Granger Causality Tests of Stock Returns: The US and Japanese Stock Markets

2000 ◽  
Vol 26 (12) ◽  
pp. 13-25
Author(s):  
Marios Mavrides
Keyword(s):  
Stock Returns ◽  
Granger Causality ◽  
Stock Markets ◽  
The Us ◽  
Causality Tests ◽  
Granger Causality Tests

scholarly journals Non-linear Causality Between Stock Returns And Inflation Uncertainty: Evidence From The US And The UK

2012 ◽  
Vol 12 (1) ◽  
pp. 63
Author(s):  
Esin Cakan
Keyword(s):  
Stock Returns ◽  
Granger Causality ◽  
Predictive Power ◽  
Inflation Uncertainty ◽  
The Us ◽  
Non Linear ◽  
Causality Tests ◽  
Granger Causality Tests ◽  
The Uk ◽  
Dynamic Relationships

This study analyzes the dynamic relationships between inflation uncertainty and stock returns by employing the linear and non-linear Granger causality tests for the US and the UK. Using GARCH model to generate a measure of inflation uncertainty, it does not have a predictive power for stock returns, as predicted by Friedman, and it does not support the opportunistic central bank hypothesis suggested by Cukierman-Meltzer. However, the findings from non-linear Granger causality put forth that there is a bi-directional non-linear predictive power between these variables. Stock market is used as a hedge against inflation uncertainty.

scholarly journals A Causal Analysis of the R&D Interactions between the EU and the US

2007 ◽  
Vol 7 (4) ◽  
pp. 1850121 ◽  
Author(s):  
Erdal Atukeren
Keyword(s):  
Granger Causality ◽  
Labour Productivity ◽  
Causal Analysis ◽  
The Other ◽  
Other Hand ◽  
The Us ◽  
Causality Tests ◽  
Granger Causality Tests ◽  
The Eu

This paper examines the relationships between the aggregate R&D activities of the EU and the US using multivariate Granger-causality tests. Our estimation results indicate that the EU reacts positively to increases in R&D productivity in the US. On the other hand, R&D activity in the EU is a direct Granger-cause of both R&D and labour productivity in the US, and the effects are negative. It was shown in the literature that the US reacts submissively to successful Japanese R&D. We extend the literature by demonstrating that the US also reacts submissively to increased R&D effort in the EU.

scholarly journals Stock Prices, Consumer Sentiment, And Economic Activity: Some Robust Bilateral Causality Tests For The US And The UK

2011 ◽  
Vol 7 (1) ◽  
Author(s):  
Hassan Shirvani ◽  
Barry Wilbratte
Keyword(s):  
Granger Causality ◽  
Stock Prices ◽  
Economic Activity ◽  
Structural Breaks ◽  
Consumer Sentiment ◽  
Test Procedures ◽  
The Us ◽  
Causality Tests ◽  
Granger Causality Tests ◽  
The Uk

This paper performs robust bilateral Granger causality tests for stock prices, consumer sentiment, and economic activity for the US and the UK. The robust test procedures involve the use of recently developed time series analysis of nonstationary data with possible structural breaks. Applying a battery of such tests, the paper finds the underlying data to be generally nonstationary and noncointegrated, even after allowing for possible breaks in the data, thus implying that the standard bilateral Granger causality tests are robust. The empirical results indicate the presence of unidirectional causality from stock prices to consumer sentiment for both countries. Given that stock prices drive consumer sentiment, we perform additional causality tests to determine the effect of consumer sentiment on the economy. Our finding of a unidirectional causality from consumer sentiment to the economy in both countries is consistent with a chain of causality from stock prices to consumer sentiment to the economy.

scholarly journals Do Operating Profits Induce a Wage Premium Equally Shared among Employees Earning High or Low Incomes?

