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Detecting bubbles in the US stock market : a new evidence from the bootstrap cointegration test in ESTAR error correction model

Cagli, Efe Çaglar; Mandacı, Pınar Evrım - In: The empirical economics letters : a monthly … 16 (2017) 9, pp. 941-950

Persistent link: https://www.econbiz.de/10011907050

Stock market linkage, financial contagion and assets price movements : evidence from Nigerian stock exchange

Abdullahi, Shafiu Ibrahim - In: Journal of advanced studies in finance : JASF 8 (2017) 2/16, pp. 146-159

Persistent link: https://www.econbiz.de/10011883269

Estimating the long-run determinant of the efficiency of the stock market in India

Singh, Amit Kumar; Nainwal, Neha - In: Asia-Pacific journal of management research and … 13 (2017) 1/2, pp. 70-80

Persistent link: https://www.econbiz.de/10011884894

Testing the linkages of Arab stock markets : a multivariate GARCH approach

Shahateet, Mohammed Issa; Shrydeh, Najib; Mohammad, Suleiman - In: Investment management and financial innovations 16 (2019) 4, pp. 192-204

Persistent link: https://www.econbiz.de/10012177670

TFP news, stock market booms and the business cycle : revisiting the evidence with VEC models

Di Casola, Paola; Sichlimiris, Spyridon - 2020

Beaudry and Portier (2006) provide support for the "news view" of the business cycle, using a vector error correction model. We show that this result hinges on a cointegrating relationship between TFP and stock prices that is not stationary, thus making the estimates not reliable. If we alter...

Persistent link: https://www.econbiz.de/10012181050

The present value model of U.S. stock prices revisited : long-run evidence with structural breaks, 1871-2012

Esteve García, Vicente; Navarro Ibáñez, Manuel; … - 2017

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 …

Persistent link: https://www.econbiz.de/10011745419

Examining the impact of coronavirus on stock markets : investigating the cointegration and transmission of shocks between China and the world's largest stock markets

Ul Haq, Naveed; Shirwani, Abid H. K. - In: International journal of business and emerging markets … 13 (2021) 2, pp. 206-232

Persistent link: https://www.econbiz.de/10012505548

Macroeconomic determinants of market performance : a comparative analysis of the stock markets of Mauritius and Malaysia

Kasseeah, Harshana; Ramkalawon, Akshay Yashveer - In: International journal of comparative management 3 (2020) 4, pp. 273-294

Persistent link: https://www.econbiz.de/10012507519

Relationship of stock price and monetary variables of Asian small open emerging economy : evidence from Thailand

Boonyanam, Nararuk - In: International journal of financial research 5 (2014) 1, pp. 52-63

Persistent link: https://www.econbiz.de/10010441834

Asymmetric wealth effect between US stock markets and US housing market and European stock markets : evidences from TAR and MTAR

Coelho, Pedro Pacheco; Gomes, Luís; Ramos, Patrícia - In: Risks : open access journal 11 (2023) 7, pp. 1-14

Evidence of the asymmetric wealth effect has important implications for investors and continues to merit research attention, not least because much of the evidence based on linear models has been refuted. Indeed, stock and house prices are influenced by economic activity and react non-linearly...

Persistent link: https://www.econbiz.de/10014340266