Co-movement between Malaysian stock index and bond index: empirical evidence from rank tests for cointegration
This study aims at examining the long-run cointegration relationship for Malaysian stock and bond market indices in the period surrounding the Asian financial crisis based on the Breitung (2001) rank test procedures. The paper argues that the standard cointegration tests do not allow for breaks and...
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| Main Authors: | , , |
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| 格式: | Article |
| 語言: | English |
| 出版: |
Elsevier
2012
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| 主題: | |
| 在線閱讀: | https://eprints.ums.edu.my/id/eprint/19112/1/Co.pdf https://eprints.ums.edu.my/id/eprint/19112/ https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2145756 |
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