Economies ◽  
2021 ◽  
Vol 9 (2) ◽  
pp. 81
Author(s):  
Jarle Aarstad ◽  
Olav A. Kvitastein
Keyword(s):  
Panel Data ◽  
Granger Causality ◽  
Wage Inequality ◽  
Wage Premium ◽  
Wage Increase ◽  
Low Incomes ◽  
Causality Tests ◽  
Granger Causality Tests

Panel data show that between 2001 and 2014 Norwegian industries’ increasing aggregated operating profits per employee increased average wages and wage inequality. The data imply that increasing profits, perhaps unsurprisingly, induce a wage premium. The data further imply that employees earning high incomes at the outset had the highest wage increase percentage-wise. Decreasing operating profits per employee had opposite but less robust effects on average wages and wage inequality. Panel data Granger causality tests finally showed that average wages, but not wage inequality, reversely and positively affect operating profits per employee.

scholarly journals Sars-Cov-2 in Argentina: Lockdown, Mobility, and Contagion

2020 ◽  
Author(s):  
Juan M.C. Larrosa
Keyword(s):  
Panel Data ◽  
Granger Causality ◽  
Random Effects ◽  
Social Costs ◽  
Political Discussion ◽  
Fixed And Random Effects ◽  
The World ◽  
Causality Tests ◽  
Granger Causality Tests ◽  
Over Time

AbstractThere is a debate in Argentina about the effectiveness of mandatory lockdown measures in containing COVID-19 that lasts five months making it one of the longest in the World. The population effort to comply the lockdown has been decreasing over time given the economic and social costs that it entails. We contributes by analyzing the Argentinian case through information of mobility and contagion given answers to recurrent questions on these topics. This paper aims to fill the gap in the literature by assessing the effects of lockdown measures and the regional relaxation on the numbers of rate of new infections. We also respond to issues of internal political discussion on regional contagion and the effect of marches and unexpected crowd events. We use pool, fixed and random effects panel data modeling and Granger causality tests identifying relations between mobility and contagion. Our results show that lockdown in Argentina has been effective in reducing the mobility but not in way that reduces the rate of contagion. Strict lockdown seems to be effective in short periods of time and by extend it without complementary measures loss effectiveness. Contagion rate seems to be discretely displaced in time and resurging amidst slowly increasing in mobility.

scholarly journals Drivers of Greek and Turkish Defense Spending

2016 ◽  
Vol 51 (1) ◽  
pp. 33-46 ◽  
Author(s):  
Grzegorz Waszkiewicz
Keyword(s):  
National Security ◽  
Granger Causality ◽  
Statistical Data ◽  
Causal Relation ◽  
Middle Eastern ◽  
Defense Spending ◽  
Causality Tests ◽  
Military Expenditures ◽  
Granger Causality Tests ◽  
Political Economic

Abstract This paper evaluates the factors responsible for maintaining substantial military expenditures in Greece and Turkey. The presented research encompasses theoretical and empirical aspects. First, defense spending by both countries was analyzed based on statistical data from international sources. Next, the theoretical determinants of budgetary spending are reviewed, which consider political, economic and military factors behind high expenditures on the army in Greece and in Turkey. Finally, Granger causality tests is applied to determine whether a causal relation between variables exists in the case of these two countries. We conclude that defense expenditures in Greece and Turkey exceed the NATO average, but are relatively low relative to those of selected Middle Eastern countries. Our results indicate that high military spending level in Turkey is mainly driven by national security concerns, whereas an economic driver prevails in Greece.

scholarly journals An Analysis of Stock Return Transmission in North and Latin America

2019 ◽  
Vol 10 (6) ◽  
pp. 14
Author(s):  
Chikashi Tsuji
Keyword(s):  
Latin America ◽  
Stock Returns ◽  
Latin American ◽  
Stock Markets ◽  
Stock Return ◽  
The Other ◽  
Var Model ◽  
Recent Period ◽  
The Us ◽  
Standard Vector

This study empirically examines the return transmission effects between the four North and Latin American stock markets in the US, Canada, Brazil, and Mexico. More specifically, applying a standard vector autoregression (VAR) model, we obtain the following interesting findings. First, (1) the return transmission effects between the four North and Latin American stock markets became much tighter in our second subsample period. Second, (2) in particular, US and Mexican stock markets are strong return transmitters in the recent period. Furthermore, (3) both in our first and second subsample periods, Brazilian stock returns do not transmit to the other three stock returns, although the other three North and Latin American stock markets affect the Brazilian stock market.

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