Investigating long-term causal linkages and volatility patterns: A comparative empirical study between the developed stock markets from USA and Netherland

The main aim of this research paper is to investigate long-term causal linkages and volatility patterns based on a comparative empirical study between the developed stock markets from USA and Netherland. The selected sample period covers a very long time interval, from February, 2000 to February 2023. The econometric framework includes a series of statistical tests such as Augmented Dickey Fuller (ADF) test, but also Granger causality test and VAR models. The empirical results are relevant and contribute to the existing literature regarding the behaviour of developed stock markets.