CAUSALITY AMONG THE MAIN STOCK EXCHANGES IN THE WORLD

Authors

  • Hiron Pereira Farias Universidade Federal de Goiás
  • Thelma Sáfadi Universidade Federal de Lavras

Keywords:

Investimento

Abstract

This work aimed to analyze the market of the emerging countries that are part of the Bric with the exception of India, attempting to show how the markets in Brazil, Russia and China behave between each other and how they behave in relation to the US market. It was also analyzed how some developed countries of the G8 group, USA, UK and Japan behave. In each analysis, a VAR model was adjusted and it was attempted to verify the degree of dependence in and between each group, using the Granger causality test, model selection criteria, impulse response function and forecast error variance decompositions. In the performed analyses, the Brazilian and American markets showed strong influence over the other markets, and, in the group analysis, the US market of the ERJ group and all of the emerging markets of group BRC were considered. The American market showed strong influence over the other markets.

KEYWORDS: Emerging and developed markets; Stock exchanges indices; Granger causality test; Impulse response functions; Forecast error variance decompositions

 

 

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Author Biographies

Hiron Pereira Farias, Universidade Federal de Goiás

Mestre em Estatística e Experimentação Agropecuária pelo  Departamento de Ciências Exatas da  Universidade Federal de Lavras.

Professor do Departamento de Estatística na Universidade de Brasília.

Thelma Sáfadi, Universidade Federal de Lavras

Doutora em Estatística pelo Instituto de Matemática e Estatística da Universidade de São Paulo.

Professora do  Departamento de Ciências Exatas da Universidade Federal de Lavras.

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Published

2009-11-04

Issue

Vol. 11 No. 2 (2010)

Section

Strategic Finances

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