Testing for causality-in-mean and in-variance among the U.S., China, and some Africa capital markets : a CCF approach

Aim/purpose - Owing to the huge risk occasioned by negative contagion effects associated with financial market linkages, markets participants and academia have continued to examine the capital market cross country interdependence at different levels. In this paper, we examined the causal relationships among the U.S., China and some top African capital market indexes. Design/methodology/approach - To examine the mean and variance causal effects, we estimated a univariate AR-EGARCH model for all capital market indexes. Then employed the residual-based two-step bivariate cross-correlation function (CCF) test developed by Cheung & Ng (1996). The test statistics had a well-defined asymptotic standard distribution that was robust to distributional assumptions. Findings - We detected both the feedback and unidirectional causality effects among African capital markets. These results show that African financial markets are still not fully integrated within the African continent. Expectedly, the results from our empirical analysis showed the existence of a unidirectional causality both in mean and variance from the U.S. and Chinese markets to African capital markets. This demonstrated that events in the U.S. and China are not irrelevant to African markets. Research implications - Owing to the fact that knowledge of other financial markets provides adequate information about a market situation, the results from this research paper will be helpful for the policymakers of African countries in shaping their economic policies, help investors diversify investments with less risk, and international portfolio managers make portfolio allocation decisions. Originality/value/contribution - This paper examined the mean and risk dynamics of three top African, the U.S., and Chinese capital markets with their inter-dependence using the CCF approach. Furthermore, to the best of our knowledge, no previous research paper on this issue exists. Ausführliche Beschreibung

Gespeichert in:

Autor*in:	Osabuohien-Irabor, Osarumwense [verfasserIn]

Format:	E-Artikel
Sprache:	Englisch

Erschienen:	2021

Rechteinformationen:	Open Access Namensnennung - Nicht kommerziell 4.0 International ; CC BY-NC 4.0

Schlagwörter:	causality-in-mean causality-in-variance capital market cross-correlationfunction

Übergeordnetes Werk:	Enthalten in: Journal of economics & management - Warsaw, Poland : De Gruyter Poland, 2004, 43(2021), 1 vom: Jan., Seite 131-153
Übergeordnetes Werk:	volume:43 ; year:2021 ; number:1 ; month:01 ; pages:131-153

