Dong, Huijian; Bowers, Helen; Latham, William R. - Department of Economics, Lerner College of Business and … - 2013
This paper employs Granger causality tests to identify the impacts of historical information from global financial markets on their current levels in 30-day windows. The dataset consists primarily of the daily index levels of the (1) open, (2) close, (3) intra-day high, (4) intra-day low, and...