Causality Testing in Equity Markets

49 Pages Posted: 14 Oct 2021

See all articles by Markus Schuller

Markus Schuller

IE Business School; International University of Monaco (IUM); EDHEC Business School; Panthera Solutions

Andreas Haberl

affiliation not provided to SSRN

Ilia Zaichenkov

Panthera Solutions

Date Written: June 2, 2021


Path-dependence is a feature of capital markets. In this systematic literature review, we study recent and relevant publications on causality testing in equity markets with the purpose of identifying which causality tests have most widely been used. Our sample consists of 191 journal articles published between 2010 2020, retrieved from Google Scholar and DeepDyve. Following the introduction to the relevance of testing for causality in capital markets, we analyse the sample based on a set of 5 criteria: We plotted and described (1) the distribution of articles per year, (2) analysed the journals’ reputation and assessed (3) the content of the articles in our sample. We show (4) what individual countries and regions were most frequently investigated by the literature and then (5) analysed the causality test or methodology employed. The conclusion summarises the relevant findings and points in the direction of a directional approach to causality that deserves further attention and research.

Although the topic of causality is broad and complex, by arranging and mapping our findings in a structured way, we aim to provide clarity not only to academics, but also to finance and investment professionals such that they may better be able to identify current research trends, quickly find additional literature on a related topics of their interest or stimulate them to think about ways to include causality assessments into their work.

Keywords: causality, causation, granger causality, systematic literature review, equity markets

JEL Classification: G11, G14, G17.

Suggested Citation

Schuller, Markus and Schuller, Markus and Schuller, Markus and Schuller, Markus and Haberl, Andreas and Zaichenkov, Ilia, Causality Testing in Equity Markets (June 2, 2021). Available at SSRN: or

Markus Schuller (Contact Author)

IE Business School ( email )

Castellon de la Plana, 8
Madrid, 28006

International University of Monaco (IUM) ( email )

2 Av Prince Hereditaire Albert
Stade Louis II/B
Monaco, Monaco MC-98000
United States

EDHEC Business School ( email )

58 rue du Port
Lille, 59046

Panthera Solutions ( email )

5, Avenue Saint Laurent
Monaco, 98000


Andreas Haberl

affiliation not provided to SSRN

Ilia Zaichenkov

Panthera Solutions ( email )

49, Av Hector Otto
Monaco, 98000

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