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Granger Causality in Indian-US Markets by BOHR International Journal of Finance and Market Research (BIJFMR) is a document available to read on EtoBox.
What is Granger Causality in Indian-US Markets about?
The Granger causality model is used in the current study to analyze the short-run cause–effect relationship between two stock market indices between 2001 and 2021 using time series data of the daily closing prices of the BSE Sensex and S&P 500 indices listed in the Indian and US stock markets, respectively. The Granger causality model and the augmented Dickey–Fuller test for data stationarity were used in the study to examine the short-term causal link between two market indices during the time
- Author
- BOHR International Journal of Finance and Market Research (BIJFMR)
- Language
- EN