lxxxviii
3. BRIIC BETWEEN PIIGS COUNTRIES BRAZIL: IBOVESPA WITH PORTUGAL: PSIG
Pairwise Granger Causality Tests Date: 052213 Time: 17:15
Sample: 2002M01 2012M12 Lags: 2
Null Hypothesis: Obs
F-Statistic Prob.
PSIG does not Granger Cause IBOVESPA 130
0.24063 0.7865
IBOVESPA does not Granger Cause PSIG 1.84303
0.1626
BRAZIL: IBOVESPA WITH ITALY: FTSEMIB
Pairwise Granger Causality Tests Date: 052213 Time: 17:16
Sample: 2002M01 2012M12 Lags: 2
Null Hypothesis: Obs
F-Statistic Prob.
FTSEMIB does not Granger Cause IBOVESPA 130
1.24389 0.2918
IBOVESPA does not Granger Cause FTSEMIB 1.24794
0.2906
BRAZIL: IBOVESPA WITH IRELAND: ISEQ
Pairwise Granger Causality Tests Date: 052213 Time: 17:16
Sample: 2002M01 2012M12 Lags: 2
Null Hypothesis: Obs
F-Statistic Prob.
ISEQ does not Granger Cause IBOVESPA 130
1.52046 0.2226
IBOVESPA does not Granger Cause ISEQ 1.88422
0.1562
BRAZIL: IBOVESPA WITH GREECE: ATHEX
Pairwise Granger Causality Tests Date: 052213 Time: 17:16
Sample: 2002M01 2012M12 Lags: 2
Null Hypothesis: Obs
F-Statistic Prob.
ATHEX does not Granger Cause IBOVESPA 130
0.56329 0.5708
IBOVESPA does not Granger Cause ATHEX 1.76530
0.1754
lxxxix
BRAZIL: IBOVESPA WITH SPAIN: IBEX35
Pairwise Granger Causality Tests Date: 052213 Time: 17:17
Sample: 2002M01 2012M12 Lags: 2
Null Hypothesis: Obs
F-Statistic Prob.
IBEX35 does not Granger Cause IBOVESPA 130
0.77649 0.4622
IBOVESPA does not Granger Cause IBEX35 0.25755
0.7734
RUSSIA: RTSI WITH PORTUGAL: PSIG
Pairwise Granger Causality Tests Date: 052213 Time: 17:17
Sample: 2002M01 2012M12 Lags: 2
Null Hypothesis: Obs
F-Statistic Prob.
PSIG does not Granger Cause RTSI 130
1.79656 0.1701
RTSI does not Granger Cause PSIG 1.01896
0.3639
RUSSIA: RTSI WITH ITALY: FTSEMIB
Pairwise Granger Causality Tests Date: 052213 Time: 17:17
Sample: 2002M01 2012M12 Lags: 2
Null Hypothesis: Obs
F-Statistic Prob.
FTSEMIB does not Granger Cause RTSI 130
1.90635 0.1529
RTSI does not Granger Cause FTSEMIB 0.95117
0.3891
RUSSIA: RTSI WITH IRELAND: ISEQ
Pairwise Granger Causality Tests Date: 052213 Time: 17:18
Sample: 2002M01 2012M12 Lags: 2
Null Hypothesis: Obs
F-Statistic Prob.
ISEQ does not Granger Cause RTSI 130
4.66702 0.0111
xc
RTSI does not Granger Cause ISEQ 3.12807
0.0472
RUSSIA: RTSI WITH GREECE: ATHEX
Pairwise Granger Causality Tests Date: 052213 Time: 17:18
Sample: 2002M01 2012M12 Lags: 2
Null Hypothesis: Obs
F-Statistic Prob.
ATHEX does not Granger Cause RTSI 130
0.82406 0.4410
RTSI does not Granger Cause ATHEX 1.62106
0.2018
RUSSIA: RTSI WITH SPAIN: IBEX35
Pairwise Granger Causality Tests Date: 052213 Time: 17:19
Sample: 2002M01 2012M12 Lags: 2
Null Hypothesis: Obs
F-Statistic Prob.
