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general stock market returns using international data for the U.S., U.K., and Australia. In contrast to previous research …
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there is a negative significant volatility spillover from four of the five selected stock markets (Australia, China, Japan …
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and demand shocks have a cointegration relationship with sectoral stock market returns. Third, the study explored the …
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spectrum of econometric tools (cointegration, VAR model, Granger causality, variance decomposition) and comparison of changes …
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