Summary
the 2014 International Symposium on Nonlinear Theory and its Applications
2014
Session Number:A2L-D
Session:
Number:A2L-D4
Causality Detection in Complex Time Dependent Systems Examplified in Financial Time Series
Annina Nefy, Stefan Glugez, Thomas Ottz, Peter Kauf,
pp.176-179
Publication Date:2014/9/14
Online ISSN:2188-5079
Summary:
This paper examines causal relationships between the three factors in the Fama-French model and investigates, whether the effcient-market hypothesis is a suitable assumption in describing excess stock returns. Three methods were used to detect causal dependencies, namely the crosscorrelation method, the Granger causality approach and Transfer Entropy. The excess market return was found to be the leading model factor. Adding its lagged values improved the model fit.