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Chang, Tsangyao, Ranjbar, Omid, Jooste, Charl. (1396). Stock Market Interactions between the BRICS and the United States: Evidence from Asymmetric Granger Causality Tests in the Frequency Domain. , 21(2), 297-320. doi: 10.22059/ier.2017.62105
Tsangyao Chang; Omid Ranjbar; Charl Jooste. "Stock Market Interactions between the BRICS and the United States: Evidence from Asymmetric Granger Causality Tests in the Frequency Domain". , 21, 2, 1396, 297-320. doi: 10.22059/ier.2017.62105
Chang, Tsangyao, Ranjbar, Omid, Jooste, Charl. (1396). 'Stock Market Interactions between the BRICS and the United States: Evidence from Asymmetric Granger Causality Tests in the Frequency Domain', , 21(2), pp. 297-320. doi: 10.22059/ier.2017.62105
Chang, Tsangyao, Ranjbar, Omid, Jooste, Charl. Stock Market Interactions between the BRICS and the United States: Evidence from Asymmetric Granger Causality Tests in the Frequency Domain. , 1396; 21(2): 297-320. doi: 10.22059/ier.2017.62105

Stock Market Interactions between the BRICS and the United States: Evidence from Asymmetric Granger Causality Tests in the Frequency Domain

Iranian Economic Review
مقاله 6، دوره 21، شماره 2، شهریور 2017، صفحه 297-320    اصل مقاله (1.07 M)
شناسه دیجیتال (DOI): 10.22059/ier.2017.62105
نویسندگان
Tsangyao Chang1؛ Omid Ranjbar* 2؛ Charl Jooste3
1Department of Finance, Feng Chia University
2Department of Economics, Allameh Tabataba'i University and Trade Representative Office of Iran
3Department of Economics, University of Pretoria
چکیده
The interaction of BRICS stock markets with the United States is studied using an asymmetric Granger causality test based on the frequency domain. This type of analysis allows for both positive and negative shocks over different horizons. There is a clear bivariate causality that runs both ways between the United States stock market and the respective BRICS markets. In addition, both negative and positive shocks in the United States stock market affect the majority of BRICS markets.
 
کلیدواژه‌ها
Keywords: Granger-Causality؛ Asymmetry؛ Frequency domain؛ Stock market؛ BRICS Countries. JEL Classification: C1؛ G15
مراجع
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