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Multivariate Granger causality in international asset pricing: evidence from the Finnish and Japanese financial economies

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  • Ralf Ostermark

Abstract

The present study combines the test of causality in multiple time series with a rolling framework. The algorithm generates the time pattern of causality of the underlying vector process. The algorithm is applied to testing whether the Japanese stock market Granger causes the Finnish derivatives market. The Japanese stock market is seen to Granger cause the Finnish derivatives market at distinct time intervals within the sample period, possibly during periods of regime switches, trend changes or major global disturbances.

Suggested Citation

  • Ralf Ostermark, 1998. "Multivariate Granger causality in international asset pricing: evidence from the Finnish and Japanese financial economies," Applied Financial Economics, Taylor & Francis Journals, vol. 8(1), pages 67-72.
    • Handle: RePEc:taf:apfiec:v:8:y:1998:i:1:p:67-72
    DOI: 10.1080/096031098333267
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    References listed on IDEAS

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    1. Ostermark, Ralf, 2001. "Multivariate cointegration analysis of the Finnish-Japanese stock markets," European Journal of Operational Research, Elsevier, vol. 134(3), pages 498-507, November.
    2. Dimitris Balios & Manolis Xanthakis, 2003. "International interdependence and dynamic linkages between developed stock markets," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, vol. 1(1), pages 105-130.

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