Non-synchronous time series is the main reason of US stock exchanges leadership in classic econometric models

Objective: to perform a summarizing comparative analysis of the two works impugning the US dominance in econometric models with non-synchronous time series.Methods: comparative analysis of the research hypothesis, method of data preparation and research results.Results: many researches emphasize the US stock exchanges as the most influential in econometric models. At the same time, the results may be misleading during the application of time series from the markets of the different time zones. Classical econometric models during the application of the non-synchronous data are unable to take the problem of non-synchronous trade into account. Such a conclusion appeared in two research studies. Whether independently or not, B. Resnik and G. Shoesmith reproduced the research by R.A. Grigoryev, which demonstrated that the classical econometric models with autoregressive structure of variables strongly confirm the presence of causal links from the US stock exchange to any other stock exchange in the presence of non-synchronous data. While in reality these causal links can be explained only by the sequence of appearance of the stock exchange trading sessions during the universal day, or the fact that the US trading session’s time zones are most close to the end of the universal day.Scientific novelty: the works by R. Grigoryev and B. Resnik and G. Shoesmith have significant coincidences in the hypothesis, method of data preparation and the research results. The researches confirm the presence of regularity between the use of non-synchronous time series and the existence of effects from the lagged exogenous variables in classic econometric models. Practical significance: repeated confirmation of the pattern underlines the necessity to correctly account the non-synchronous time series within the equation specification or by applying a shift in the time series.

экономика и управление народным хозяйством, лидерство США, несинхронная торговля, несинхронные временные ряды, связь ведущий - ведомый, временная зона, нулевой меридиан

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