Granger causality testing for Argentina MERVAL index and the major world stock markets
- Autores
- Buzzi, Sergio Martín; Ojeda, Silvia María
- Año de publicación
- 2015
- Idioma
- inglés
- Tipo de recurso
- documento de conferencia
- Estado
- versión publicada
- Descripción
- Fil: Buzzi, Sergio Martín. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas. Departamento de Estadística y Matemática; Argentina.
Fil: Ojeda, Silvia María. Universidad Nacional de Córdoba. Facultad de Matemática, Astronomía y Física; Argentina.
In this paper are analyzed the causal links among a selected group of global stock market indices, with special focus on the role of Argentina MERVAL index. With this objective in mind, two types of non-conventional Granger causality test are performed in order to avoid the theoretical limitations of the traditional test which requires stationary time series. The first test is based in a surplus-lag VAR model and allows testing for Granger causality in thecontext of non-stationary processes. The second test rests on the estimation of a VARX model and is robust to non-stationarity; long memory; and non-modeled structural breaks. This second test also admits conditioning on endogenous modeled control variables. The estimations are performed using daily data for a long time period, being both testing procedures implemented in the programming language R. Finally the results from both tests are compared and interpreted in order to capture their economic meaning.
Fil: Buzzi, Sergio Martín. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas. Departamento de Estadística y Matemática; Argentina.
Fil: Ojeda, Silvia María. Universidad Nacional de Córdoba. Facultad de Matemática, Astronomía y Física; Argentina.
Estadística y Probabilidad - Materia
-
Granger causality
Time series
VARX
Stock markets - Nivel de accesibilidad
- acceso abierto
- Condiciones de uso
- Repositorio
- Institución
- Universidad Nacional de Córdoba
- OAI Identificador
- oai:rdu.unc.edu.ar:11086/23764
Ver los metadatos del registro completo
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Granger causality testing for Argentina MERVAL index and the major world stock marketsBuzzi, Sergio MartínOjeda, Silvia MaríaGranger causalityTime seriesVARXStock marketsFil: Buzzi, Sergio Martín. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas. Departamento de Estadística y Matemática; Argentina.Fil: Ojeda, Silvia María. Universidad Nacional de Córdoba. Facultad de Matemática, Astronomía y Física; Argentina.In this paper are analyzed the causal links among a selected group of global stock market indices, with special focus on the role of Argentina MERVAL index. With this objective in mind, two types of non-conventional Granger causality test are performed in order to avoid the theoretical limitations of the traditional test which requires stationary time series. The first test is based in a surplus-lag VAR model and allows testing for Granger causality in thecontext of non-stationary processes. The second test rests on the estimation of a VARX model and is robust to non-stationarity; long memory; and non-modeled structural breaks. This second test also admits conditioning on endogenous modeled control variables. The estimations are performed using daily data for a long time period, being both testing procedures implemented in the programming language R. Finally the results from both tests are compared and interpreted in order to capture their economic meaning.Fil: Buzzi, Sergio Martín. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas. Departamento de Estadística y Matemática; Argentina.Fil: Ojeda, Silvia María. Universidad Nacional de Córdoba. Facultad de Matemática, Astronomía y Física; Argentina.Estadística y Probabilidad2015-10info:eu-repo/semantics/conferenceObjectinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_5794info:ar-repo/semantics/documentoDeConferenciaapplication/pdf2451-8131http://hdl.handle.net/11086/23764enginfo:eu-repo/semantics/openAccessreponame:Repositorio Digital Universitario (UNC)instname:Universidad Nacional de Córdobainstacron:UNC2025-09-29T13:44:11Zoai:rdu.unc.edu.ar:11086/23764Institucionalhttps://rdu.unc.edu.ar/Universidad públicaNo correspondehttp://rdu.unc.edu.ar/oai/snrdoca.unc@gmail.comArgentinaNo correspondeNo correspondeNo correspondeopendoar:25722025-09-29 13:44:11.492Repositorio Digital Universitario (UNC) - Universidad Nacional de Córdobafalse |
