The Impact of US Stock Market on the Co-Movements of BRIC Stock Markets—Evidence from Linear Conditional Granger Causality  

作　　者：Lu Wang Yang Yang Yuanhui Ma 

机构地区：[1]School of Mathematics, Southwest Jiaotong University, Chengdu, China [2]School of Economics and Management, Southwest Jiaotong University, Chengdu, China

出　　处：《Open Journal of Statistics》2017年第5期849-858,共10页统计学期刊（英文）

摘　　要：This paper investigates the impact of the US stock market on the co-movements among the BRIC stock markets using conditional Granger causality which allows a comprehensive exploration on direct and indirect causality. The results from linear conditional causality test show a strong influence of the US stock market on the co-movements of BRIC. Our findings identify the US stock market which is the main inner factor making major contributions to the co-movements among the BRIC stock markets. Further, this study provides robust evidence that the co-movements cannot be significantly influenced by the common information factor. These findings show a more complete picture of the relationships between the US and the BRIC stock markets, offering important implications for policymakers and investors.This paper investigates the impact of the US stock market on the co-movements among the BRIC stock markets using conditional Granger causality which allows a comprehensive exploration on direct and indirect causality. The results from linear conditional causality test show a strong influence of the US stock market on the co-movements of BRIC. Our findings identify the US stock market which is the main inner factor making major contributions to the co-movements among the BRIC stock markets. Further, this study provides robust evidence that the co-movements cannot be significantly influenced by the common information factor. These findings show a more complete picture of the relationships between the US and the BRIC stock markets, offering important implications for policymakers and investors.

关 键 词：Stock Market BRIC CO-MOVEMENT CONDITIONAL GRANGER Causality 

分 类 号：R73[医药卫生—肿瘤]