This paper uses recent developments in the theory of cointegration to provide new methods
of testing the linkage and dynamic interactions among stock market movements. Our …

This paper documents the presence of a common stochastic trend between the US and the
Asian stock market movements during the post-October 1987 period. The evidence suggests …

… Squares Regression Line From both the regression parameter b as well as the graphic, we
… and daily returns are b= 1.2421 and a= 0.0003 and b= 1.2482 and a= 0.0004, respectively. …

Using a large international equity market database that has not been previously used for
such a purpose, this paper documents that value (ie, high book-to-market) stocks outperform …

… b, the slope term, will be equal to one and the null hypothesis of no cointegration is rejected.
On the other hand, if b … The presence of cointegration is determined by the rank of b matrix. …

… If we find the data consistent with b=1, then equation (2) is a … , the matrix is a 1x1 consisting
of the b-1 term. The rank can … Then we reject the null hypothesis (b=1); this leads to the …

The reasons for hiring military veterans/reservists are well documented, including such factors
as leadership, teamwork, and resilience. Research shows that veterans/reservists perform …

Researchers and practitioners have devoted considerable attention to devising market-timing
strategies as potential value-enhancement tools. The success of such active or tactical …

This study examines the nature and extent of linkage between the US and the Indian stock
markets. The study uses the theory of cointegration to study interdependence between the …

This paper investigates the nature of the volatility process among security prices for US,
Europe and the Pacific Rim capital markets using a new data set that removes the problem of …