How Regulation and Global Standing Shape Stock Market Co‐Movements: A G20 Panel Study
International Review of Finance, Volume 26, Issue 2, June 2026.ABSTRACT Motivated by post‐2020 fragmentation and underexplored institutional‐geopolitical drivers, we examine how regulatory quality (RQ) and global power (GP) shape stock‐market co‐movements across 17 G20 economies. We estimate time‐varying correlations via ADCC‐GARCH, construct a scaled correlation index, and apply panel ARDL. We find that higher RQ
Sama Haddad +4 more
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Financial Integration for India Stock Market, a Fractional Cointegration Approach [PDF]
The Indian stock market is one of the earliest in Asia being in operation since 1875, but remained largely outside the global integration process until the late 1980s. A number of developing countries in concert with the International Finance Corporation
Wing-Keung Wong, Aman Agarwal, Jun Du
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On the robustness of cointegration tests when series are fractionally integrated [PDF]
, 2000 This paper shows that when series are fractionally integrated, but unit root tests wrongly indicate that they are I(1), Johansen likelihood ratio (LR) tests tend to find too much spurious cointegration, while the Engle-Granger test presents a more robust
Gonzalo, Jesús, Lee, Tae-Hwy
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Politická ekonomieThis study examines the long-run relationship between the unemployment rate and labour force participation rate in South Korea from June 1999 to January 2023. The study utilizes the traditional Johansen cointegration test and augments it with Fourier terms to control for an unknown number of breaks in the cointegration system.
Veli Yilanci, Onder Ozgur
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Linkages between international securitized real estate markets: Further evidence from time-varying and stochastic cointegration [PDF]
This paper analyzes long-run co-movements between international real estate stock markets and between regions based on bivariate and multivariate tests for cointegration. While the topic has been analyzed in previous studies such as Gallo and Zhang (2009)
Schindler, Felix, Voronkova, Svitlana
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Cointegration Analysis of Commodity Prices: Much Ado about the Wrong Thing?
This study highlights some problems with using the Johansen cointegration statistics on data containing a negative moving average (NMA) in the error term of the data generating process.
Mallory, Mindy L., Lence, Sergio H.
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Russian equity market linkages before and after the 1998 crisis: Evidence from time-varying and stochastic cointegration tests [PDF]
This paper examines the relationships between the Russian and other Central European (CE) and developed countries’ equity markets over the 1995-2004 period.
M. Lucey, Brian, Voronkova, Svitlana
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Inappropriate Detrending and Spurious Cointegration [PDF]
The empirical literature is abundant with detrended cointegration, where cointegration relationships are tested and estimated with deterministic trend terms. Cointegration is, however, critically dependent on whether time series is detrended or not.
Heejoon Kang
core
An Empirical Note on Testing the Cointegration Relationship Between the Real Estate and Stock Markets in Taiwan [PDF]
This note studies the long-run relationship between real estate and stock markets in the Taiwan context over the 1986Q3 to 2006Q4 period, using standard cointegration test of Johansen and Juselius (1990) and that of Engle-Granger (1987) as well as the ...
Yu-Chen Wei +2 more
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LONG-TERM EQUILIBRIUM RELATIONSHIPS BETWEEN THE STOCK AND CRYPTOCURRENCIES MARKETS
Економіка та суспільствоThis study investigates the long-term equilibrium relationships between the stock market, represented by the Dow Jones Industrial Average (DJIA), and a comprehensive range of 401 cryptocurrencies traded on Binance. Employing Johansen cointegration tests
Кирило Троян
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