Article citationsMore>>

Kotkatvuori-Ornberg, J., Nikkinen, J. and Aijo, J. (2013) Stock Market Correlations during the Financial Crisis of 2008-2009: Evidence from 50 Equity Markets. International Review of Financial Analysis, 28, 70-78.
https://doi.org/10.1016/j.irfa.2013.01.009

has been cited by the following article:

• TITLE: The Impact of US Stock Market on the Co-Movements of BRIC Stock Markets—Evidence from Linear Conditional Granger Causality

  AUTHORS: Lu Wang, Yang Yang, Yuanhui Ma

  KEYWORDS: Stock Market, BRIC, Co-Movement, Conditional Granger Causality

  JOURNAL NAME: Open Journal of Statistics, Vol.7 No.5, October 27, 2017

  ABSTRACT: This paper investigates the impact of the US stock market on the co-movements among the BRIC stock markets using conditional Granger causality which allows a comprehensive exploration on direct and indirect causality. The results from linear conditional causality test show a strong influence of the US stock market on the co-movements of BRIC. Our findings identify the US stock market which is the main inner factor making major contributions to the co-movements among the BRIC stock markets. Further, this study provides robust evidence that the co-movements cannot be significantly influenced by the common information factor. These findings show a more complete picture of the relationships between the US and the BRIC stock markets, offering important implications for policymakers and investors.