There has been an extraordinary decrease in order execution time on stock exchanges in the past two decades. A related … question is whether there has been a similar reduction in orders of magnitude for the lengths of the lead lag time between … stocks. If the answer is affirmative, and the lengths of the lead lag time have long fallen below the human reaction time …

. We use a cointegration test, which accounts for the presence of a structural break. We show that while there is a long …

yields, sentiment and other leading indicators on the main German stock index, namely the DAX30, for the time period from …

time portfolio approach to investigate the long-run anomalies, each of the methods is a subject to criticisms. In this … paper, we show that a recently introduced calendar time methodology, known as Standardized Calendar Time Approach (SCTA …), controls well for heteroscedasticity problem which occurs in calendar time methodology due to varying portfolio compositions …

Statistics of the People's Republic of China. Unit root, cointegration tests, vector error correction estimates, block exogeneity …

:Q4). Long Run Granger Causality Test, Johansen's Cointegration Test (both Bivariate & Multivariate) and Vector Error … for all the macroeconomic variables. Johansen's Cointegration results suggest presence of long run equilibrium … difference in cointegration results in pre and post crisis periods except for Inflation and Interest rate, implying that global …

Istanbul Stock Exchanges. While static cointegration test present no evidence of long term cointegration, introduction of a … cointegration tests and DCC-GARCH analysis also reveal that Bovespa and ISE reacted strongly not only to systemic-wide crisis as …