Investigating long-term causal linkages and volatility patterns: A comparative empirical study between the developed stock markets from USA and Netherland
Investigating long-term causal linkages and volatility patterns: A comparative empirical study between the developed stock markets from USA and Netherland
Author(s): Ramona Birau, Cristi Spulbăr, Abhaya Kumar Kepulaje, Mircea Laurenţiu Simion, Ion FlorescuSubject(s): National Economy, Supranational / Global Economy, Health and medicine and law, Policy, planning, forecast and speculation, Socio-Economic Research
Published by: Editura Universitaria Craiova
Keywords: causality test; VAR models; volatility spillovers; developed stock market; investor; COVID-19 pandemic; extreme events;
Summary/Abstract: The main aim of this research paper is to investigate long-term causal linkages and volatility patterns based on a comparative empirical study between the developed stock markets from USA and Netherland. The selected sample period covers a very long time interval, from February, 2000 to February 2023. The econometric framework includes a series of statistical tests such as Augmented Dickey Fuller (ADF) test, but also Granger causality test and VAR models. The empirical results are relevant and contribute to the existing literature regarding the behaviour of developed stock markets.
Journal: Revista de Științe Politice. Revue des Sciences Politiques
- Issue Year: 2023
- Issue No: 77
- Page Range: 80-87
- Page Count: 8
- Language: English