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Cointegration of stock markets between New Zealand, Australia and the G7 economies : searching for co-movement under structural change
Narayan, Paresh Kumar; Smyth, Russell - In: Australian economic papers 44 (2005) 3, pp. 231-247
Persistent link: https://www.econbiz.de/10003092324
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Mean reversion versus random walk in G7 stock prices evidence from multiple trend break unit root tests
Narayan, Paresh Kumar; Smyth, Russell - In: Journal of international financial markets, … 17 (2007) 2, pp. 152-166
Persistent link: https://www.econbiz.de/10003441591
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Mean Reversion Versus Random Walk in G7 Stock Prices Evidence from Multiple Trend Break Unit Root Tests
Narayan, Paresh Kumar - 2012
This paper provides evidence on the random walk hypothesis in G7 stock price indices using unit root tests which allow for one and two structural breaks in the trend. Of the seven countries we find, at best, evidence of mean reversion in the stock price index of Japan. Thus, overall, our results...
Persistent link: https://www.econbiz.de/10013105330
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Modelling the linkages between the Australian and G7 stock markets : common stochastic trends and regime shifts
Narayan, Paresh Kumar; Smyth, Russell - In: Applied financial economics 14 (2004) 14, pp. 991-1004
Persistent link: https://www.econbiz.de/10002377741
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Energy consumption and real GDP in G7 countries : new evidence from panel cointegration with structural breaks
Narayan, Paresh Kumar; Smyth, Russell - In: Energy economics 30 (2008) 5, pp. 2331-2341
Persistent link: https://www.econbiz.de/10003773731
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Testing for capital mobility : new evidence from a panel of G7 countries
Narayan, Paresh Kumar; Narayan, Seema - In: Research in international business and finance 24 (2010) 1, pp. 15-23
Persistent link: https://www.econbiz.de/10003917402
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Energy Consumption and Real GDP in G7 Countries : New Evidence from Panel Cointegration with Structural Breaks
Narayan, Paresh Kumar - 2012
countries using panel unit root, panel cointegration, Granger causality and long-run structural estimation. We find that capital …
Persistent link: https://www.econbiz.de/10013105327
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Testing for Capital Mobility : New Evidence from a Panel of G7 Countries
Narayan, Paresh Kumar - 2012
[Gregory, A.W., Hansen, B.E., 1996. Residual-based tests for cointegration in models with regime shifts, J. Econ. 70, 99 …-126] residual-based structural break test for cointegration for each of the G7 countries, we did not find any evidence of a … evidence of panel cointegration. Taken together, our findings suggest that capital in these G7 countries is highly mobile since …
Persistent link: https://www.econbiz.de/10013105388
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Potential gains from international portfolio diversification? : Stock market linkages between the Japanese and South Asian markets
Narayan, Paresh Kumar; Smyth, Russell; Nandha, Mohan - In: South Asia in the era of globalization : trade, …, (pp. 59-70). 2005
Persistent link: https://www.econbiz.de/10003156287
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Interdependence and Dynamic Linkages between the Emerging Stock Markets of South Asia
Narayan, Paresh Kumar - 2012
multivariate cointegration framework. We also examine the impulse response functions. Our main finding is that in the long run …
Persistent link: https://www.econbiz.de/10013105534