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Research of the Causalities US Stock Market Returns and G-7 Countries’ Stock Market Volatilities from Pre-Crisis to Post-Crisis of 2008

Author

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  • Ihsan Erdem Kayral
  • Semra Karacaer

Abstract

Within the scope of this paper, causalities of the US stock market returns and volatilities on stock market volatilities in Group of 7 (G-7) economies between 2000-2013 have been analysed with Granger causality tests. All volatilities are obtained from conditional variance of returns in stock exchange with GARCH (1,1) model (except Japan stock exchange volatility). Japanese stock exchange volatility is gained with ARCH (1) model because of its coefficients’ significances. In our study, we found that the US stock market returns causes stock market volatilities in G-7 countries in the 2000-2013 period. However, stock market volatilities in G-7 countries’ economies do not cause the US stock market returns in analysis period.JEL classification numbers: G15, F37, C32, C58Keywords: stock market volatilities, G-7 economies, Granger causality test.

Suggested Citation

  • Ihsan Erdem Kayral & Semra Karacaer, 2017. "Research of the Causalities US Stock Market Returns and G-7 Countries’ Stock Market Volatilities from Pre-Crisis to Post-Crisis of 2008," Advances in Management and Applied Economics, SCIENPRESS Ltd, vol. 7(4), pages 1-3.
    • Handle: RePEc:spt:admaec:v:7:y:2017:i:4:f:7_4_3
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    Keywords

    stock market volatilities; g-7 economies; granger causality test.;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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