... market. Robert M. Hull can be contacted at: rob.hull@washburn.edu 09 01 2023 13 04 2023 17 04 2023 © Emerald Publishing Limited 2023 Emerald Publishing Limited Licensed re-use rights only G7 stock markets China stock market Cointegration Time series VECM...

... to December 2019. Design/methodology/approach The authors test the data for unit roots using Phillip-Perron method. They use Johansen cointegration model to determine whether returns on S&P 500 are integrated with S&P 500. They use the VAR/VECM analysis to test whether there are any...

.... Design/methodology/approach With high-frequency 5-min overlapping price data, the authors employ the Johansen cointegration test to investigate long-run relationships, the Granger causality test to assess short-run dynamics and the BEKK-GARCH model for volatility spillover investigation. Findings...

...Eric Le Fur Purpose The authors analyze the long-term relationship between the US housing market and the concentration of high net worth individuals. Design/methodology/approach The authors apply a cointegration and causality approach on a ten years database. The database includes by US state...

... by employing two-stage cointegration test. Findings The result of the empirical study shows several outcomes; the short-term financing rates among the selected Asian countries are not highly correlated during pre-crisis period, but the rates become strongly associated during the post-crisis period. The US...

.... In this study, Johansen's cointegration test, vector error correction model (VECM), Granger causality test, impulse response functions (IRFs) and variance decompositions (VDCs) test have been applied to exhibit the long-run and short-run relationship between them. Findings – The cointegration result...

... pricing [Harvey (1991) and Engel (1994 documenting transmission of information flows and shocks between national markets [Eun and Shim (1989), King and Wadhwani (1990), Koch and Koch (1991), Arshanapalli and Doukas (1993) and In, Kim, Yoon and Viney (1995 and testing for cointegration across national...

...Amitava Chatterjee; O. Felix Ayadi; Balasundram Maniam This study adds to the ongoing analysis of the long‐term impact of Asian financial crisis on the stock markets of eight Asian‐Pacific countries. Using current data to capture postcrisis behavior of returns, multivariate cointegration analysis...

... segmentation (market frictions). Analyses 1991‐1997 data on 18 UK CEFs (13 investing in the UK and 5 in the USA) to explore the pattern of cointegration and error corrected Granger causality between the fund discounts and indices which proxy for UK and US investor sentiment. Discusses the results, which...

...E. Dockery; F. Vergari Outlines previous research on cointegration between capital markets and assesses the degree of cointegration between liberalized Eastern European markets (the Czech Republic, Poland and Hungary) and the German and UK markets in the context of increasing foreign investment...

...Mukesh K. Chaudhry; Rohan A. Christie‐David; William H. Sackley Notes increasing investment by US pension funds in foreign currency denominated assets and briefly outlines previous research on the links between various types of assets/currencies. Uses cointegration methodologies on 1978‐1996...

...Sorin A. Tuluca; Michael J. Seiler; F.C. Neil Myer; James R. Webb Refers to previous research on the relationship between returns for different asset classes and on cointegration; and applies Johansen’s (1988) methodology to develop a prediction model. Uses 1978‐1995 data on five US asset classes...