Granger Causality Tests of Stock Returns: The US and Japanese Stock Markets

Abstract

This article uses Granger‐causality tests to study the dynamic relationship between stock returns and dividend yields in the American and Japanese equity markets. The “signaling” hypothesis of dividends along with the efficient market hypothesis is considered to : a) explain the strong relationship between stock returns and the determinants of stock prices, b) show that our results cannot be considered as evidence against market efficiency.

Citation

Mavrides, M. (2000), "Granger Causality Tests of Stock Returns: The US and Japanese Stock Markets", Managerial Finance, Vol. 26 No. 12, pp. 13-25. https://doi.org/10.1108/03074350010767016