Gopinathan, R.; Durai, S. Raja Sethu - In: Financial innovation : FIN 5 (2019) 29, pp. 1-17
variables have a systematic effect on stock market returns. This study uses monthly data from India for the period from April … findings suggest that standard cointegration tests fail to identify any relationship among these variables. However, a … expectations algorithm of (J Am Stat Assoc 80:580–598, 1985) identifies strong evidence of cointegration and indicates nonlinearity …