THE INTERRELATIONSHIPS BETWEEN UNITED-STATES AND FOREIGN EQUITY MARKET YIELDS - TESTS OF GRANGER CAUSALITY
成果类型：
Note
署名作者：
COCHRAN, SJ; MANSUR, I
署名单位：
Widener University
刊物名称：
JOURNAL OF INTERNATIONAL BUSINESS STUDIES
ISSN/ISSBN：
0047-2506
DOI：
10.1057/palgrave.jibs.8490321
发表日期：
1991
页码：
723-735
关键词：
摘要：
This study examines the interrelationships between yields on the U.S. and several foreign market portfolios over the 1980-89 period. Tests of Granger causality are used to investigate the effects of uni-directional causality, bi-directional causality, and contemporaneous adjustment in the determination of market rates of return. The results indicate that international equity market returns are largely contemporaneously determined, and the significance of contemporaneous effects varied over time. Uni-directional and bi-directional causality were found to be relatively weak.
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