Bekiros, Stelios; Gupta, Rangan; Kyei, Clement - Department of Economics, Faculty of Economic and … - 2015
This paper uses a k-th order nonparametric Granger causality test to analyze whether firm-level, economic policy and … macroeconomic uncertainty indicators predict movements in real stock returns and their volatility. Linear Granger causality tests …, we employ a nonparametric causality methodology. We find that aside from economic policy, firm-level uncertainty …
