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dc.contributor.authorChen, Zhenxien
dc.contributor.authorKiviet, Jan F.en
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
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
dc.format.extent46 p.en
dc.relation.ispartofseriesAnnals of Economics and Financeen
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
dc.subjectDRNTU::Social sciences::Economic theoryen
dc.subjectDiagnostic Testsen
dc.subjectInterlinkage Of Stock Marketsen
dc.titleA critical appraisal of studies analyzing co-movement of international stock marketsen
dc.typeJournal Articleen
dc.contributor.schoolSchool of Social Sciencesen
dc.description.versionPublished versionen
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