Analisis Kointegrasi Bursa Efek Indonesia, Malaysia dan Singapura: Pendekatan Pair-Case dan Multivariate [PDF]
Jurnal Manajemen Dan Kewirausahaan, 2020 This study aims to examine the stock market cointegration between Indonesia Stock Exchange (IDX), Malaysian Stock Exchange (Bursa Malaysia) and Singapore Stock Exchange (SGX). The weekly stock indexes covering January 2013 to December 2018 are analyzed
Amsal Irmalis, Fajri Hadi
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Testing for Cointegration Using the Johansen Methodology when Variables are Near-Integrated [PDF]
International Finance Discussion Papers, 2007 We investigate the properties of Johansen's (1988, 1991) maximum eigenvalue and trace tests for cointegration under the empirically relevant situation of near-integrated variables. Using Monte Carlo techniques, we show that in a system with near-integrated variables, the probability of reaching an erroneous conclusion regarding the cointegrating rank ...
Erik Hjalmarsson, Par Osterholm
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Investigating Crowding-Out Effect Of Government Expenditures: Evidence From Turkey
İzmir İktisat Dergisi, 2021 The purpose of this article is to investigate the effect of government consumption and investment expenditures on private sector investment in the Turkish economy.
Felor Ebghaeı
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Environmental Kuznets curve (EKC): Empirical relationship between economic growth, energy consumption, and CO2 emissions: Evidence from 3 developed countries [PDF]
Panoeconomicus, 2021 In this study, the environmental Kuznets curve (EKC) hypothesis is examined for 3 developed countries, which are Denmark, the United Kingdom, and Spain, for the period between 1960 and 2014.
Beşe Emrah, Kalayci Salih
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Is There Any Sectoral Cointegration in Indonesia Equity Market?
International Research Journal of Business Studies, 2018 This research analyzes short and medium-run cointegration relationship among 9 sectoral indices in Indonesia equity market (JCI), using 2012-2016 weekly closing prices as the data.
Aileen Clarissa Surya, Gabriella Natasha
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Pitfalls in testing for long run relationships [PDF]
, 1998 This paper analyzes the robustness of the two most commonly used cointegration tests: the single equation based test of Engle and Granger (EG) and the system based test of Johansen.
Gonzalo, Jesús, Lee, Tae-Hwy
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Wieś i Rolnictwo, 2023 The purpose of the study was to analyse the determinants of South African citrus exports post era of trade liberalisations using secondary data from 1996 to 2018.
Mushoni Bulagi +2 more
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On the robustness of cointegration tests when series are fractionally integrated [PDF]
, 1996 This paper shows, analytically and numerically, the effects of a misspecification in the degree of integration on testing for cointegration. Johansen LR tests tend to find too much spurious cointegration while the Engle-Granger test shows a more robust ...
Gonzalo, Jesús, Lee, Tae-Hwy
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A Comparison of Johansen's, Bierens’ and the Subspace Algorithm Method for Cointegration Analysis* [PDF]
Oxford Bulletin of Economics and Statistics, 2004 AbstractThe methods listed in the title are compared by means of a simulation study and a real world application. The aspects compared via simulations are the performance of the tests for the cointegrating rank and thequalityof the estimated cointegrating space.
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The impact of macroeconomic factors on the capital market of the Republic of Serbia [PDF]
Ekonomija: teorija i praksa, 2023 In the study, the impact of five macroeconomic factors on the capital market of the Republic of Serbia was explored. The focus was on factors that have been identified as significant for the development of the capital market but with differing opinions ...
Marić Vesna, Ignjatović Svetlana
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