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macroeconomic variables. We analyse quarterly data for the above variables from 1991.1 to 2007.4. employing cointegration test … stock market index and the economic variables. The paper established that there is cointegration between macroeconomic …
Persistent link: https://www.econbiz.de/10005789384
In this study we employed the ARDL bound test in order to detect cointegration relation of oil price and oil price … fluctuation with GDP, exports and inflation in Pakistan. Our results confirmed cointegration among the variables when GDP was …
Persistent link: https://www.econbiz.de/10011107799
volatility-spillover for the BRIC countries by using cointegration and the VECM-MGARCH technique. The results reveal that the oil … where it significantly affects the BRENT prices. In terms of shock transmission and volatility spillover, the relationship …
Persistent link: https://www.econbiz.de/10008498490
of comparable VAR that fails to recognize that the system is characterized by cointegration. I use Monte Carlo simulation … knowledge of cointegration rank. Furthermore the results indicate that a cointegration modeling of credit risk should be favored …
Persistent link: https://www.econbiz.de/10005622096
of comparable VAR that fails to recognize that the system is characterized by cointegration. I use Monte Carlo simulation … knowledge of cointegration rank. Furthermore the results indicate that a cointegration modeling of credit risk should be favored …
Persistent link: https://www.econbiz.de/10005789941
The oil shock of 1973-1974 was an economic and politic important event that produced controversies in the years that followed. No event in the last decades of the 20th century was as visible as the fourfold increase of the oil price in 1973-1974. Due to different opinions and the topic itself...
Persistent link: https://www.econbiz.de/10005621927
Oil price behavior has changed dramatically in the last twenty years. These changes can be explained rather simply in terms of the delayed responses of supply and demand to prices, and in terms of changes in the rate of discovery of reserves. This analysis can be used to forecast possible future...
Persistent link: https://www.econbiz.de/10005836067
Episodes of market crashes have fascinated economists for centuries. Although many academics, practitioners and policy makers have studied questions related to collapsing asset price bubbles, there is little consensus yet about their causes and effects. This review and essay evaluates some of...
Persistent link: https://www.econbiz.de/10004976970
In this study, we have attempted to seek evidence for weak-form of market efficiency for KSE 100 Index. Index returns have been studied from 1st January, 1992 to 30th April, 2013. For further analysis, return series has been divided into these groups: 1992-2012, 1992-1994, 1995-1997, 1998-2000,...
Persistent link: https://www.econbiz.de/10011108398
Despite the efficient market hypothesis (EHM), lead-lag relationships can be observed mainly between financial derivatives and underlying asset prices, prices of large and small companies, etc. In our paper, we examined the lead- lag relationship between prices of open ended funds and an...
Persistent link: https://www.econbiz.de/10011109937