This study examines the dynamic relationship between the major stock indices of the US, Japan, France and the UK by using the non-linear Granger-causality test. The empirical evidence indicates that there is a strong bi-directional non-linear causal relationship between the US and the others....

We employ spatial econometrics techniques to investigate to what extent countries' economic and geographical relations affect their stock market co-movements. Among the relations that we analyze, bilateral trade proves to be best suited to capture co-variations in returns. We find a strong...

This study investigates the long-run relationships and short-run dynamic causal linkages between the stock exchange of Egypt and its counterparts in the Group of Seven (G7) countries, prior to and following the tragic events of September 2001, utilizing Johansen's cointegration and variance...