In Search of Market Index Leaders: Evidence from Asian Markets

Canegrati, Emanuele (2008): In Search of Market Index Leaders: Evidence from Asian Markets.

Abstract

This paper investigates the presence of Granger-causality amongst market indices in six Asian stock markets: Malaysia, India, China, Pakistan, the Philippine and Japan, from April 7th 1992 to July 23rd 2008. Using daily market returns I performed a Granger-causality test, based on the Vector Autoregressive (VAR) model, in order to detect the causalities amongst indices. Different sub-samples were considered, which take into account the distinction between bearish and bullish phases of the markets. Results show that there is not Granger-causality amongst stock returns for the overall sample, but that there is Granger-causality amongst some indices during bearish and bullish phases. In particular, I found that market index leaders does exist both in up and down trends, even though these market leaders are not necessarily the same in the two phases.

• Item Type: MPRA Paper
• Language: English
• Keywords: Granger-causality, Asian stock markets, market indices, VAR
• Subjects: G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading; G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets

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