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
Repositorio Digital Universitario (UNC)
Institución
Universidad Nacional de Córdoba
OAI Identificador
oai:rdu.unc.edu.ar:11086/23764
Acceder
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oai_identifier_str oai:rdu.unc.edu.ar:11086/23764
network_acronym_str RDUUNC
repository_id_str 2572
network_name_str Repositorio Digital Universitario (UNC)
spelling 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:UNC2025-10-23T11:18:44Zoai: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:25722025-10-23 11:18:44.898Repositorio 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
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dc.identifier.none.fl_str_mv 2451-8131
http://hdl.handle.net/11086/23764
identifier_str_mv 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
eu_rights_str_mv openAccess
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dc.source.none.fl_str_mv reponame:Repositorio Digital Universitario (UNC)
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instname_str Universidad Nacional de Córdoba
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repository.name.fl_str_mv Repositorio Digital Universitario (UNC) - Universidad Nacional de Córdoba
repository.mail.fl_str_mv oca.unc@gmail.com
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