IBEX35 does not Granger Cause RTSI 130
1.73507 0.1806
RTSI does not Granger Cause IBEX35 0.28333
0.7538
INDIA: CNXNIFTY WITH PORTUGAL: PSIG
Pairwise Granger Causality Tests Date: 052213 Time: 17:19
Sample: 2002M01 2012M12 Lags: 2
Null Hypothesis: Obs
F-Statistic Prob.
PSIG does not Granger Cause CNXNIFTY 130
0.81412 0.4454
CNXNIFTY does not Granger Cause PSIG 0.63309
0.5326
INDIA: CNXNIFTY WITH ITALY: FTSEMIB
Pairwise Granger Causality Tests Date: 052213 Time: 17:20
Sample: 2002M01 2012M12 Lags: 2
Null Hypothesis: Obs
F-Statistic Prob.
FTSEMIB does not Granger Cause CNXNIFTY 130
1.37801 0.2559
xci
CNXNIFTY does not Granger Cause FTSEMIB 0.65360
0.5219
INDIA: CNXNIFTY WITH IRELAND: ISEQ
Pairwise Granger Causality Tests Date: 052213 Time: 17:20
Sample: 2002M01 2012M12 Lags: 2
Null Hypothesis: Obs
F-Statistic Prob.
ISEQ does not Granger Cause CNXNIFTY 130
1.90246 0.1535
CNXNIFTY does not Granger Cause ISEQ 2.20042
0.1150
INDIA: CNXNIFTY WITH GREECE: ATHEX
Pairwise Granger Causality Tests Date: 052213 Time: 17:20
Sample: 2002M01 2012M12 Lags: 2
Null Hypothesis: Obs
F-Statistic Prob.
ATHEX does not Granger Cause CNXNIFTY 130
1.09910 0.3364
CNXNIFTY does not Granger Cause ATHEX 1.83930
0.1632
INDIA: CNXNIFTY WITH SPAIN: IBEX35
Pairwise Granger Causality Tests Date: 052213 Time: 17:20
Sample: 2002M01 2012M12 Lags: 2
Null Hypothesis: Obs
F-Statistic Prob.
IBEX35 does not Granger Cause CNXNIFTY 130
1.21743 0.2995
CNXNIFTY does not Granger Cause IBEX35 0.09851
0.9063
INDONESIA: JKSE WITH PORTUGAL: PSIG
Pairwise Granger Causality Tests Date: 052213 Time: 17:21
Sample: 2002M01 2012M12 Lags: 2
Null Hypothesis: Obs
F-Statistic Prob.
PSIG does not Granger Cause JKSE 130
2.66183 0.0738
JKSE does not Granger Cause PSIG 0.62822
0.5352
xcii
INDONESIA: JKSE WITH ITALY: FTSEMIB
Pairwise Granger Causality Tests Date: 052213 Time: 17:21
Sample: 2002M01 2012M12 Lags: 2
Null Hypothesis: Obs
F-Statistic Prob.
FTSEMIB does not Granger Cause JKSE 130
3.23395 0.0427
JKSE does not Granger Cause FTSEMIB 0.85305
0.4286
INDONESIA: JKSE WITH IRELAND: ISEQ
Pairwise Granger Causality Tests Date: 052213 Time: 17:22
Sample: 2002M01 2012M12 Lags: 2
Null Hypothesis: Obs
F-Statistic Prob.
ISEQ does not Granger Cause JKSE 130
5.09490 0.0075
JKSE does not Granger Cause ISEQ 2.08681
0.1284
INDONESIA: JKSE WITH GREECE: ATHEX
Pairwise Granger Causality Tests Date: 052213 Time: 17:22
Sample: 2002M01 2012M12 Lags: 2
Null Hypothesis: Obs
F-Statistic Prob.
ATHEX does not Granger Cause JKSE 130
0.61997 0.5396
JKSE does not Granger Cause ATHEX 2.07120
0.1303
INDONESIA: JKSE WITH SPAIN: IBEX35
Pairwise Granger Causality Tests Date: 052213 Time: 17:22
Sample: 2002M01 2012M12 Lags: 2
Null Hypothesis: Obs
F-Statistic Prob.
IBEX35 does not Granger Cause JKSE 130
2.61150 0.0774
JKSE does not Granger Cause IBEX35 0.09196
0.9122
xciii
CHINA: SSE WITH PORTUGAL: PSIG
Pairwise Granger Causality Tests Date: 052213 Time: 17:23
Sample: 2002M01 2012M12 Lags: 2
Null Hypothesis: Obs
F-Statistic Prob.
