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

• المؤلفون الرئيسيون: Chen, Zhenxi, Kiviet, Jan F.
• مؤلفون آخرون: School of Social Sciences
• التنسيق: مقال
• اللغة: English
• منشور في: 2019
• الموضوعات: DRNTU::Social sciences::Economic theory; Diagnostic Tests; Interlinkage Of Stock Markets
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/82971; http://hdl.handle.net/10220/47509; http://ideas.repec.org/a/cuf/journl/y2018v19i1kivietchen.html

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...