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

See all articles by Ihsan Erdem Kayral

Ihsan Erdem Kayral

Konya Food and Agriculture University

Semra Karacaer

Hacettepe University

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

Suggested Citation

Kayral, Ihsan Erdem and Karacaer, Semra, Research of the Causalities US Stock Market Returns and G-7 Countries’ Stock Market Volatilities from Pre-Crisis to Post-Crisis of 2008 (July 1, 2017). Advances in Management & Applied Economics, 7(4), 2017, 33-42, Available at SSRN: https://ssrn.com/abstract=2971457

Ihsan Erdem Kayral (Contact Author)

Konya Food and Agriculture University ( email )

Meram
Konya
Turkey

Semra Karacaer

Hacettepe University ( email )

Ankara
Turkey

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
110
Abstract Views
878
Rank
445,710
PlumX Metrics