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

G. Ruslan; Shabbar Jaffry; G. Marchenko

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 journal › Article › peer-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 language	English
Pages (from-to)	92-112
Number of pages	21
Journal	Applied Econometrics
Volume	26
Issue number	2
Publication status	Published - 2012

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

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.",

author = "G. Ruslan and Shabbar Jaffry and G. Marchenko",

year = "2012",

language = "English",

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AU - Jaffry, Shabbar

AU - Marchenko, G.

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AB - 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.

M3 - Article

SN - 1993-7601

VL - 26

SP - 92

EP - 112

JO - Applied Econometrics

JF - Applied Econometrics

IS - 2

ER -

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

Abstract

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