Su, Chi-Wei; Chen, Yahn-Shir; Chang, Hsu-Ling - In: Economics Bulletin 28 (2007) 2, pp. 0-0
In this study, we use the newly developed momentum threshold unit root and cointegration tests advanced by Enders and Granger (1998), and Enders and Siklos (2001) to investigate if there is any asymmetric adjustment in long-run prices and dividends in Taiwan¡¦s stock market during June 1991 to...