西方集团国家股票指数的因果关系——以比利时和法国为例

Anjali Verma, T TreesaJoseph
{"title":"西方集团国家股票指数的因果关系——以比利时和法国为例","authors":"Anjali Verma, T TreesaJoseph","doi":"10.12725/UJBM.48.3","DOIUrl":null,"url":null,"abstract":"The paper aims at finding reciprocity among two Western European Bloc indices CAC40 and BEL20. CAC40 is a French index which has been in existence since 1986 and BEL20 is a Belgian index whose calculation started four years later. A Granger Causality Test has been performed to check for causality relationships among both the indices. The dataset taken comprises logarithmic close prices on which Bivariate Granger Causality has been performed. The dataset spans for 20 years from 2000 to 2018. The study found the younger index BEL20 to be the driver index and CAC40 as the driven index. Thus, the conclusion drawn is that the performance of CAC40 depends on BEL20 most of the time.","PeriodicalId":151929,"journal":{"name":"Ushus - Journal of Business Management","volume":"115 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2019-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":"{\"title\":\"The Causal Relationship between the Stock Indices of Western Bloc Countries: A Case on Belgium and France\",\"authors\":\"Anjali Verma, T TreesaJoseph\",\"doi\":\"10.12725/UJBM.48.3\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The paper aims at finding reciprocity among two Western European Bloc indices CAC40 and BEL20. CAC40 is a French index which has been in existence since 1986 and BEL20 is a Belgian index whose calculation started four years later. A Granger Causality Test has been performed to check for causality relationships among both the indices. The dataset taken comprises logarithmic close prices on which Bivariate Granger Causality has been performed. The dataset spans for 20 years from 2000 to 2018. The study found the younger index BEL20 to be the driver index and CAC40 as the driven index. Thus, the conclusion drawn is that the performance of CAC40 depends on BEL20 most of the time.\",\"PeriodicalId\":151929,\"journal\":{\"name\":\"Ushus - Journal of Business Management\",\"volume\":\"115 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2019-07-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"2\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Ushus - Journal of Business Management\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.12725/UJBM.48.3\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Ushus - Journal of Business Management","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.12725/UJBM.48.3","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 2

摘要

本文旨在找出两个西欧集团指数CAC40和BEL20之间的相互关系。CAC40是法国的一个指数,从1986年开始存在,而BEL20是比利时的一个指数,它的计算开始于4年后。格兰杰因果检验已执行检查两个指标之间的因果关系。所采取的数据集包括对双变量格兰杰因果关系进行的对数收盘价。该数据集跨度为2000年至2018年的20年。研究发现年轻指数BEL20为驱动指数,CAC40为驱动指数。因此,得出的结论是,CAC40的性能在大多数情况下取决于BEL20。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
The Causal Relationship between the Stock Indices of Western Bloc Countries: A Case on Belgium and France
The paper aims at finding reciprocity among two Western European Bloc indices CAC40 and BEL20. CAC40 is a French index which has been in existence since 1986 and BEL20 is a Belgian index whose calculation started four years later. A Granger Causality Test has been performed to check for causality relationships among both the indices. The dataset taken comprises logarithmic close prices on which Bivariate Granger Causality has been performed. The dataset spans for 20 years from 2000 to 2018. The study found the younger index BEL20 to be the driver index and CAC40 as the driven index. Thus, the conclusion drawn is that the performance of CAC40 depends on BEL20 most of the time.
求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
来源期刊
自引率
0.00%
发文量
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
copy
已复制链接
快去分享给好友吧!
我知道了
右上角分享
点击右上角分享
0
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:604180095
Book学术官方微信