Research of the Causalities US Stock Market Returns and G-7 Countries’ Stock Market Volatilities from Pre-Crisis to Post-Crisis of 2008
Advances in Management & Applied Economics, 7(4), 2017, 33-42
10 Pages Posted: 24 May 2017
Date Written: July 1, 2017
Abstract
Within the scope of this paper, causalities of the US stock market returns and volatilities on stock market volatilities in Group of 7 (G-7) economies between 2000-2013 have been analysed with Granger causality tests. All volatilities are obtained from conditional variance of returns in stock exchange with GARCH (1,1) model (except Japan stock exchange volatility). Japanese stock exchange volatility is gained with ARCH (1) model because of its coefficients’ significances. In our study, we found that the US stock market returns causes stock market volatilities in G-7 countries in the 2000-2013 period. However, stock market volatilities in G-7 countries’ economies do not cause the US stock market returns in analysis period.
Keywords: stock market volatilities, G-7 economies, Granger causality test.
JEL Classification: G15, F37, C32, C58
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