Links:	Link aufrufen Link aufrufen

DOI / URN:	10.22367/jem.2021.43.07

Katalog-ID:	1796987727

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allfields	10.22367/jem.2021.43.07 doi (DE-627)1796987727 (DE-599)KXP1796987727 DE-627 ger DE-627 rda eng G10 F31 C20 jelc Osabuohien-Irabor, Osarumwense verfasserin aut Testing for causality-in-mean and in-variance among the U.S., China, and some Africa capital markets a CCF approach Osarumwense Osabuohien-Irabor 2021 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier DE-206 Open Access Controlled Vocabulary for Access Rights http://purl.org/coar/access_right/c_abf2 Aim/purpose - Owing to the huge risk occasioned by negative contagion effects associated with financial market linkages, markets participants and academia have continued to examine the capital market cross country interdependence at different levels. In this paper, we examined the causal relationships among the U.S., China and some top African capital market indexes. Design/methodology/approach - To examine the mean and variance causal effects, we estimated a univariate AR-EGARCH model for all capital market indexes. Then employed the residual-based two-step bivariate cross-correlation function (CCF) test developed by Cheung & Ng (1996). The test statistics had a well-defined asymptotic standard distribution that was robust to distributional assumptions. Findings - We detected both the feedback and unidirectional causality effects among African capital markets. These results show that African financial markets are still not fully integrated within the African continent. Expectedly, the results from our empirical analysis showed the existence of a unidirectional causality both in mean and variance from the U.S. and Chinese markets to African capital markets. This demonstrated that events in the U.S. and China are not irrelevant to African markets. Research implications - Owing to the fact that knowledge of other financial markets provides adequate information about a market situation, the results from this research paper will be helpful for the policymakers of African countries in shaping their economic policies, help investors diversify investments with less risk, and international portfolio managers make portfolio allocation decisions. Originality/value/contribution - This paper examined the mean and risk dynamics of three top African, the U.S., and Chinese capital markets with their inter-dependence using the CCF approach. Furthermore, to the best of our knowledge, no previous research paper on this issue exists. DE-206 Namensnennung - Nicht kommerziell 4.0 International CC BY-NC 4.0 cc https://creativecommons.org/licenses/by-nc/4.0/ causality-in-mean (dpeaa)DE-206 causality-in-variance (dpeaa)DE-206 capital market (dpeaa)DE-206 cross-correlationfunction (dpeaa)DE-206 Enthalten in Journal of economics & management Warsaw, Poland : De Gruyter Poland, 2004 43(2021), 1 vom: Jan., Seite 131-153 Online-Ressource (DE-627)592071316 (DE-600)2479554-9 (DE-576)305897853 2719-9975 nnns volume:43 year:2021 number:1 month:01 pages:131-153 https://sbc.org.pl/Content/460211/07.pdf Verlag kostenfrei http://doi.org/10.22367/jem.2021.43.07 Resolving-System kostenfrei GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2006 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2014 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2055 GBV_ILN_2108 GBV_ILN_2111 GBV_ILN_2129 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 GBV_ILN_2403 GBV_ILN_2403 ISIL_DE-LFER AR 43 2021 1 1 131-153 26 01 0206 4106833239 x1z 30-03-22 2403 01 DE-LFER 4113686459 00 --%%-- --%%-- n --%%-- l01 08-04-22 2403 01 DE-LFER http://doi.org/10.22367/jem.2021.43.07 2403 01 DE-LFER https://sbc.org.pl/Content/460211/07.pdf
spelling	10.22367/jem.2021.43.07 doi (DE-627)1796987727 (DE-599)KXP1796987727 DE-627 ger DE-627 rda eng G10 F31 C20 jelc Osabuohien-Irabor, Osarumwense verfasserin aut Testing for causality-in-mean and in-variance among the U.S., China, and some Africa capital markets a CCF approach Osarumwense Osabuohien-Irabor 2021 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier DE-206 Open Access Controlled Vocabulary for Access Rights http://purl.org/coar/access_right/c_abf2 Aim/purpose - Owing to the huge risk occasioned by negative contagion effects associated with financial market linkages, markets participants and academia have continued to examine the capital market cross country interdependence at different levels. In this paper, we examined the causal relationships among the U.S., China and some top African capital market indexes. Design/methodology/approach - To examine the mean and variance causal effects, we estimated a univariate AR-EGARCH model for all capital market indexes. Then employed the residual-based two-step bivariate cross-correlation function (CCF) test developed by Cheung & Ng (1996). The test statistics had a well-defined asymptotic standard distribution that was robust to distributional assumptions. Findings - We detected both the feedback and unidirectional causality effects among African capital