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Nov 23, 2021 · Two stock indices are caused in Granger sense either by economic fundamentals or by money supply provided by Federal Reserve's monetary policy. The causation is found to be dynamic: vanishing...
- Bartosz Stawiarski
- Growing Impact of Monetary Stimuli on Financial Markets
- Granger Causality Test
- Definition 31
- Modelling and Forecasting Example: Var(3) Model
In the classic study of economics systems dynamics, especially in the context of stock market performance relative to macro input variables, there has been well understood role of leading and lagging variables driving economy and long–term stock returns within a given cycle phase. For instance, unemployment rate is a typical lagging indicator, wher...
Crucial question facing asset managers and creators of macroeconomic policies is which econometric or/and financial time series tend to lead (here: cause) which other time series. Granger (1969) has developed a novel testing procedure devised for detecting causality between time series, see .
Wide–sense stationary time series \(\{X_{t}\}_{t\in \mathbb {Z}}\) is said to Granger cause another w.–s. s. time series \(\{Y_{t}\}_{t\in \mathbb {Z}}\) if for any fixed \(t\in \mathbb {Z}\) where \(\sigma ^{2}(\hat{Y}_{t}|\mathbb {F}_{t-1})=\mathbb {E}\big \{\big (\hat{Y}_{t}-\mathbb {E}(\hat{Y}_{t}|\mathbb {F}_{t-1})\big )^{2}\big |\mathbb {F}_{...
As shown above, there are periods – especially around market peaks and severe drops/crashes – when stock indices are Granger–caused both by PMI and liquidity. One such time span covers subprime–driven market crash and financial crisis of 2008–09. Now we will show how vector autoregressive modelling framework VAR(3) works for this selected 2–year pe...
- Bartosz Stawiarski
- bstawiarski@pk.edu.pl
- 2021
Apr 1, 2014 · The only exception is NASDAQ return, which does not Granger Cause search probability for any of the considered indexes. Returns on Stocks also influence search probability of Gold, but not the attention to Bonds or Commodities.
- Nadia Vozlyublennaia
- 2014
Sep 1, 2018 · Results reveal that PCI, TOV and VIX are good indicators of sentiment which do Granger cause returns of Midcap and Smallcap at all time-scales. However, TOV and PCI do Granger cause Nifty returns only in the time-scale of D3, D4, and D5.
- Saumya Ranjan Dash, Debasish Maitra
- 2017
The VIX is found a more robust predictor of stock market returns than Google indices, and it does granger cause the GSVIs more robustly. In addition, in vector auto-regression model, VIX has more prominent effect of its past values on both Google indices.
- Ume Habibah, Suresh Rajput, Ranjeeta Sadhwani
- 2017
Mar 1, 2015 · Equity returns. 1. Introduction. We investigate the influence on UK equity returns of foreign and local components of investor sentiment, using measures of sentiment for the UK and US. The objectives of the paper are two.
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Does Granger cause indices returns?
Are US stock indices Granger-caused?
Does trading volume change Granger-cause in stock returns?
What causes stock indices to fall?
Mar 8, 2021 · Lee and Rui find that trading volume does not Granger-cause stock market returns on each of three stock markets: New York, Tokyo, and London. Meanwhile, stock returns Granger-cause trading volume in the US and Japanese markets but not in the UK market.
