Macro-economic determinant and interdependence of the stock markets
Asim Rafiq; Shahbib Hassan · 2019 · Economic Journal of Emerging Markets
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Abstract
This study examines the time-varying long-term stock market interdependence between china and the ten emerging economies, using Johansen co-integration and Dynamic Conditional Correlation-Generalized Autoregressive Conditional Heteroskedasticity (DCC GARCH) model. It analyses the dynamic association between the equity markets and the macroeconomic determinants using panel regression analysis. Findings/originality: The results indicate that the Chinese stock market are co-integrated with the stock market of the other emerging markets. It confirms that the relationship between china and the othe
Abstract by Asim Rafiq; Shahbib Hassan, Economic Journal of Emerging Markets (2019) — licensed CC BY 4.0.
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