This paper employs Granger causality tests to identify the impacts of historical information from global financial markets on their current levels in 30-day windows. The dataset consists primarily of the daily index levels of the (1) open, (2) closed, (3) intraday high, (4) intraday low, and (5) trading volume series for the world’s 37 most influential equity market indexes, two crude oil prices, a gold price, and four major money market prices in the United States are used as control groups. Our results indicate a persistent impact of historical information from global markets on their current levels, and this impact duplicates itself in a cyclical pattern consistently over decades. Such persistence in the patterns causes some market indexes to be upgraded to global or regional market leaders. These findings can be interpreted as constituting violations of the weak-form efficient market hypothesis. The results also reveal recursive impacts of information in these markets and the existence of an information digestion effect. 1. Introduction This paper examines the causal connections from cross-country historical levels of global financial markets to their current levels. A number of prior studies have demonstrated the existence of such cross-country connections using panel data from a limited number of equity markets and examining the causality only for current levels of global stock markets. When a significant causal relation in such tests is detected, the semistrong form of the Efficient Market Hypothesis (EMH) [1] is violated. However, because the semistrong form EMH is a subset of the weak-form EMH, one can begin with the examination of the impacts of historical information. Specifically, if cross-market historical levels of global financial markets indexes can affect their current levels, the market is not even weak-form efficient so it cannot be semistrong form efficient. Therefore, the primary purpose of this paper is to identify the role of the historical levels of the major indexes and prices in global financial markets and to test the weak-form EMH. The second major purpose is to investigate how investors digest different information from various series of market indexes. Studies in this field generally use one or more of three methods: Granger causality [2], cointegration [3], and various types of autoregressive conditional heteroscedasticity (ARCH) [4]. Researchers in this field employ various terms for the phenomenon of global financial markets being connected endogenously, including “contagion” [5], “integration” [6], “comovement” [7],
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