Journal ArticleDOI
The stability of long‐run relationships
TLDR
In this paper, the authors investigate the stability of the long-run relationships between emerging (India, China, South Korea, and Taiwan) and developed stock markets (USA and Japan) by investigating the hypothesis that the Asian emerging stock markets are increasingly converging with the US stock market over time.Abstract:
Purpose – The purpose of this paper is to investigate the stability of the long‐run relationships between emerging (India, China, South Korea, and Taiwan) and developed stock markets (USA and Japan). The study aims at adding to the literature on market integration by investigating the hypothesis that the Asian emerging stock markets are increasingly converging with the US stock market over time.Design/methodology/approach – The authors use time varying cointegration tests (rolling and recursive cointegration) which allow for time variation in the underlying data generating process (possible structural breaks in the long‐run relationships). Ten year index data from mid 1998 to 2008 of the respective stock markets have been used for this study.Findings – Empirical findings support the presence of one long‐run relationship (cointegration vector) between emerging and developed stock markets. Both domestic and external forces affect stock market behavior, leading to long‐run equilibrium but the individual Asia...read more
Citations
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Does Islamic equity investment provide diversification benefits to conventional investors? Evidence from the multivariate GARCH analysis
TL;DR: In this paper, a multivariate GARCH-dynamic conditional correlation is deployed to estimate the time-varying linkages of the selected conventional and Islamic Asian and international stock index returns with the Malaysian stock index, covering approximately eight years daily starting from 29 June 2007 to 30 June 2016.
Journal ArticleDOI
Volatility spillovers among Northeast Asia and the US: Evidence from the global financial crisis and the COVID-19 pandemic
TL;DR: Wang et al. as discussed by the authors investigated the dynamic connectedness between the volatility of Northeast Asia, namely South Korea, Japan, China, and the United States (US), and employed Diebold and Yilmaz's (2012) spillover index to measure connectedness in stock market volatility.
Journal ArticleDOI
Is the Indian stock market cointegrated with other Asian markets
TL;DR: In this paper, the authors investigated the linkages between Indian stock markets with other Asian stock markets namely, Hong Kong, Indonesia, Japan, South Korea, Malaysia, Taiwan and China.
Journal ArticleDOI
Stock market comovements among Asian emerging economies: A wavelet-based approach.
TL;DR: It has been determined that the co-movement strength among the emerging economies of Asia may have an effect on the VaR levels of a multi-country portfolio and the association of the south and east Asian stock market with Chinese stock markets show the interconnection of these economies with the economy of China since past two decades.
Journal ArticleDOI
Dynamic linkages among developed, emerging and frontier capital markets of Asia-Pacific region
TL;DR: In this paper, the authors investigated the long-run equilibrium relationship between developed, emerging and frontier markets of the Asia-Pacific region during January 2000 to June 2016, and found that emerging markets provide good diversification opportunities to global investors.
References
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Journal ArticleDOI
Statistical analysis of cointegration vectors
TL;DR: In this paper, the authors consider a nonstationary vector autoregressive process which is integrated of order 1, and generated by i.i.d. Gaussian errors, and derive the maximum likelihood estimator of the space of cointegration vectors and the likelihood ratio test of the hypothesis that it has a given number of dimensions.
Journal ArticleDOI
Maximum likelihood estimation and inference on cointegration — with applications to the demand for money
Søren Johansen,Katarina Juselius +1 more
TL;DR: In this paper, the estimation and testing of long-run relations in economic modeling are addressed, starting with a vector autoregressive (VAR) model, the hypothesis of cointegration is formulated as a hypothesis of reduced rank of the long run impact matrix.
Maximun likelihood estimation and inference on cointegration - With applications to the demand for money
Søren Johansen,Katarina Juselius +1 more
Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models / Søren Johansen
TL;DR: In this paper, the authors present the likelihood methods for the analysis of cointegration in VAR models with Gaussian errors, seasonal dummies, and constant terms, and show that the asymptotic distribution of the maximum likelihood estimator is mixed Gausssian.
Journal ArticleDOI
Estimation and hypothesis testing of cointegration vectors in gaussian vector autoregressive models
TL;DR: In this article, the authors derived the likelihood analysis of vector autoregressive models allowing for cointegration and showed that the asymptotic distribution of the maximum likelihood estimator of the cointegrating relations can be found by reduced rank regression and derives the likelihood ratio test of structural hypotheses about these relations.
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