dc.title.none.fl_str_mv |
Granger causality testing for Argentina MERVAL index and the major world stock markets |
title |
Granger causality testing for Argentina MERVAL index and the major world stock markets |
spellingShingle |
Granger causality testing for Argentina MERVAL index and the major world stock markets Buzzi, Sergio Martín Granger causality Time series VARX Stock markets |
title_short |
Granger causality testing for Argentina MERVAL index and the major world stock markets |
title_full |
Granger causality testing for Argentina MERVAL index and the major world stock markets |
title_fullStr |
Granger causality testing for Argentina MERVAL index and the major world stock markets |
title_full_unstemmed |
Granger causality testing for Argentina MERVAL index and the major world stock markets |
title_sort |
Granger causality testing for Argentina MERVAL index and the major world stock markets |
dc.creator.none.fl_str_mv |
Buzzi, Sergio Martín Ojeda, Silvia María |
author |
Buzzi, Sergio Martín |
author_facet |
Buzzi, Sergio Martín Ojeda, Silvia María |
author_role |
author |
author2 |
Ojeda, Silvia María |
author2_role |
author |
dc.subject.none.fl_str_mv |
Granger causality Time series VARX Stock markets |
topic |
Granger causality Time series VARX Stock markets |
dc.description.none.fl_txt_mv |
Fil: Buzzi, Sergio Martín. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas. Departamento de Estadística y Matemática; Argentina. Fil: Ojeda, Silvia María. Universidad Nacional de Córdoba. Facultad de Matemática, Astronomía y Física; Argentina. In this paper are analyzed the causal links among a selected group of global stock market indices, with special focus on the role of Argentina MERVAL index. With this objective in mind, two types of non-conventional Granger causality test are performed in order to avoid the theoretical limitations of the traditional test which requires stationary time series. The first test is based in a surplus-lag VAR model and allows testing for Granger causality in thecontext of non-stationary processes. The second test rests on the estimation of a VARX model and is robust to non-stationarity; long memory; and non-modeled structural breaks. This second test also admits conditioning on endogenous modeled control variables. The estimations are performed using daily data for a long time period, being both testing procedures implemented in the programming language R. Finally the results from both tests are compared and interpreted in order to capture their economic meaning. Fil: Buzzi, Sergio Martín. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas. Departamento de Estadística y Matemática; Argentina. Fil: Ojeda, Silvia María. Universidad Nacional de Córdoba. Facultad de Matemática, Astronomía y Física; Argentina. Estadística y Probabilidad |
description |
Fil: Buzzi, Sergio Martín. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas. Departamento de Estadística y Matemática; Argentina. |
publishDate |
2015 |
dc.date.none.fl_str_mv |
2015-10 |
dc.type.none.fl_str_mv |
info:eu-repo/semantics/conferenceObject info:eu-repo/semantics/publishedVersion http://purl.org/coar/resource_type/c_5794 info:ar-repo/semantics/documentoDeConferencia |
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publishedVersion |
dc.identifier.none.fl_str_mv |
2451-8131 http://hdl.handle.net/11086/23764 |
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2451-8131 |
url |
http://hdl.handle.net/11086/23764 |
dc.language.none.fl_str_mv |
eng |
language |
eng |
dc.rights.none.fl_str_mv |
info:eu-repo/semantics/openAccess |
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openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
reponame:Repositorio Digital Universitario (UNC) instname:Universidad Nacional de Córdoba instacron:UNC |
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Repositorio Digital Universitario (UNC) |
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Repositorio Digital Universitario (UNC) |
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Universidad Nacional de Córdoba |
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UNC |
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UNC |
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Repositorio Digital Universitario (UNC) - Universidad Nacional de Córdoba |
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oca.unc@gmail.com |
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13.070432 |