Testing the efficacy of information transmission: is equity style index better than stock market index?
This paper examines the ability of equity style to predict future movement of composite leading economic index in a multivariate Granger causality framework. By comparing the efficacy of information transmission between equity style index and Bursa Malaysia Industrial Index, our results show that th...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Technical University of Liberec
2015
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| Online Access: | http://psasir.upm.edu.my/id/eprint/46510/1/Testing%20the%20efficacy%20of%20information%20transmission%3B%20is%20equity%20style%20index%20better%20than%20stock%20market%20index.pdf |