Interdependencies among the Nordic and U.S. Stock Markets
运用格兰杰因果检验和向量自回归模型，研究了四个北欧国家与美国股市指数间的相互依赖关系，发现美国市场仅影响丹麦市场，而瑞典市场领先于挪威和芬兰市场。
Using the concept of Granger causality, interdependencies among the stock market indices for four Nordic countries and the United States are examined. The vector autoregressive model results indicate that the U.S. market affected only the Danish, but not the Norwegian, Finnish, or Swedish markets. The Swedish market was causally prior to both the Norwegian and Finnish markets. The Norwegian, Danish, and Finnish markets did not "Granger cause" any other market. The results indicate that the Nordic stock markets are less than fully integrated. Copyright 1990 by The editors of the Scandinavian Journal of Economics.