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The Interrelationships Between U.S. and Foreign Equity Market Yields: Tests of Granger Causality

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  • Steven J Cochran

    (Villanova University)

  • Iqbal Mansur

    (Widener University)

Abstract

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.© 1991 JIBS. Journal of International Business Studies (1991) 22, 723–736

Suggested Citation

  • Steven J Cochran & Iqbal Mansur, 1991. "The Interrelationships Between U.S. and Foreign Equity Market Yields: Tests of Granger Causality," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 22(4), pages 723-736, December.
    • Handle: RePEc:pal:jintbs:v:22:y:1991:i:4:p:723-736
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    Citations

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    Cited by:

    1. Aaltonen, J. & Östermark, R., 1997. "A rolling test of granger causality between the Finnish and Japanese security markets," Omega, Elsevier, vol. 25(6), pages 635-642, December.
    2. Hans Eijgenhuijsen & Adrian Buckley, 1999. "An overview of returns in Europe," The European Journal of Finance, Taylor & Francis Journals, vol. 5(3), pages 276-297.
    3. Robert Dornau, 1999. "Shock around the clock—on the causal relations between international stock markets, the strength of causality and the intensity of shock transmission: an econometric analysis," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 8(4), pages 253-270, December.
    4. Lizardo Radhames A. & Mollick Andre Varella, 2011. "The Impact of Chinese Purchases of U.S. Government Debt on the Treasury Yield Curve," Global Economy Journal, De Gruyter, vol. 11(4), pages 1-23, December.
    5. Ajayi, Richard A. & Friedman, Joseph & Mehdian, Seyed M., 1998. "On the relationship between stock returns and exchange rates: Tests of granger causality," Global Finance Journal, Elsevier, vol. 9(2), pages 241-251.
    6. Rezayat, Fahimeh & Yavas, Burhan F., 2006. "International portfolio diversification: A study of linkages among the U.S., European and Japanese equity markets," Journal of Multinational Financial Management, Elsevier, vol. 16(4), pages 440-458, October.

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