markets. These results show that African financial markets are still not fully integrated within the African continent. Expectedly, the results from our empirical analysis showed the existence of a unidirectional causality both in mean and variance from the U.S. and Chinese markets to African capital markets. This demonstrated that events in the U.S. and China are not irrelevant to African markets. Research implications - Owing to the fact that knowledge of other financial markets provides adequate information about a market situation, the results from this research paper will be helpful for the policymakers of African countries in shaping their economic policies, help investors diversify investments with less risk, and international portfolio managers make portfolio allocation decisions. Originality/value/contribution - This paper examined the mean and risk dynamics of three top African, the U.S., and Chinese capital markets with their inter-dependence using the CCF approach. Furthermore, to the best of our knowledge, no previous research paper on this issue exists. DE-206 Namensnennung - Nicht kommerziell 4.0 International CC BY-NC 4.0 cc https://creativecommons.org/licenses/by-nc/4.0/ causality-in-mean (dpeaa)DE-206 causality-in-variance (dpeaa)DE-206 capital market (dpeaa)DE-206 cross-correlationfunction (dpeaa)DE-206 Enthalten in Journal of economics & management Warsaw, Poland : De Gruyter Poland, 2004 43(2021), 1 vom: Jan., Seite 131-153 Online-Ressource (DE-627)592071316 (DE-600)2479554-9 (DE-576)305897853 2719-9975 nnns volume:43 year:2021 number:1 month:01 pages:131-153 https://sbc.org.pl/Content/460211/07.pdf Verlag kostenfrei http://doi.org/10.22367/jem.2021.43.07 Resolving-System kostenfrei GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2006 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2014 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2055 GBV_ILN_2108 GBV_ILN_2111 GBV_ILN_2129 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 GBV_ILN_2403 GBV_ILN_2403 ISIL_DE-LFER AR 43 2021 1 1 131-153 26 01 0206 4106833239 x1z 30-03-22 2403 01 DE-LFER 4113686459 00 --%%-- --%%-- n --%%-- l01 08-04-22 2403 01 DE-LFER http://doi.org/10.22367/jem.2021.43.07 2403 01 DE-LFER https://sbc.org.pl/Content/460211/07.pdf
allfields_unstemmed	10.22367/jem.2021.43.07 doi (DE-627)1796987727 (DE-599)KXP1796987727 DE-627 ger DE-627 rda eng G10 F31 C20 jelc Osabuohien-Irabor, Osarumwense verfasserin aut Testing for causality-in-mean and in-variance among the U.S., China, and some Africa capital markets a CCF approach Osarumwense Osabuohien-Irabor 2021 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier DE-206 Open Access Controlled Vocabulary for Access Rights http://purl.org/coar/access_right/c_abf2 Aim/purpose - Owing to the huge risk occasioned by negative contagion effects associated with financial market linkages, markets participants and academia have continued to examine the capital market cross country interdependence at different levels. In this paper, we examined the causal relationships among the U.S., China and some top African capital market indexes. Design/methodology/approach - To examine the mean and variance causal effects, we estimated a univariate AR-EGARCH model for all capital market indexes. Then employed the residual-based two-step bivariate cross-correlation function (CCF) test developed by Cheung & Ng (1996). The test statistics had a well-defined asymptotic standard distribution that was robust to distributional assumptions. Findings - We detected both the feedback and unidirectional causality effects among African capital markets. These results show that African financial markets are still not fully integrated within the African continent. Expectedly, the results from our empirical analysis showed the existence of a unidirectional causality both in mean and variance from the U.S. and Chinese markets to African capital markets. This demonstrated that events in the U.S. and China are not irrelevant to African markets. Research implications - Owing to the fact that knowledge of other financial markets provides adequate information about a market situation, the results from this research paper will be helpful for the policymakers of African countries in shaping their economic policies, help investors diversify investments with less risk, and international portfolio managers make portfolio allocation decisions. Originality/value/contribution - This paper examined the mean and risk dynamics of three top African, the U.S., and Chinese capital markets with their inter-dependence using the CCF approach. Furthermore, to the best of our knowledge, no previous research paper on this issue exists. DE-206 Namensnennung - Nicht kommerziell 4.0 International CC BY-NC 4.0 cc https://creativecommons.org/licenses/by-nc/4.0/ causality-in-mean (dpeaa)DE-206 causality-in-variance (dpeaa)DE-206 capital market (dpeaa)DE-206 cross-correlationfunction (dpeaa)DE-206 Enthalten in Journal of economics & management Warsaw, Poland : De Gruyter Poland, 2004 43(2021), 1 vom: Jan., Seite 131-153 Online-Ressource (DE-627)592071316 (DE-600)2479554-9 (DE-576)305897853 2719-9975 nnns volume:43 year:2021 number:1 month:01 pages:131-153 https://sbc.org.pl/Content/460211/07.pdf Verlag kostenfrei http://doi.org/10.22367/jem.2021.43.07 Resolving-System kostenfrei GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2006 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2014 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2055 GBV_ILN_2108 GBV_ILN_2111 GBV_ILN_2129 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 GBV_ILN_2403 GBV_ILN_2403 ISIL_DE-LFER AR 43 2021 1 1 131-153 26 01 0206 4106833239 x1z 30-03-22 2403 01 DE-LFER 4113686459 00 --%%-- --%%-- n --%%-- l01 08-04-22 2403 01 DE-LFER http://doi.org/10.22367/jem.2021.43.07 2403 01 DE-LFER https://sbc.org.pl/Content/460211/07.pdf
allfieldsGer	10.22367/jem.2021.43.07 doi (DE-627)1796987727 (DE-599)KXP1796987727 DE-627 ger DE-627 rda eng G10 F31 C20 jelc Osabuohien-Irabor, Osarumwense verfasserin aut Testing for causality-in-mean and in-variance among the U.S., China, and some Africa capital markets a CCF approach Osarumwense Osabuohien-Irabor 2021 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier DE-206 Open Access Controlled Vocabulary for Access Rights http://purl.org/coar/access_right/c_abf2 Aim/purpose - Owing to the huge risk occasioned by negative contagion effects associated with financial market linkages, markets participants and academia have continued to examine the capital market cross country interdependence at different levels. In this paper, we examined the causal relationships among the U.S., China and some top African capital market indexes. Design/methodology/approach - To examine the mean and variance causal effects, we estimated a univariate AR-EGARCH model for all capital market indexes. Then employed the residual-based two-step bivariate cross-correlation function (CCF) test developed by Cheung & Ng (1996). The test statistics had a well-defined asymptotic standard distribution that was robust to distributional assumptions. Findings - We detected both the feedback and unidirectional causality effects among African capital markets. These results show that African financial markets are still not fully integrated within the African continent. Expectedly, the results from our empirical analysis showed the existence of a unidirectional causality both in mean and variance from the U.S. and Chinese markets to African capital markets. This demonstrated that events in the U.S. and China are not irrelevant to African markets. Research implications - Owing to the fact that knowledge of other financial markets provides adequate information about a market situation, the results from this research paper will be helpful for the policymakers of African countries in shaping their economic policies, help investors diversify investments with less risk, and international portfolio managers make portfolio allocation decisions. Originality/value/contribution - This paper examined the mean and risk dynamics of three top African, the U.S., and Chinese capital markets with their inter-dependence using the CCF approach. Furthermore, to the best of our knowledge, no previous research paper on this issue exists. DE-206 Namensnennung - Nicht kommerziell 4.0 International CC BY-NC 4.0 cc https://creativecommons.org/licenses/by-nc/4.0/ causality-in-mean (dpeaa)DE-206 causality-in-variance (dpeaa)DE-206 capital market (dpeaa)DE-206 cross-correlationfunction (dpeaa)DE-206 Enthalten in Journal of economics & management Warsaw, Poland : De Gruyter Poland, 2004 43(2021), 1 vom: Jan., Seite 131-153 Online-Ressource (DE-627)592071316 (DE-600)2479554-9 (DE-576)305897853 2719-9975 nnns volume:43 year:2021 number:1 month:01 pages:131-153 https://sbc.org.pl/Content/460211/07.pdf Verlag kostenfrei http://doi.org/10.22367/jem.2021.43.07 Resolving-System kostenfrei GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2006 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2014 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2055 GBV_ILN_2108 GBV_ILN_2111 GBV_ILN_2129 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 GBV_ILN_2403 GBV_ILN_2403 ISIL_DE-LFER AR 43 2021 1 1 131-153 26 01 0206 4106833239 x1z 30-03-22 2403 01 DE-LFER 4113686459 00 --%%-- --%%-- n --%%-- l01 08-04-22 2403 01 DE-LFER http://doi.org/10.22367/jem.2021.43.07 2403 01 DE-LFER https://sbc.org.pl/Content/460211/07.pdf
