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A Note on Cointegration of International Stock Market Indices
Dimpfl, Thomas - 2016
Cointegration has frequently been used in the financial econometrics literature to assess the degree of interdependence … whether these indices are cointegrated. We show that while heteroscedasticity alone is able to mislead cointegration tests, it … features. We conclude that cointegration is not a suitable method to analyze stock market interdependence …
Persistent link: https://www.econbiz.de/10013008752
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The linkage between oil price, stock market indices, and exchange rate before, during, and after COVID-19 : empirical insights of Pakistan
Tabash, Mosab I.; Babar, Zaheeruddin; Sheikh, Umaid A.; … - In: Cogent economics & finance 10 (2022) 1, pp. 1-22
This study analyzes the trilateral relationship between macroeconomic variables of oil prices, stock market index, and exchange rate to demonstrate their behavior and inter-relationship in the economic setup of Pakistan. The investigated period includes daily time series data ranging from 4...
Persistent link: https://www.econbiz.de/10014500264
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Relationship between major developed equity markets and major : frontier equity markets of world
Baig, Muhammad Mansoor; Bilal, Muhammad; Aslam, Waheed - In: Acta Universitatis Danubius / Oeconomica 12 (2016) 1, pp. 182-196
Persistent link: https://www.econbiz.de/10011527086
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Integration und Volatilität bei Emerging Markets
Herrmann, Frank - 2005 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003109018
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A long-run relationship between Eastern European stock markets? : cointegration and the 1997-98 crisis in emerging markets
Jochum, Christian; Kirchgässner, Gebhard; Platek, Mariusz - In: Weltwirtschaftliches Archiv : Zeitschrift des Instituts … 135 (1999) 3, pp. 454-479
Persistent link: https://www.econbiz.de/10001408500
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The impact of institutional quality on stock market performance in emerging economy : evidence from the ARDL bound approach
Lin, Woon Leong; Inam, Aneeq; Hook, Law Siong - In: Recent developments in Asian economics : international …, (pp. 187-206). 2021
Persistent link: https://www.econbiz.de/10012804467
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Globalization and emerging stock market integration : evidence from a FIVECEM-MGARCH model
Chen, Heng; Lobo, Bento J.; Wong, Wing Keung - In: Global review of business and economic research 11 (2015) 2, pp. 153-171
Persistent link: https://www.econbiz.de/10011675506
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Integration und Volatilität bei Emerging Markets
Herrmann, Frank - 2005 - Gabler Edition Wissenschaft
Charakteristisch für Emerging Markets sind hohe Aktienrenditen und eine geringe Korrelation mit den Aktienrenditen der entwickelten Märkte, so dass durch Diversifikation der Investmentanlagen eine Verringerung des Portfoliorisikos erreicht werden kann. Die zunehmende Integration...
Persistent link: https://www.econbiz.de/10013517438
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The impact of crude oil prices on financial market indicators : copula approach
Kayalar, Derya Ezgi; Küçüközmen, C. Coşkun; … - In: Energy economics 61 (2017), pp. 162-173
Persistent link: https://www.econbiz.de/10011737705
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Do fundamentals drive relative valuation? : evidence from global stock market indices
Agudze, Komla; Ibhagui, Oyakhilome - In: Journal of financial management, markets and institutions 8 (2020) 2, pp. 2050002-1-2050002-42
Persistent link: https://www.econbiz.de/10012492314