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Impact of the Change in Market Conditions on a Test for Market Cointegration
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 Title & Authors
Impact of the Change in Market Conditions on a Test for Market Cointegration
Kim, Tae-Ho;
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 Abstract
Current series for testing stock market cointegrations tend to be restricted to analyzing the relations between stock market prices and may not be able to understand the whole picture of the variations in the stock market system. The nature of the variations in the stock prices, between the countries that experienced economic crisis and those did not, are different for a certain period of time, and accordingly excluding the potentially important variables in the stock market system causes statistical bias. This study considers domestic foreign exchange markets and financial markets in testing for the cointegrating relations of the stock prices in Korea and major investing countries. The results demonstrate the possibility of specification errors unless those markets are included in the statistical modeling process.
 Keywords
Stochastic trend;error structure;recursive residual;
 Language
Korean
 Cited by
1.
Predictability of Consumer Expectations for Future Changes in Real Growth, Korean Journal of Applied Statistics, 2015, 28, 3, 457  crossref(new windwow)
2.
Statistical testings for common stochastic trends in markets under recession, Korean Journal of Applied Statistics, 2016, 29, 4, 559  crossref(new windwow)
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