Beine, Michel; Capelle-Blancard, Gunther; Raymond, Helene - In: The European Journal of Finance 14 (2008) 8, pp. 663-686
In this paper, we test for linear and nonlinear Granger causality between the French, German, Japanese, UK and US daily stock index returns from 1973 to 2003. We find a strong contemporaneous linear dependence between European countries and a directional linear dependence from the US towards the...
