页码范围: 849-858
• 页数: 10页
• 分类号: R73

摘要

This paper investigates the impact of the US stock market on the co-movements among the BRIC stock markets using conditional Granger causality which allows a comprehensive exploration on direct and indirect causality. The results from linear conditional causality test show a strong influence of the US stock market on the co-movements of BRIC. Our findings identify the US stock market which is the main inner factor making major contributions to the co-movements among the BRIC stock markets. Further, this study provides robust evidence that the co-movements cannot be significantly influenced by the common information factor. These findings show a more complete picture of the relationships between the US and the BRIC stock markets, offering important implications for policymakers and investors.