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The efficiency analysis of the European CO2 futures market
Tang, Bao-Jun; Shen, Cheng; Gao, Chao - Center for Energy and Environmental Policy Research … - 2012
EUA futures market and spot market. For this purpose, the paper provides the unit root test and the cointegration test for …
Persistent link: https://www.econbiz.de/10010897960
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An Empirical Verification of Cointegration and Causality in Indian Stock Markets
Madhusoodanan, P.R.; Kumar, Hareesh V. - In: South Asia Economic Journal 9 (2008) 1, pp. 159-172
The study examines the empirical validity of cointegration and causality between the two dominating Indian stock …
Persistent link: https://www.econbiz.de/10011135993
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Modeling Transactions Costs Band and Nonlinear Price Dynamics in Forest Commodity Markets
He, Dequan - 2005
This study first shows that a transactions costs band may exist in commodity spot and futures markets and spatially separated markets as a result of the arbitrage process. Then, by using a bivariate vector error correction model (VECM), this thesis shows that the null hypothesis of linearity can...
Persistent link: https://www.econbiz.de/10009431303
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Does long-term disequilibrium in stock price predict future returns?
Hur, Jungshik; Singh, Vivek - In: Review of Quantitative Finance and Accounting 41 (2013) 4, pp. 753-767
We propose a trading strategy based on error correction term (ECT), the residuals from the cointegration relation ….57 % when the above trading strategy is applied to stocks with insignificant cointegration with the market portfolio. This …
Persistent link: https://www.econbiz.de/10010989636
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The housing bubble in real-time: the end of innocence
Peláez, Rolando - In: Journal of Economics and Finance 36 (2012) 1, pp. 211-225
Persistent link: https://www.econbiz.de/10010998983
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Testing Efficiency of Guar seed Futures: Empirical Evidence from India
Soni, Tarun - In: Romanian Economic Journal 16 (2013) 47, pp. 211-228
maturities using cointegration analysis, and short-term market efficiency, using an error correction model and GARCH-M-ECM. The …
Persistent link: https://www.econbiz.de/10010934760
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The Effect of Regulation Fair Disclosure on Market Integration
Chelikani, Surya; D'Souza, Frank P. - In: The International Journal of Business and Finance Research 8 (2014) 4, pp. 43-62
cointegration analysis, this study measures the changes in the information share, impulse response functions, and tests whether …
Persistent link: https://www.econbiz.de/10010960343
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Spot and futures commodity markets and the unbiasedness hypothesis - evidence from a novel panel unit root test
Czudaj, Robert; Beckmann, Joscha - In: Economics Bulletin 32 (2012) 2, pp. 1695-1707
A controversial view of the evolution of commodity markets is that the engagement of speculative capital arguably introduces volatility and price movements unrelated to changes in traditional demand and supply factors. Thus, the efficiency of spot and futures markets is an important topic in...
Persistent link: https://www.econbiz.de/10011278691
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On the cointegration of international stock indices
Fu, Richard; Pagani, Marco - In: Journal of Economics and Finance 36 (2012) 2, pp. 463-480
Persistent link: https://www.econbiz.de/10010539431
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Efficiency of the Foreign Exchange Markets of South Asian Countries
Chaudhry, Sana Arif; Javid, Attiya Yasmin - Pakistan Institute of Development Economics - 2012
tested using co-integration and Granger causality tests. Variance Decomposition Analysis is also employed to study the trends … against the semi-strong version of the Efficient Market hypothesis. The results of cointegration after introducing the …
Persistent link: https://www.econbiz.de/10010552992