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BRIIC BETWEEN BRIIC COUNTRIES BRAZIL: IBOVESPA WITH RUSSIA: RTSI

lxxxii Appendix 2: causality test: Engle and Granger causality

1. BRIIC BETWEEN BRIIC COUNTRIES BRAZIL: IBOVESPA WITH RUSSIA: RTSI

Pairwise Granger Causality Tests Date: 052213 Time: 17:05 Sample: 2002M01 2012M12 Lags: 2 Null Hypothesis: Obs F-Statistic Prob. RTSI does not Granger Cause IBOVESPA 130 0.12641 0.8814 IBOVESPA does not Granger Cause RTSI 2.92378 0.0574 BRAZIL: IBOVESPA WITH INDIA: CNXNIFTY Pairwise Granger Causality Tests Date: 052213 Time: 17:06 Sample: 2002M01 2012M12 Lags: 2 Null Hypothesis: Obs F-Statistic Prob. CNXNIFTY does not Granger Cause IBOVESPA 130 1.00954 0.3673 IBOVESPA does not Granger Cause CNXNIFTY 3.14356 0.0466 BRAZIL: IBOVESPA WITH INDONESIA: JKSE Pairwise Granger Causality Tests Date: 052213 Time: 17:06 Sample: 2002M01 2012M12 Lags: 2 Null Hypothesis: Obs F-Statistic Prob. JKSE does not Granger Cause IBOVESPA 130 0.27206 0.7623 IBOVESPA does not Granger Cause JKSE 4.05390 0.0197 lxxxiii BRAZIL: IBOVESPA WITH CHINA: SSE Pairwise Granger Causality Tests Date: 052213 Time: 17:07 Sample: 2002M01 2012M12 Lags: 2 Null Hypothesis: Obs F-Statistic Prob. SSE does not Granger Cause IBOVESPA 130 0.12179 0.8854 IBOVESPA does not Granger Cause SSE 0.47046 0.6258 RUSSIA: RTSI WITH INDIA: CNXNIFTY Pairwise Granger Causality Tests Date: 052213 Time: 17:08 Sample: 2002M01 2012M12 Lags: 2 Null Hypothesis: Obs F-Statistic Prob. CNXNIFTY does not Granger Cause RTSI 130 2.02354 0.1365 RTSI does not Granger Cause CNXNIFTY 0.52573 0.5924 RUSSIA: RTSI WITH INDONESIA: JKSE Pairwise Granger Causality Tests Date: 052213 Time: 17:08 Sample: 2002M01 2012M12 Lags: 2 Null Hypothesis: Obs F-Statistic Prob. JKSE does not Granger Cause RTSI 130 0.71423 0.4916 RTSI does not Granger Cause JKSE 2.49526 0.0866 lxxxiv RUSSIA: RTSI WITH CHINA: SSE Pairwise Granger Causality Tests Date: 052213 Time: 17:08 Sample: 2002M01 2012M12 Lags: 2 Null Hypothesis: Obs F-Statistic Prob. SSE does not Granger Cause RTSI 130 0.24078 0.7864 RTSI does not Granger Cause SSE 1.16567 0.3151 INDIA: CNXNIFTY WITH INDONESIA: JKSE Pairwise Granger Causality Tests Date: 052213 Time: 17:09 Sample: 2002M01 2012M12 Lags: 2 Null Hypothesis: Obs F-Statistic Prob. JKSE does not Granger Cause CNXNIFTY 130 0.30899 0.7347 CNXNIFTY does not Granger Cause JKSE 0.90695 0.4064 INDIA: CNXNIFTY WITH CHINA: SSE Pairwise Granger Causality Tests Date: 052213 Time: 17:10 Sample: 2002M01 2012M12 Lags: 2 Null Hypothesis: Obs F-Statistic Prob. SSE does not Granger Cause CNXNIFTY 130 0.18030 0.8352 CNXNIFTY does not Granger Cause SSE 0.67824 0.5094 lxxxv INDONESIA: JKSE WITH CHINA: SSE Pairwise Granger Causality Tests Date: 052213 Time: 17:10 Sample: 2002M01 2012M12 Lags: 2 Null Hypothesis: Obs F-Statistic Prob. SSE does not Granger Cause JKSE 130 0.32155 0.7256 JKSE does not Granger Cause SSE 0.65968 0.5188

2. PIIGS BETWEEN PIIGS COUNTRIES PORTUGAL: PSIG WITH ITALY: FTSEMIB

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