Are causal relationships sensitive to causality tests?

Chowdhury, Abdur

doi:10.1080/00036848700000016

Cited by 24 publications

(7 citation statements)

References 13 publications

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“…It is because perhaps the logarithmic transformation tends to reduce heteroskedasticity and increase the stationarity of the variables. Similarly, Chowdhury (1987) found more disturbing results that give support to those who have doubted whether Granger causality was related to philosophical causality or economic exogeneity in any meaningful way.…”

Section: Granger Causality Testmentioning

confidence: 58%

Pre & Post-Recession Stock Markets Integration: Some Empirical Evidence

Padhan¹,

Sujit²

2013

IJBM

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The financial markets across globe have become distinctly integrated owing to liberalization and globalsiation policy as well as advancement of information technology. The contagion effect of macroeconomic disturbances or financial crisis, internally and externally, is rapidly disseminating across various economies. The recent global recession of 2007-09 started with US subprime crises and subsequently followed by Lehman brother crisis affected all most all major economies of the world. In this contenxt, the present paper explores the stock market integration of leading stock exchanges across various countries during pre and post economic crisis of 2007-09. Thus for empirical analysis, it uses the data since 2004-2012. It attempts to find out the breaks point, if any, in the pattern of stock price movements endogenously. Further efforts have also been made to examine changing pattern of relationship among stock prices using bivariate and multivariate cointegration techniques. The study suggests that although stock markets are integrated globally, the integration is very weak. This proposes that stock prices as well as returns are not strongly interrelated across markets. The Granger casualty results also provides mixed evidences, although some changes are noticed about the causality between stock prices from pre-recession to post recession period in Chinese stock markets.

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Section: Granger Causality Testmentioning

confidence: 58%

Pre & Post-Recession Stock Markets Integration: Some Empirical Evidence

Padhan¹,

Sujit²

2013

IJBM

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“…In this case, the test could erroneously conclude Granger causality between X and Y (Hood III et al, 2008;Hartwig, 2009). Classic examples highlighting this issue can be found in several earlier studies (for example, sunspots causing GNP and/or prices [ Jevons, 1884], or GNP and/or prices causing sunspots [Sheehan and Grieves, 1982;Chowdury, 1987]).…”

Section: Overview Of Granger Analysismentioning

confidence: 99%

Detecting price artificiality and manipulation in futures markets: An application to Amaranth

Saha

Petersen

2012

J Deriv Hedge Funds

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In this article we propose a general method to test whether economic data support the claim of futures market manipulation. We examine the question of whether or not Amaranth manipulated the market for natural gas futures using three alternative methods. The first is our contribution to the existing body of literature on the analysis of manipulation claims. The subsequent two have previously been discussed in the literature. All three methods yield the same result: economic data on futures prices and Amaranth's trades do not support the claim that Amaranth manipulated the natural gas futures market in 2006.

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“…This controversial finding has sparked the interest of this study to further investigate the issue of savings-growth nexus in Malaysia from a different perspective. Chowdury (1987) argued that in most cases the non-consensus causality result was probably attributed to the different causality tests employed. Thornton and Batten (1985) and Xu (1996) added that the arbitrariness in the choice of lag order for causality test may also yield different causality results.…”

Section: Introductionmentioning

confidence: 99%

Does Causality Technique Matter to Savings-Growth Nexus in Malaysia?

Tang

2020

Malaysian Management Journal

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The intention of this study was to investigate whether the causal inference between savings and economic growth in Malaysia is sensitive to the particular causality tests employed to ascertain the causal relationship. This study covered quarterly data from 1991:Q1 to 2006:Q3. The results suggested that the causal relationship between savings and economic growth in Malaysia is not sensitive to the particular causality test used. Thus, causality test plays no role in explaining the inconsistency causality result of savings and economic growth. Ultimately, causality test does not matter to savings-growth nexus for Malaysia.

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Are causal relationships sensitive to causality tests?

Cited by 24 publications

References 13 publications

Pre & Post-Recession Stock Markets Integration: Some Empirical Evidence

Pre & Post-Recession Stock Markets Integration: Some Empirical Evidence

Detecting price artificiality and manipulation in futures markets: An application to Amaranth

Does Causality Technique Matter to Savings-Growth Nexus in Malaysia?

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