چکیده:
he 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 ofBRICS markets
خلاصه ماشینی:
"Table 3: Symmetric and Asymmetric Granger Causality in Time Domain – from the US Market to the BRICS Markets Panel A: Multivariate diagnostic tests for normality and ARCH Actual series Variables in the (in log form) Positive shocks Negative shocks VAR model Multivariat Multivariat Multivariat Multivariat Multivariat Multivariat e normality e ARCH e normality e ARCH e normality e ARCH (S&P, Brazil SPI) 0.
/ Figure 6: Asymmetric Granger Causality from Cumulative Positive Shocks of BRICS Countries SPI Series to Cumulative Positive Shocks of US S&P Series in the Frequency Domain Note: Blue and red lines are Wald statistic and critical values at 5% respectively which are computed using bootstrap simulations of 5000 replications.
/ Figure 6: Asymmetric Granger Causality from Cumulative Positive Shocks of BRICS Countries SPI Series to Cumulative Positive Shocks of US S&P Series in the Frequency Domain Note: Blue and red lines are Wald statistic and critical values at 5% respectively which are computed using bootstrap simulations of 5000 replications.
/ Figure 7: Asymmetric Granger Causality from Cumulative Negative Shocks of BRICS Countries SPI Series to Cumulative Negative Shocks of US S&P Series in the Frequency Domain Note: Blue and red lines are Wald statistic and critical values at 5% respectively which are computed using bootstrap simulations of 5000 replications.
/ Figure 7: Asymmetric Granger Causality from Cumulative Negative Shocks of BRICS Countries SPI Series to Cumulative Negative Shocks of US S&P Series in the Frequency Domain Note: Blue and red lines are Wald statistic and critical values at 5% respectively which are computed using bootstrap simulations of 5000 replications."