Testing for unit roots and granger non-causality in time series with multiple structural breaks. An international stock markets application
- Autores
- Buzzi, Sergio Martín; Ojeda, Silvia María
- Año de publicación
- 2014
- Idioma
- inglés
- Tipo de recurso
- documento de conferencia
- Estado
- versión publicada
- Descripción
- Fil: Buzzi, Sergio Martín. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas; Argentina.
Fil: Ojeda, Silvia María. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas; Argentina.
In the current paper, we analyze the relationship amongst the dynamics of a group of selected stock indices using daily data. In order to that, we explore the statistical properties of the series, in particular the existence of breaks and unit roots. Two questions of interest are whether or not there are markets that lead the others and which are them. The concept of Granger causality, as a proxy of causality, enables us to address these issues. Moreover, knowing that a market helps to forecast the movements of another market index provides valuable information for traders. Also, this information is useful for improving the knowledge on financial crisis transmission channels. The existence of multiple structural breaks generates problems on the unit roots and Granger non-causality testing. Given that, we design procedures to lead with those issues.
Fil: Buzzi, Sergio Martín. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas; Argentina.
Fil: Ojeda, Silvia María. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas; Argentina.
Estadística y Probabilidad - Materia
-
Time series
Unit root
Granger causality
Stock markets - Nivel de accesibilidad
- acceso abierto
- Condiciones de uso
- Repositorio
- Institución
- Universidad Nacional de Córdoba
- OAI Identificador
- oai:rdu.unc.edu.ar:11086/28142
Ver los metadatos del registro completo
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Testing for unit roots and granger non-causality in time series with multiple structural breaks. An international stock markets applicationBuzzi, Sergio MartínOjeda, Silvia MaríaTime seriesUnit rootGranger causalityStock marketsFil: Buzzi, Sergio Martín. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas; Argentina.Fil: Ojeda, Silvia María. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas; Argentina.In the current paper, we analyze the relationship amongst the dynamics of a group of selected stock indices using daily data. In order to that, we explore the statistical properties of the series, in particular the existence of breaks and unit roots. Two questions of interest are whether or not there are markets that lead the others and which are them. The concept of Granger causality, as a proxy of causality, enables us to address these issues. Moreover, knowing that a market helps to forecast the movements of another market index provides valuable information for traders. Also, this information is useful for improving the knowledge on financial crisis transmission channels. The existence of multiple structural breaks generates problems on the unit roots and Granger non-causality testing. Given that, we design procedures to lead with those issues.Fil: Buzzi, Sergio Martín. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas; Argentina.Fil: Ojeda, Silvia María. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas; Argentina.Estadística y Probabilidad2014-10info:eu-repo/semantics/conferenceObjectinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_5794info:ar-repo/semantics/documentoDeConferenciaapplication/pdfhttp://hdl.handle.net/11086/28142enginfo:eu-repo/semantics/openAccessreponame:Repositorio Digital Universitario (UNC)instname:Universidad Nacional de Córdobainstacron:UNC2025-09-29T13:43:11Zoai:rdu.unc.edu.ar:11086/28142Institucionalhttps://rdu.unc.edu.ar/Universidad públicaNo correspondehttp://rdu.unc.edu.ar/oai/snrdoca.unc@gmail.comArgentinaNo correspondeNo correspondeNo correspondeopendoar:25722025-09-29 13:43:12.147Repositorio Digital Universitario (UNC) - Universidad Nacional de Córdobafalse |
dc.title.none.fl_str_mv |
Testing for unit roots and granger non-causality in time series with multiple structural breaks. An international stock markets application |
title |
Testing for unit roots and granger non-causality in time series with multiple structural breaks. An international stock markets application |
spellingShingle |
Testing for unit roots and granger non-causality in time series with multiple structural breaks. An international stock markets application Buzzi, Sergio Martín Time series Unit root Granger causality Stock markets |
title_short |
Testing for unit roots and granger non-causality in time series with multiple structural breaks. An international stock markets application |
title_full |
Testing for unit roots and granger non-causality in time series with multiple structural breaks. An international stock markets application |
title_fullStr |
Testing for unit roots and granger non-causality in time series with multiple structural breaks. An international stock markets application |
title_full_unstemmed |
Testing for unit roots and granger non-causality in time series with multiple structural breaks. An international stock markets application |
title_sort |
Testing for unit roots and granger non-causality in time series with multiple structural breaks. An international stock markets application |
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 |
Time series Unit root Granger causality Stock markets |
topic |
Time series Unit root Granger causality Stock markets |
dc.description.none.fl_txt_mv |
Fil: Buzzi, Sergio Martín. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas; Argentina. Fil: Ojeda, Silvia María. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas; Argentina. In the current paper, we analyze the relationship amongst the dynamics of a group of selected stock indices using daily data. In order to that, we explore the statistical properties of the series, in particular the existence of breaks and unit roots. Two questions of interest are whether or not there are markets that lead the others and which are them. The concept of Granger causality, as a proxy of causality, enables us to address these issues. Moreover, knowing that a market helps to forecast the movements of another market index provides valuable information for traders. Also, this information is useful for improving the knowledge on financial crisis transmission channels. The existence of multiple structural breaks generates problems on the unit roots and Granger non-causality testing. Given that, we design procedures to lead with those issues. Fil: Buzzi, Sergio Martín. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas; Argentina. Fil: Ojeda, Silvia María. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas; Argentina. Estadística y Probabilidad |
description |
Fil: Buzzi, Sergio Martín. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas; Argentina. |
publishDate |
2014 |
dc.date.none.fl_str_mv |
2014-10 |
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 |
format |
conferenceObject |
status_str |
publishedVersion |
dc.identifier.none.fl_str_mv |
http://hdl.handle.net/11086/28142 |
url |
http://hdl.handle.net/11086/28142 |
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 |
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 |
reponame_str |
Repositorio Digital Universitario (UNC) |
collection |
Repositorio Digital Universitario (UNC) |
instname_str |
Universidad Nacional de Córdoba |
instacron_str |
UNC |
institution |
UNC |
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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1844618948726751232 |
score |
13.070432 |