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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 …
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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...
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