allfieldsSound	10.22367/jem.2021.43.07 doi (DE-627)1796987727 (DE-599)KXP1796987727 DE-627 ger DE-627 rda eng G10 F31 C20 jelc Osabuohien-Irabor, Osarumwense verfasserin aut Testing for causality-in-mean and in-variance among the U.S., China, and some Africa capital markets a CCF approach Osarumwense Osabuohien-Irabor 2021 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier DE-206 Open Access Controlled Vocabulary for Access Rights http://purl.org/coar/access_right/c_abf2 Aim/purpose - Owing to the huge risk occasioned by negative contagion effects associated with financial market linkages, markets participants and academia have continued to examine the capital market cross country interdependence at different levels. In this paper, we examined the causal relationships among the U.S., China and some top African capital market indexes. Design/methodology/approach - To examine the mean and variance causal effects, we estimated a univariate AR-EGARCH model for all capital market indexes. Then employed the residual-based two-step bivariate cross-correlation function (CCF) test developed by Cheung & Ng (1996). The test statistics had a well-defined asymptotic standard distribution that was robust to distributional assumptions. Findings - We detected both the feedback and unidirectional causality effects among African capital markets. These results show that African financial markets are still not fully integrated within the African continent. Expectedly, the results from our empirical analysis showed the existence of a unidirectional causality both in mean and variance from the U.S. and Chinese markets to African capital markets. This demonstrated that events in the U.S. and China are not irrelevant to African markets. Research implications - Owing to the fact that knowledge of other financial markets provides adequate information about a market situation, the results from this research paper will be helpful for the policymakers of African countries in shaping their economic policies, help investors diversify investments with less risk, and international portfolio managers make portfolio allocation decisions. Originality/value/contribution - This paper examined the mean and risk dynamics of three top African, the U.S., and Chinese capital markets with their inter-dependence using the CCF approach. Furthermore, to the best of our knowledge, no previous research paper on this issue exists. DE-206 Namensnennung - Nicht kommerziell 4.0 International CC BY-NC 4.0 cc https://creativecommons.org/licenses/by-nc/4.0/ causality-in-mean (dpeaa)DE-206 causality-in-variance (dpeaa)DE-206 capital market (dpeaa)DE-206 cross-correlationfunction (dpeaa)DE-206 Enthalten in Journal of economics & management Warsaw, Poland : De Gruyter Poland, 2004 43(2021), 1 vom: Jan., Seite 131-153 Online-Ressource (DE-627)592071316 (DE-600)2479554-9 (DE-576)305897853 2719-9975 nnns volume:43 year:2021 number:1 month:01 pages:131-153 https://sbc.org.pl/Content/460211/07.pdf Verlag kostenfrei http://doi.org/10.22367/jem.2021.43.07 Resolving-System kostenfrei GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2006 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2014 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2055 GBV_ILN_2108 GBV_ILN_2111 GBV_ILN_2129 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 GBV_ILN_2403 GBV_ILN_2403 ISIL_DE-LFER AR 43 2021 1 1 131-153 26 01 0206 4106833239 x1z 30-03-22 2403 01 DE-LFER 4113686459 00 --%%-- --%%-- n --%%-- l01 08-04-22 2403 01 DE-LFER http://doi.org/10.22367/jem.2021.43.07 2403 01 DE-LFER https://sbc.org.pl/Content/460211/07.pdf
language	English
source	Enthalten in Journal of economics & management 43(2021), 1 vom: Jan., Seite 131-153 volume:43 year:2021 number:1 month:01 pages:131-153
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topic_title	G10 F31 C20 jelc Testing for causality-in-mean and in-variance among the U.S., China, and some Africa capital markets a CCF approach Osarumwense Osabuohien-Irabor causality-in-mean (dpeaa)DE-206 causality-in-variance (dpeaa)DE-206 capital market (dpeaa)DE-206 cross-correlationfunction (dpeaa)DE-206
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title_full	Testing for causality-in-mean and in-variance among the U.S., China, and some Africa capital markets a CCF approach Osarumwense Osabuohien-Irabor
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title_sort	testing for causality-in-mean and in-variance among the u.s., china, and some africa capital marketsa ccf approach
title_auth	Testing for causality-in-mean and in-variance among the U.S., China, and some Africa capital markets a CCF approach
abstract	Aim/purpose - Owing to the huge risk occasioned by negative contagion effects associated with financial market linkages, markets participants and academia have continued to examine the capital market cross country interdependence at different levels. In this paper, we examined the causal relationships among the U.S., China and some top African capital market indexes. Design/methodology/approach - To examine the mean and variance causal effects, we estimated a univariate AR-EGARCH model for all capital market indexes. Then employed the residual-based two-step bivariate cross-correlation function (CCF) test developed by Cheung & Ng (1996). The test statistics had a well-defined asymptotic standard distribution that was robust to distributional assumptions. Findings - We detected both the feedback and unidirectional causality effects among African capital markets. These results show that African financial markets are still not fully integrated within the African continent. Expectedly, the results from our empirical analysis showed the existence of a unidirectional causality both in mean and variance from the U.S. and Chinese markets to