THE CAUSAL RELATIONSHIPS BETWEEN EQUITY INDEXES ON WORLD EXCHANGES

被引：44

作者：

KWAN, ACC ^{[1
]}

SIM, AB ^{[1
]}

COTSOMITIS, JA ^{[1
]}

机构：

[1] UNIV NEW S WALES,SCH BANKING & FINANCE,KENSINGTON,NSW 2003,AUSTRALIA

来源：

APPLIED ECONOMICS | 1995年 / 27卷 / 01期

关键词：

D O I：

10.1080/00036849500000005

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The Engle and Granger cointegration analysis and Granger causality tests are applied to monthly time series of nine major stock market indices over the period January 1982 to February 1991 to examine for causal linkages. The empirical results indicate that there is adequate evidence to refute the notion of informationally efficient stock markets.

引用

页码：33 / 37

页数：5

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