This paper investigates the existence of cointegration and causality between the stock market price indices of Thailand … obtained from these two residual-based cointegration tests, potential long-run benefits exist from diversifying the investment …

are included in the analysis. From the cointegration analysis and VAR analysis both long-term links and short-term links …

fractional integration and fractional cointegration techniques. These methods are more general and have higher power than the … both the S&P 500 Index and the Euro Stoxx 50 Index. Also, fractional cointegration appears to hold at least for the … diverging growth and monetary policy. Establishing whether the degree of cointegration has changed over time is important since …

fractional integration and fractional cointegration techniques. These methods are more general and have higher power than the … both the S&P 500 Index and the Euro Stoxx 50 Index. Also, fractional cointegration appears to hold at least for the … diverging growth and monetary policy. Establishing whether the degree of cointegration has changed over time is important since …

and economic growth. We make use of a Johansen-based panel cointegration methodology allowing for cross-country dependence …

memory feature of cointegration residual series, which can in turn exert bias on the resulting inferences. To overcome its … limitations, we employ a fractionally integrated VECM (FIVECM) in this paper to investigate the long-term cointegration relations …