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
doaj +1 more source
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
openaire +2 more sources
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
doaj +1 more source
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
doaj +1 more source
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
doaj +1 more source
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
doaj +1 more source
Johansen Cointegration test results.
, 2023 Johansen Cointegration test results.
Xiang-Li Wu (12329566) +2 more
core +1 more source
The associations between stock prices, inflation rates, interest rates are still persistent: Empirical evidence from stock duration model [PDF]
Journal of Economics Finance and Administrative Science, 2020 Purpose - This paper aims to examine the effect of both inflation rate and interest rate on stock prices using quarterly data on non-financial firms listed in DJIA30 and NASDAQ100 for the period 1999-2016.
Tarek Eldomiaty +3 more
doaj +1 more source
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.
openaire +2 more sources
Determinants of Economic Growth in Nepal: A Johansen Cointegration Analysis
International Research Journal of MMC, 2022 This research study investigates the determinants of Economic Growth in Nepal. GDP growth is the dependent variable and import, export, exchange rate, foreign exchange reserve, gross capital formation and broad money supply are the explanatory variables.
openaire +1 more source