Omay, Tolga; Yuksel, Asli; Yuksel, Aydin - In: Journal of International Financial Markets, … 35 (2015) C, pp. 18-29
This study examines the generalized Fisher hypothesis as applied to common stocks by using the recently proposed second generation panel cointegration tests. Unlike their predecessors, these new tests assume the existence of cross-section dependence in the data. For the sample analyzed, we...