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Regime switching cointegration tests for the Asian stock index futures: evidence for MSCI Taiwan, Nikkei 225, Hong Kong Hang-Seng, and SGX Straits Times indices
Chiang, Min-Hsien; Wang, Jo-Yu - In: Applied Economics 40 (2008) 3, pp. 285-293
This study applies a cointegration system that considers regime shifts in order to study the long-run relationship between the stock index and stock index futures markets. The MSCI Taiwan, Nikkei 225, Hong Kong Hang-Seng, and Singapore Exchange (SGX) Straits Times indices are examined. The...
Persistent link: https://www.econbiz.de/10005282684
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Regime switching cointegration tests for the Asian stock index futures : evidence for MSCI Taiwan, Nikkei 225, Hong Kong Hang-Seng, and SGX straits times indices
Chiang, Min-Hsien; Wang, Jo-Yu - In: Applied economics 40 (2008) 1/3, pp. 285-293
Persistent link: https://www.econbiz.de/10003721960
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Regime switching cointegration tests for the Asian stock index futures: evidence for MSCI Taiwan, Nikkei 225, Hong Kong Hang-Seng, and SGX Straits Times indices
Chiang, Min-Hsien; Wang, Jo-Yu - In: Applied economics 40 (2008) 1-3, pp. 285-294
Persistent link: https://www.econbiz.de/10007985617
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Regime switching cointegration tests for the Asian stock index futures: evidence for MSCI Taiwan, Nikkei 225, Hong Kong Hang-Seng, and SGX Straits Times indices
Chiang, Min-Hsien; Wang, Jo-Yu - In: Applied economics 40 (2008) 1-3, pp. 285
Persistent link: https://www.econbiz.de/10007985618
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Regime switching cointegration tests for the Asian stock index futures: evidence for MSCI Taiwan, Nikkei 225, Hong Kong Hang-Seng, and SGX Straits Times indices
Chiang, Min-Hsien; Wang, Jo-Yu - In: Applied economics 40 (2008) 3, pp. 285-294
Persistent link: https://www.econbiz.de/10007900954
Cover Image
Regime switching cointegration tests for the Asian stock index futures: evidence for MSCI Taiwan, Nikkei 225, Hong Kong Hang-Seng, and SGX Straits Times indices
Chiang, Min-Hsien; Wang, Jo-Yu - In: Applied economics 40 (2008) 3, pp. 285
Persistent link: https://www.econbiz.de/10007900955
Cover Image
Regime switching cointegration tests for the Asian stock index futures: evidence for MSCI Taiwan, Nikkei 225, Hong Kong Hang-Seng, and SGX Straits Times indices
Chiang, Min-Hsien; Wang, Jo-Yu - In: Applied economics 40 (2008) 3, pp. 285-294
Persistent link: https://www.econbiz.de/10008931978