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
Repositorio Digital Universitario (UNC)
Institución
Universidad Nacional de Córdoba
OAI Identificador
oai:rdu.unc.edu.ar:11086/28142
Acceder
id RDUUNC_9e2ff9552cc87b0e5e82d27aea236adf
oai_identifier_str oai:rdu.unc.edu.ar:11086/28142
network_acronym_str RDUUNC
repository_id_str 2572
network_name_str Repositorio Digital Universitario (UNC)
spelling 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:UNC2025-10-23T11:17:38Zoai: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:25722025-10-23 11:17:38.561Repositorio 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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score 12.982451

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