Show simple item record

dc.contributor.authorAbolghasemi, Yaser
dc.contributor.authorDimitrov, Stanko
dc.date.accessioned2021-01-29 21:43:49 (GMT)
dc.date.available2021-01-29 21:43:49 (GMT)
dc.date.issued2020-08-14
dc.identifier.urihttps://doi.org/10.1002/ijfe.2029
dc.identifier.urihttp://hdl.handle.net/10012/16771
dc.descriptionThis is the peer reviewed version of the following article: Abolghasemi, Y, Dimitrov, S. Determining the causality between U.S. presidential prediction markets and global financial markets. Int J Fin Econ. 2020; 1– 23., which has been published in final form at https://doi.org/10.1002/ijfe.2029. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions.en
dc.description.abstractPrediction markets trade securities with final prices contingent on the outcome of future events, for example, who will win the next political election. We show how the outcome of a United States presidential election, information captured by prediction markets, impacts global financial markets. We investigate the existence of a causal relationship between various prediction markets and global financial markets time series for over 27 different countries and regions using Dow Jones Global Indexes. We construct vector auto‐regressive models and use the Toda–Yamamoto causality test to deal with non‐stationary time series. Preliminary results indicate that prediction markets may be used to predict some global financial markets.en
dc.description.sponsorshipThe Natural Sciences and Engineering Research Council of Canadaen
dc.language.isoenen
dc.publisherWileyen
dc.relation.ispartofseriesInternational Journal of Finance & Economics;
dc.subjectprediction marketen
dc.subjectU.S. presidential electionen
dc.subjectglobal financial marketen
dc.subjecttime series analysisen
dc.subjectToda-Yamamoto causality testen
dc.titleDetermining the causality between U.S. presidential prediction markets and global financial marketsen
dc.typeArticleen
dcterms.bibliographicCitationAbolghasemi, Y, Dimitrov, S. Determining the causality between U.S. presidential prediction markets and global financial markets. Int J Fin Econ. 2020; 1– 23. https://doi.org/10.1002/ijfe.2029en
uws.contributor.affiliation1Faculty of Engineeringen
uws.contributor.affiliation2Management Sciencesen
uws.typeOfResourceTexten
uws.peerReviewStatusRevieweden
uws.scholarLevelFacultyen


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record


UWSpace

University of Waterloo Library
200 University Avenue West
Waterloo, Ontario, Canada N2L 3G1
519 888 4883

All items in UWSpace are protected by copyright, with all rights reserved.

DSpace software

Service outages