Keywords: Vector auto regression
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Journal Articles
International Journal of Emerging Markets (2023) 18 (3): 633–665.
Published: 13 May 2021
... of the broad market indices of 46 global stock markets over a period ranging from July 2015 till June 2020. The sample period is split into pre COVID-19 and COVID-19 phases. In order to test the overconfidence fallacy in the chosen stock markets, bivariate market-wide vector auto regression (VAR) models...

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