Results 11 to 20 of about 29,321 (214)
Comovement of stock markets after the first COVID wave: a study into five most affected countries [PDF]
IIM Ranchi Journal of Management Studies, 2022 Purpose – The purpose of this paper is to look at the contemporaneous movement of the stock market indices of the five most COVID-infected countries, namely, the USA, Brazil, Russia, India and UK after the first wave along with market indices of the ...
Arindam Das, Arindam Gupta
doaj +1 more source
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
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
core +5 more sources
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
A wavelet-based approach for Johansen’s likelihood ratio test for cointegration in the presence of measurement errors: An application to CO2 emissions and real GDP data [PDF]
Communications in Statistics: Case Studies, Data Analysis and Applications, 2020 We suggest a wavelet filtering technique as a remedy to the problem of measurement errors when testing for cointegration using Johansen’s (1988) likelihood ratio test.
Olivier Habimana +2 more
openaire +1 more source
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
core +7 more sources
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
On the Meaning of Certain Cointegration Test [PDF]
, 1994 In this paper we examine (some of) the cointegration test suggested in Engle and Granger (1987), henceforth EG, those suggested by Johansen (1988), (1991), henceforth J, and those suggested in Dhrymes (1994b), henceforth D.
Dhrymes, Phoebus J.
core +2 more sources
Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 2019 In this study, the existence of therelationships between non-performing loans and macroeconomic variables for themonthly data of the Turkish banking sector between January 2005 and August 2018were analysed through the Johansen cointegration test (1991 ...
Mehmet Erdaş
doaj +1 more source
Does Indian Commodity Futures Markets Exhibit Price Discovery? An Empirical Analysis
Discrete Dynamics in Nature and Society, 2022 Price discovery function analyses the dynamics of futures and spot price behavior in an asset’s intertemporal dimensions. The present study examines the price discovery function of the bullion, metal, and energy commodity futures and spot prices through ...
Upananda Pani +4 more
doaj +1 more source