DRAKOS, KONSTANTINOS; KUTAN, ALI M. - In: Eastern European Economics 43 (2005) 4, pp. 5-26
This paper investigates which theory--crisis- or noncrisis-contingent theory-- may better explain the comovements observed between Turkish and Greek financial market returns. Using cointegration and vector error-correction models, we first establish interdependence and a long-run causal...