A critical appraisal of studies analyzing co-movement of international stock markets

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 agree...

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Main Authors:	Chen, Zhenxi, Kiviet, Jan F.
Other Authors:	School of Social Sciences
Format:	Article
Language:	English
Published:	2019
Subjects:	DRNTU::Social sciences::Economic theory Diagnostic Tests Interlinkage Of Stock Markets
Online Access:	https://hdl.handle.net/10356/82971 http://hdl.handle.net/10220/47509 http://ideas.repec.org/a/cuf/journl/y2018v19i1kivietchen.html
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Institution:	Nanyang Technological University
Language:	English

id	sg-ntu-dr.10356-82971
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spelling	sg-ntu-dr.10356-829712019-12-10T13:51:58Z A critical appraisal of studies analyzing co-movement of international stock markets Chen, Zhenxi Kiviet, Jan F. School of Social Sciences DRNTU::Social sciences::Economic theory Diagnostic Tests Interlinkage Of Stock Markets 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. Published version 2019-01-18T04:50:48Z 2019-12-06T15:09:16Z 2019-01-18T04:50:48Z 2019-12-06T15:09:16Z 2018 Journal Article 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. https://hdl.handle.net/10356/82971 http://hdl.handle.net/10220/47509 http://ideas.repec.org/a/cuf/journl/y2018v19i1kivietchen.html en Annals of Economics and Finance © 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). 46 p. application/pdf
institution	Nanyang Technological University
building	NTU Library
country	Singapore
collection	DR-NTU
language	English
topic	DRNTU::Social sciences::Economic theory Diagnostic Tests Interlinkage Of Stock Markets
spellingShingle	DRNTU::Social sciences::Economic theory Diagnostic Tests Interlinkage Of Stock Markets Chen, Zhenxi Kiviet, Jan F. A critical appraisal of studies analyzing co-movement of international stock markets
description	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.
author2	School of Social Sciences
author_facet	School of Social Sciences Chen, Zhenxi Kiviet, Jan F.
format	Article
author	Chen, Zhenxi Kiviet, Jan F.
author_sort	Chen, Zhenxi
title	A critical appraisal of studies analyzing co-movement of international stock markets
title_short	A critical appraisal of studies analyzing co-movement of international stock markets
title_full	A critical appraisal of studies analyzing co-movement of international stock markets
title_fullStr	A critical appraisal of studies analyzing co-movement of international stock markets
title_full_unstemmed	A critical appraisal of studies analyzing co-movement of international stock markets
title_sort	critical appraisal of studies analyzing co-movement of international stock markets
publishDate	2019
url	https://hdl.handle.net/10356/82971 http://hdl.handle.net/10220/47509 http://ideas.repec.org/a/cuf/journl/y2018v19i1kivietchen.html
_version_	1681049207960502272

A critical appraisal of studies analyzing co-movement of international stock markets

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