PSIG does not Granger Cause SSE 130
2.60946 0.0776
SSE does not Granger Cause PSIG 0.66343
0.5169
CHINA: SSE WITH ITALY: FTSEMIB
Pairwise Granger Causality Tests Date: 052213 Time: 17:23
Sample: 2002M01 2012M12 Lags: 2
Null Hypothesis: Obs
F-Statistic Prob.
FTSEMIB does not Granger Cause SSE 130
0.44924 0.6391
SSE does not Granger Cause FTSEMIB 1.68789
0.1891
CHINA: SSE WITH IRELAND: ISEQ
Pairwise Granger Causality Tests Date: 052213 Time: 17:24
Sample: 2002M01 2012M12 Lags: 2
Null Hypothesis: Obs
F-Statistic Prob.
ISEQ does not Granger Cause SSE 130
0.88504 0.4153
SSE does not Granger Cause ISEQ 4.81103
0.0097
CHINA: SSE WITH GREECE: ATHEX
Pairwise Granger Causality Tests Date: 052213 Time: 17:24
Sample: 2002M01 2012M12 Lags: 2
Null Hypothesis: Obs
F-Statistic Prob.
ATHEX does not Granger Cause SSE 130
0.61690 0.5413
SSE does not Granger Cause ATHEX 2.11701
0.1247
xciv
CHINA: SSE WITH SPAIN: IBEX35
Pairwise Granger Causality Tests Date: 052213 Time: 17:25
Sample: 2002M01 2012M12 Lags: 2
Null Hypothesis: Obs
F-Statistic Prob.
IBEX35 does not Granger Cause SSE 130
1.96692 0.1442
SSE does not Granger Cause IBEX35 0.74400
0.4773
xcv
Date: 052913 Time: 16:26 Sample adjusted: 2002M06 2012M12
Included observations: 127 after adjustments Trend assumption: Linear deterministic trend
Series: IBOVESPA RTSI CNXNIFTY JKSE SSE PSIG FTSEMIB ISEQ ATHEX IBEX35 Lags interval in first differences: 1 to 4
Unrestricted Cointegration Rank Test Trace Hypothesized
Trace 0.05
No. of CEs Eigenvalue
Statistic Critical Value
Prob. None
0.559968 386.7143
239.2354 0.0000
At most 1 0.435484
282.4589 197.3709
0.0000 At most 2
0.381357 209.8420
159.5297 0.0000
At most 3 0.312655
148.8531 125.6154
0.0009 At most 4
0.234054 101.2385
95.75366 0.0199
At most 5 0.203115
67.37480 69.81889
0.0771 At most 6
0.155702 38.54004
47.85613 0.2790
At most 7 0.071804
17.04530 29.79707
0.6367 At most 8
0.036799 7.582231
15.49471 0.5111
At most 9 0.021965
2.820629 3.841466
0.0931 Trace test indicates 5 cointegrating eqns at the 0.05 level
denotes rejection of the hypothesis at the 0.05 level MacKinnon-Haug-Michelis 1999 p-values
Unrestricted Cointegration Rank Test Maximum Eigenvalue Hypothesized
Max-Eigen 0.05
No. of CEs Eigenvalue
Statistic Critical Value
Prob. None
0.559968 104.2554
64.50472 0.0000
At most 1 0.435484
72.61693 58.43354
0.0012 At most 2
0.381357 60.98886
52.36261 0.0052
At most 3 0.312655
47.61465 46.23142
0.0353 At most 4
0.234054 33.86368
40.07757 0.2119
At most 5 0.203115
28.83475 33.87687
0.1776 At most 6
0.155702 21.49474
27.58434 0.2474
At most 7 0.071804
9.463072 21.13162
0.7934 At most 8
0.036799 4.761602
14.26460 0.7716
At most 9 0.021965
2.820629 3.841466
0.0931 Max-eigenvalue test indicates 4 cointegrating eqns at the 0.05 level
A. ECT APPROACH APPENDIX 3.1: JOHANSEN COINTEGRATION TEST: DEFAULT