Investigation of the consequences of ignoring daily data non-synchronism in cross-market linkages: BRIC and developed countries

G. Ruslan, Shabbar Jaffry, G. Marchenko

Research output: Contribution to journalArticlepeer-review

Abstract

The comparison was performed between Granger causality test results, based on the equations in classic and non-synchronism corrected forms applying the pairs of stock market indices with daily data non-synchronism problem. In contrast to the non-synchronism corrected form of the equation, the results of Granger causality test performed on classic form of the equation demonstrate the existence of bias, which induces underestimation/overestimation of causality from earlier/later closing markets.
Original languageEnglish
Pages (from-to)92-112
Number of pages21
JournalApplied Econometrics
Volume26
Issue number2
Publication statusPublished - 2012

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