...Wing-Keung Wong; Zhihui Lv; Christian Espinosa; João Paulo Vieito Purpose To the best of the authors’ knowledge, this study is the first to investigate the intricate relationship between crude oil spot and futures prices, focusing on both cointegration and market efficiency during the COVID-19...

... (and a p-value of 0.00) We now explore the dynamic nexus of stock markets with FII Flows in the Indian case. We first establish the long-run cointegrating relationship between stock markets and FII flows. This property with the apparatus developed by Gonzalo and Granger (1995) and Gonzalo...

...Masood Tadi; Irina Kortchemski Purpose This paper aims to demonstrate a dynamic cointegration-based pairs trading strategy, including an optimal look-back window framework in the cryptocurrency market and evaluate its return and risk by applying three different scenarios. Design/methodology...

... break unit root test and structural break cointegration technique to test the presence of economic relationships between nominal exchange rates and each of the price and interest rate differentials. Then, the study examines the validity of the CHEER approach by testing the appropriate theoretical...

...Tim Leung; Hung Nguyen Purpose This paper aims to present a methodology for constructing cointegrated portfolios consisting of different cryptocurrencies and examines the performance of a number of trading strategies for the cryptocurrency portfolios. Design/methodology/approach The authors...

... they are not cointegrated. Second, impulse response analysis from the VAR models indicate different reactions of each cryptocurrency to both exchange rate and equity shocks and that cryptocurrencies appear to be isolated from market-driven shocks. Third, the ups and downs in the cryptocurrencies’ dynamic conditional...

... relation between gold price–WPI inflation. Design/methodology/approach The author uses Johansen’s cointegration technique ( Johansen, 1991 ); single equation error correction model based on Pesaran et al. (2001 ) and Kanioura and Turner (2005 ); and the Saikkonen and Lütkepohl (2000...

... adopts unit roots and cointegration, error‐correction modelling, variance decomposition analysis, and impulse responses analysis to examine the causal relationship between six macroeconomic variables. Findings The results indicate that there are both short and long‐run causal relationships between...