interpretation and includes the application of the following econometric tools: Panel unit root test, Fisher -Johansen cointegration …

Cointegration has frequently been used in the financial econometrics literature to assess the degree of interdependence … whether these indices are cointegrated. We show that while heteroscedasticity alone is able to mislead cointegration tests, it … features. We conclude that cointegration is not a suitable method to analyze stock market interdependence …

integration and co-integration technique. Particularly, fractional integration is applied to examine stochastic properties of … individual assets and fractional cointegration to analyse bivariate connectedness. Our findings unveil the absence of mean … instead of prices. Like, conditional volatility-based estimation uncovers evidence of mean reversion in univariate analysis as …