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: | , |
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| Other Authors: | |
| Format: | Article |
| Language: | English |
| Published: |
2019
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| Subjects: | |
| 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 |