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Asimakopoulos, I., Ayling, D. and Mahmood, W.M. (2000) Non-Linear Granger Causality in the Currency Futures Returns. Economics Letters, 68, 25-30.
https://doi.org/10.1016/S0165-1765(00)00219-6

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.