prefix: doi.org/10.52283/1.ajbmr |
Volume[01], Issue[04], 2011, C-14
CAUSALITY AMONG NEW YORK, LONDON, TOKYO AND HONG KONG STOCK MARKETS
â–ºNissim Ben David
10.52283/NSWRCA.AJBMR.20110104A14
ABSTRACT
Investors tend to look into the possibility of broadening their investment activities across countries in order to diversify portfolio risk. This requires an understanding of regional and global linkages of stock markets. In this study, I examine the co-movements in worlds' largest equity markets. I used the daily data of S&P 500, Nikkey 225, Hang Seng and FTSE100 for the period Jan-Nov 2009 in order to examine causality between the markets. Granger causality results show that eastern markets are affected by both S&P 500 and FTSE100, but do not affect western markets. Estimating the rate of change of each index as a function of its lags and of the lags of indexes that were found to granger-cause it, I find a very low predictability for S&P 500, Hang Seng and FTSE100 ,while the Nikkey 225 is pretty highly predictable.
Keywords: causality; predictability; S&P 500; Hang Seng; FTSE100; Nikkey 225
â–ºNissim Ben David
ABSTRACT
Investors tend to look into the possibility of broadening their investment activities across countries in order to diversify portfolio risk. This requires an understanding of regional and global linkages of stock markets. In this study, I examine the co-movements in worlds' largest equity markets. I used the daily data of S&P 500, Nikkey 225, Hang Seng and FTSE100 for the period Jan-Nov 2009 in order to examine causality between the markets. Granger causality results show that eastern markets are affected by both S&P 500 and FTSE100, but do not affect western markets. Estimating the rate of change of each index as a function of its lags and of the lags of indexes that were found to granger-cause it, I find a very low predictability for S&P 500, Hang Seng and FTSE100 ,while the Nikkey 225 is pretty highly predictable.
Keywords: causality; predictability; S&P 500; Hang Seng; FTSE100; Nikkey 225
