:01–2020:08 were employed. The study found evidence of volatility persistence, asymmetry, mean reversion and weak evidence of a risk …

regression models, 2010) as well as the cointegration tests developed in Arai and Kurozumi (Testing for the null hypothesis of … cointegration with a structural break, 2007) and Kejriwal (Cointegration with structural breaks: an application to the Feldstein …- Horioka Puzzle, 2008). The results obtained are consistent with the existence of linear cointegration between the log stock …

cointegration to estimate the long-run relationship between G7 stock prices and macroeconomic variables over the last 40 years. We …

these variables. This means that the conventional cointegration tests may not be robust. Using a more appropriate periodic … cointegration test, our results nevertheless fail to support the present value model, thus reinforcing the case against the …

a cointegration relation exists between the principals prices stock indexes but allowing that the movements towards the … find that the specification is better in nonlinear than linear models and the cointegration relation only appears in four …

to cointegration …

The Johansen cointegration testing and estimation procedure is applied to examine the relationships among the stock … hedged returns are also investigated. Cointegration findings, and by inference long run diversification opportunities, are …

Granger Causality test is employed to ascertain the direction of causality. Findings - The F-bounds test reveals cointegration …