Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/82971
Title: A critical appraisal of studies analyzing co-movement of international stock markets
Authors: Chen, Zhenxi
Kiviet, Jan F.
Keywords: DRNTU::Social sciences::Economic theory
Diagnostic Tests
Interlinkage Of Stock Markets
Issue Date: 2018
Source: Kiviet, 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.
Series/Report no.: Annals of Economics and Finance
Abstract: Literature 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.
URI: https://hdl.handle.net/10356/82971
http://hdl.handle.net/10220/47509
URL: http://ideas.repec.org/a/cuf/journl/y2018v19i1kivietchen.html
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).
Fulltext Permission: open
Fulltext Availability: With Fulltext
Appears in Collections:HSS Journal Articles

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