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

• 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
• Institution: Nanyang Technological University

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...