Cointegration and causality of stock markets in two small open economies and their major trading partner nations

Show simple item record

dc.contributor Bank of Finland
dc.contributor Suomen Pankki
dc.contributor.author Malkamäki, Markku
dc.date.accessioned 2018-08-02T14:12:46Z
dc.date.available 2018-08-02T14:12:46Z
dc.date.issued 1992
dc.identifier.isbn 951-686-328-0
dc.identifier.issn 0785-3572
dc.identifier.uri https://helda.helsinki.fi/bof/handle/123456789/15735
dc.description.abstract This paper examines eointegration and Granger eatisality among the stock markets in the United States, the United Kindom, Germany, Sweden and Finland. The first three nations are the biggest trading partners of the two small open Nordie eeonomies, Finland and Sweden. We apply standard univariate VAR models and a system of VAR models under the assumption of multivariate eointegration, first introdueed in Johansen (1988). Our results from eausality analysis eontradiet the prior understanding with respect to the eausal relations between the Nordie and other stoek markets. Our multivariate eointegration analysis suggests that the stoek markets are cointegrated with one eointegrating veetor when prices are measured in IoeaI eurrencies or in Finnish markkas and two eointegrating vectors when prices are measured in US dollars. The Finnish stoek market is always found to be led by the German market, and aIso by the UK market when returns are measured in IoeaI eurreneies or in Finnish markkas. We also found that the Swedish stoek market is Granger eaused by the UK market instead of the US market as previously suggested. The data covers the period 1974-1989.
dc.format.extent 40
dc.language.iso ENG
dc.rights https://helda.helsinki.fi/bof/copyright
dc.subject Yhdysvallat
dc.subject Iso-Britannia
dc.subject Suomi
dc.subject Saksa
dc.subject Ruotsi
dc.title Cointegration and causality of stock markets in two small open economies and their major trading partner nations
dc.type Paper
dc.identifier.urn URN:NBN:fi:bof-201808021853
dc.series.name Bank of Finland Research Discussion Papers
dc.series.name Suomen Pankin keskustelualoitteita
dc.series.year 1992
dc.series.number 16/1992
dc.date.publication 23.6.1992
dc.subject.yso pörssit
dc.subject.yso avoin talousjärjestelmä
dc.subject.yso taloudelliset mallit
dc.subject.yso pääomamarkkinat
dc.contributor.orgunit Bank of Finland Research Department
dc.type.okm D4

Files in this item

Total number of downloads: Loading...

Files Size Format View
Suomen_pankin_keskustelualoitteita_16_92.pdf 1.421Mb PDF View/Open

This item appears in the following Collection(s)

Show simple item record