Co-Integration Analysis with Applications to Stock Markets - Henri Claver, Jimbo;Bruno, Dinga
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Recent trends in globalization, technological advancements and financial liberalization have made it possible for stock markets in different countries to interact and affect and/or influence each other both in the short-run and in the long-run. Co-integration Analysis with Applications to Stock Markets takes a unique approach to the field of Econometric and Business Management by focusing on issues related to modelling, prediction and control with real applications. A comparative analysis among few stocks and/or price indices is presented. The Dickey-Fuller, Engle-Granger and Johansen tests…mehr

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Produktbeschreibung
Recent trends in globalization, technological advancements and financial liberalization have made it possible for stock markets in different countries to interact and affect and/or influence each other both in the short-run and in the long-run. Co-integration Analysis with Applications to Stock Markets takes a unique approach to the field of Econometric and Business Management by focusing on issues related to modelling, prediction and control with real applications. A comparative analysis among few stocks and/or price indices is presented. The Dickey-Fuller, Engle-Granger and Johansen tests for co-integration are used for pair wise analysis between the stock markets in seven randomly selected countries. The Granger causality tests reveal bidirectional and sometimes unidirectional causality between the stocks, rather the cointegration analyses reveal long-run relationship between few stock markets. The research conducted in this book will help investors to invest wisely in the chosen stock markets. It will equally aid economic experts and policy makers in countries to understand the impact of shocks on economic variables both in time and space dimensions.
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Autorenporträt
O Professor Jimbo H. Claver recebeu o seu doutoramento em Matemática Aplicada e Estatística da Universidade Estatal de Moscovo. Ocupou inúmeros cargos de professor em Universidades americanas, britânicas e japonesas em todo o mundo. É autor de mais de 150 publicações.