نمایش مختصر رکورد

Stock Market Interactions between the BRICS and the United States: Evidence from Asymmetric Granger Causality Tests in the Frequency Domain

dc.contributor.authorChang, Tsangyaoen_US
dc.contributor.authorRanjbar, Omiden_US
dc.contributor.authorJooste, Charlen_US
dc.date.accessioned1399-07-09T08:51:21Zfa_IR
dc.date.accessioned2020-09-30T08:51:21Z
dc.date.available1399-07-09T08:51:21Zfa_IR
dc.date.available2020-09-30T08:51:21Z
dc.date.issued2017-06-01en_US
dc.date.issued1396-03-11fa_IR
dc.date.submitted2016-09-04en_US
dc.date.submitted1395-06-14fa_IR
dc.identifier.citationChang, Tsangyao, Ranjbar, Omid, Jooste, Charl. (2017). Stock Market Interactions between the BRICS and the United States: Evidence from Asymmetric Granger Causality Tests in the Frequency Domain. Iranian Economic Review, 21(2), 297-320. doi: 10.22059/ier.2017.62105en_US
dc.identifier.issn1026-6542
dc.identifier.issn2588-6096
dc.identifier.urihttps://dx.doi.org/10.22059/ier.2017.62105
dc.identifier.urihttps://ier.ut.ac.ir/article_62105.html
dc.identifier.urihttps://iranjournals.nlai.ir/handle/123456789/349855
dc.description.abstractThe interaction of BRICS stock markets with the United States is studied using an asymmetric Granger causality test based on the frequency domain. This type of analysis allows for both positive and negative shocks over different horizons. There is a clear bivariate causality that runs both ways between the United States stock market and the respective BRICS markets. In addition, both negative and positive shocks in the United States stock market affect the majority of BRICS markets.<br />en_US
dc.format.extent1100
dc.format.mimetypeapplication/pdf
dc.languageEnglish
dc.language.isoen_US
dc.publisherUniversity of Tehran, Faculty of Economicsen_US
dc.relation.ispartofIranian Economic Reviewen_US
dc.relation.isversionofhttps://dx.doi.org/10.22059/ier.2017.62105
dc.subjectKeywords: Granger-Causalityen_US
dc.subjectAsymmetryen_US
dc.subjectFrequency domainen_US
dc.subjectStock marketen_US
dc.subjectBRICS Countries. JEL Classification: C1en_US
dc.subjectG15en_US
dc.titleStock Market Interactions between the BRICS and the United States: Evidence from Asymmetric Granger Causality Tests in the Frequency Domainen_US
dc.typeTexten_US
dc.contributor.departmentDepartment of Finance, Feng Chia Universityen_US
dc.contributor.departmentDepartment of Economics, Allameh Tabataba'i University and Trade Representative Office of Iranen_US
dc.contributor.departmentDepartment of Economics, University of Pretoriaen_US
dc.citation.volume21
dc.citation.issue2
dc.citation.spage297
dc.citation.epage320


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