dc.contributor.authorKiviet, Jan F.
dc.contributor.authorChen, Zhenxi
dc.identifier.citationKiviet, J. F., & Chen, Z. (2018). A critical appraisal of studies analyzing co-movement of international stock markets. Annals of Economics and Finance, 19(1), 151-196.en_US
dc.description.abstractLiterature is reviewed on the analysis of co-movement between the price indices of stocks or their realized returns at various markets. Four major categories of frequently recurring methodological shortcomings are registered. These are: (i) omitted regressor problems, (ii) neglecting to verify agreement of estimation outcomes with adopted model assumptions, (iii) employing particular statistical tests in inappropriate situations and, occasionally, (iv) lack of identification. The devastating effects of the detected methodological defects are explained in mildly technical appendices and are also illustrated by simulations and empirical examples.en_US
dc.format.extent46 p.en_US
dc.relation.ispartofseriesAnnals of Economics and Financeen_US
dc.rights© 2018 The Author(s) (Annals of Economics and Finance). All rights reserved. This paper was published in Annals of Economics and Finance and is made available with permission of The Author(s) (Annals of Economics and Finance).en_US
dc.subjectDiagnostic Testsen_US
dc.subjectInterlinkage Of Stock Marketsen_US
dc.subjectDRNTU::Social sciences::Economic theoryen_US
dc.titleA critical appraisal of studies analyzing co-movement of international stock marketsen_US
dc.typeJournal Article
dc.contributor.schoolSchool of Social Sciencesen_US
dc.description.versionPublished versionen_US

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