Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/82971
Full metadata record
DC FieldValueLanguage
dc.contributor.authorChen, Zhenxien
dc.contributor.authorKiviet, Jan F.en
dc.date.accessioned2019-01-18T04:50:48Zen
dc.date.accessioned2019-12-06T15:09:16Z-
dc.date.available2019-01-18T04:50:48Zen
dc.date.available2019-12-06T15:09:16Z-
dc.date.issued2018en
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.identifier.urihttps://hdl.handle.net/10356/82971-
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.language.isoenen
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
dc.identifier.urlhttp://ideas.repec.org/a/cuf/journl/y2018v19i1kivietchen.htmlen
item.grantfulltextopen-
item.fulltextWith Fulltext-
Appears in Collections:HSS Journal Articles
Files in This Item:
File Description SizeFormat 
A Critical Appraisal of Studies Analyzing Co-movement of International Stock Markets.pdf491.75 kBAdobe PDFThumbnail
View/Open

Page view(s) 50

511
Updated on Jul 20, 2024

Download(s) 50

49
Updated on Jul 20, 2024

Google ScholarTM

Check

Items in DR-NTU are protected by copyright, with all rights reserved, unless otherwise indicated.