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This contribution applies the cointegrated vector autoregressive (CVAR) model to analyze the long-run behavior and short-run dynamics of stock markets across five developed and three emerging economies. The main objective is to check whether liquidity conditions play an important role in stock...
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-Pacific markets become more sensitive to the Japan's extreme negative shocks when the Japanese market switches into turbulent periods … overall the least affected by the extreme negative shocks in the United States and Japan, while Australia is the most … sensitive to the United States and Singapore is the most vulnerable to Japan …
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