African capital markets. This demonstrated that events in the U.S. and China are not irrelevant to African markets. Research implications - Owing to the fact that knowledge of other financial markets provides adequate information about a market situation, the results from this research paper will be helpful for the policymakers of African countries in shaping their economic policies, help investors diversify investments with less risk, and international portfolio managers make portfolio allocation decisions. Originality/value/contribution - This paper examined the mean and risk dynamics of three top African, the U.S., and Chinese capital markets with their inter-dependence using the CCF approach. Furthermore, to the best of our knowledge, no previous research paper on this issue exists.
abstractGer	Aim/purpose - Owing to the huge risk occasioned by negative contagion effects associated with financial market linkages, markets participants and academia have continued to examine the capital market cross country interdependence at different levels. In this paper, we examined the causal relationships among the U.S., China and some top African capital market indexes. Design/methodology/approach - To examine the mean and variance causal effects, we estimated a univariate AR-EGARCH model for all capital market indexes. Then employed the residual-based two-step bivariate cross-correlation function (CCF) test developed by Cheung & Ng (1996). The test statistics had a well-defined asymptotic standard distribution that was robust to distributional assumptions. Findings - We detected both the feedback and unidirectional causality effects among African capital markets. These results show that African financial markets are still not fully integrated within the African continent. Expectedly, the results from our empirical analysis showed the existence of a unidirectional causality both in mean and variance from the U.S. and Chinese markets to African capital markets. This demonstrated that events in the U.S. and China are not irrelevant to African markets. Research implications - Owing to the fact that knowledge of other financial markets provides adequate information about a market situation, the results from this research paper will be helpful for the policymakers of African countries in shaping their economic policies, help investors diversify investments with less risk, and international portfolio managers make portfolio allocation decisions. Originality/value/contribution - This paper examined the mean and risk dynamics of three top African, the U.S., and Chinese capital markets with their inter-dependence using the CCF approach. Furthermore, to the best of our knowledge, no previous research paper on this issue exists.
abstract_unstemmed	Aim/purpose - Owing to the huge risk occasioned by negative contagion effects associated with financial market linkages, markets participants and academia have continued to examine the capital market cross country interdependence at different levels. In this paper, we examined the causal relationships among the U.S., China and some top African capital market indexes. Design/methodology/approach - To examine the mean and variance causal effects, we estimated a univariate AR-EGARCH model for all capital market indexes. Then employed the residual-based two-step bivariate cross-correlation function (CCF) test developed by Cheung & Ng (1996). The test statistics had a well-defined asymptotic standard distribution that was robust to distributional assumptions. Findings - We detected both the feedback and unidirectional causality effects among African capital markets. These results show that African financial markets are still not fully integrated within the African continent. Expectedly, the results from our empirical analysis showed the existence of a unidirectional causality both in mean and variance from the U.S. and Chinese markets to African capital markets. This demonstrated that events in the U.S. and China are not irrelevant to African markets. Research implications - Owing to the fact that knowledge of other financial markets provides adequate information about a market situation, the results from this research paper will be helpful for the policymakers of African countries in shaping their economic policies, help investors diversify investments with less risk, and international portfolio managers make portfolio allocation decisions. Originality/value/contribution - This paper examined the mean and risk dynamics of three top African, the U.S., and Chinese capital markets with their inter-dependence using the CCF approach. Furthermore, to the best of our knowledge, no previous research paper on this issue exists.
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title_short	Testing for causality-in-mean and in-variance among the U.S., China, and some Africa capital markets
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Testing for causality-in-mean and in-variance among the U.S., China, and some Africa capital markets : a CCF approach

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