Japan's Stock Market Performance: Evidence from Toda-Yamamoto and Dolado-Lutkepohl Tests for Multivariate Granger Causality

Japan's Stock Market Performance: Evidence from Toda-Yamamoto and Dolado-Lutkepohl Tests for Multivariate Granger Causality

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This paper empirically examines the causal linkages of Japan's stock market (proxied by Nikkei 225 index) performance with selected key macroeconomic fundamentals. Relatively recent Toda-Yamamoto and Dolado-Lutkepohl, multivariate Granger causality tests are implemented. Monthly time series da...

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Bibliographic Details
Main Authors: Kishor K. Guru-Gharana, Matiur Rahman, Anisul M. Islam
Format: Article
Language:English
Published: EconJournals 2021-05-01
Series:International Journal of Economics and Financial Issues
Online Access:https://econjournals.com/index.php/ijefi/article/view/11262

Internet

https://econjournals.com/index.php/ijefi/article/view/11262

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