In this paper we introduce a new nonparametric test for Granger non-causality which avoids the over-rejection observed in the frequently used test proposed by Hiemstra and Jones [1994. Testing for linear and nonlinear Granger causality in the stock price-volume relation. Journal of Finance 49, 1639–1664]. After illustrating the problem by showing that rejection probabilities under the null hypo...

This study complements existing literature by examining the nexus between energy consumption (EC), CO2 emissions (CE) and economic growth (GDP) in 24 African countries using a panel ARDL approach. The following findings are established. First, there is a long run relationship between EC, CE and GDP. Second, a long term effect from CE to GDP and EC is apparent, with reciprocal paths. Third, the ...

a r t i c l e i n f o JEL classification: Q43 F3 G14 G15 Keywords: Stock market returns Oil price fluctuations Gregory–Hansen co-integration test Toda–Yamamoto Granger non-causality test The main focus of this study is to examine how oil price fluctuations influence the performance of stock markets. This study used the causality approach developed by Toda and Yamamoto (1995) to explore the caus...

In the present paper, it is studied the price relations and how price is transmitted between the producer level and the consumer level for lamb meat. Data used in the research include consumer price index and producer price index for lamb meat covering monthly periods of 91 months since March 2001 through September 2008. Johansen's and Juselius's cointegration method and Granger causality test ...

Aim/purpose – Owing to the huge risk occasioned by negative contagion effects associ- ated with financial market linkages, markets participants and academia have continued examine capital cross country interdependence at different levels. In this paper, we examined causal relationships among U.S., China some top Afri- can indexes. Design/methodology/approach To mean variance effects, estimated ...

interest free banking law at 1363 was implemented in the banking system in iran. one of the main goals of this law was eliminating usury from monetary system, and utilization from non-usury credit impact on economic growth through preferring money contribution in the capital. this paper uses data from years 1363 to 1386 and implementing herfindahl-hirschman index, evaluated and ranked concentra...

The current study examines the empirical relation between energy consumption and industrialization concerning other macroeconomic variables like as infrastructure, manufacturing, capital formation with covering period from 1975 to 2018. Johansen co-integration estimation asserts long-run association in this process. Whatever granger causality shows bidirectional electricity industrialization. C...

The literature on Foreign Direct Investment (FDI) has advanced several explanations of the links between financial market developments and FDI inflows across developing as well as developed countries. Empirical literature show that financial market development reduces informational frictions and improves resource allocation more efficiently. Also, financial systems are important for both produc...