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Cointegration in return series and its effect on short‐term prediction

Tuluca, Sorin A.; Seiler, Michael J.; Myer, N; Webb, … - In: Managerial Finance 24 (1998) 8, pp. 48-63

Refers to previous research on the relationship between returns for different asset classes and on cointegration; and … investigate cointegration between them. Shows that the index of unsecuritized real estate is positively related to treasury bills …

Persistent link: https://www.econbiz.de/10014940345

Foreign currency exposure and the hedging possibilities for pension funds

Chaudhry, Mukesh K.; Christie‐David, Rohan A.; … - In: Managerial Finance 24 (1998) 12, pp. 1-15

research on the links between various types of assets/currencies. Uses cointegration methodologies on 1978‐1996 futures data …

Persistent link: https://www.econbiz.de/10014940352

An empirical study on the dynamic relationship between oil prices and Indian stock market

Nath Sahu, Tarak; Bandopadhyay, Kalpataru; Mondal, Debasish - In: Managerial Finance 40 (2014) 2, pp. 200-215

study, Johansen's cointegration test, vector error correction model (VECM), Granger causality test, impulse response … between them. Findings – The cointegration result indicates the existence of long-term relationship. Further, the error …

Persistent link: https://www.econbiz.de/10014941490

Real estate and stock returns: a multivariate VAREC model

Ullah, Aman; Zhou, Zhong‐guo - In: Property Management 21 (2003) 1, pp. 8-24

problem and cointegration, a multivariate VAREC model is further developed to examine dynamic relationships among the four …

Persistent link: https://www.econbiz.de/10014971565

The impact of promotional mix on profit in the B2B sector

Siddhanta, Somroop; Banerjee, Neelotpaul - In: Marketing Intelligence & Planning 32 (2014) 5, pp. 600-615

and then to stationarity testing and subsequently tested for the presence of cointegration after which the vector … cointegration but presence of unidirectional Granger causality running from GRPROFIT to PROMOMIX and highlight that current …

Persistent link: https://www.econbiz.de/10014947184

Is the Indian stock market cointegrated with other Asian markets?

Rajwani, Shegorika; Mukherjee, Jaydeep - In: Management Research Review 36 (2013) 9, pp. 899-918

Hansen cointegration technique that allows for endogenous determined structural break in the relationship have been applied …

Persistent link: https://www.econbiz.de/10014952582

Exports and outward FDI: are they complements or substitutes? Evidence from Asia

Bhasin, Niti; Paul, Justin - In: Multinational Business Review 24 (2016) 1, pp. 62-78

-2012. Design/methodology/approach The authors use panel vector auto regression, panel cointegration and causality tests in this …

Persistent link: https://www.econbiz.de/10014932003

Relationship between developed, European and South Asian stock markets: a multivariate analysis

Shahzad, Syed Jawad Hussain; Kanwal, Memoona; Ahmed, Tanveer - In: South Asian Journal of Global Business Research 5 (2016) 3, pp. 385-402

Purpose The assessment of interdependence between stock markets is an important aspect of international portfolio management. The purpose of this paper is to examine and highlight the diversification potential of South Asian stock markets vis-à-vis developed and European stock markets....

Persistent link: https://www.econbiz.de/10015005818

Unravelling the nexus between exchange rate undervaluation and global value chain participation

Abdou, Mariz; Elbadawi, Ibrahim; Plane, Patrick; Zaki, … - 2024

Persistent link: https://www.econbiz.de/10015044897

The relationship between bitcoin and Nasdaq, US dollar index and commodities

Ahmadova, Aysu; Guliyev, Taghi; Aliyev, Khatai - In: International Journal of Energy Economics and Policy : IJEEP 14 (2024) 1, pp. 281-289

Persistent link: https://www.econbiz.de/10014484580