BRIIC BETWEEN PIIGS COUNTRIES BRAZIL: IBOVESPA WITH PORTUGAL: PSIG

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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