Macro-economic determinant and interdependence of the stock markets

Macro-economic determinant and interdependence of the stock markets

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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 associatio...

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Bibliographic Details
Main Authors: Asim Rafiq, Shahbib Hassan
Format: Article
Language:English
Published: Universitas Islam Indonesia 2019-07-01
Series:Economic Journal of Emerging Markets
Subjects:
Co-integration
DCC GARCH
Macro-economic determinants
Panel regression
Online Access:http://uiistage.openjournaltheme.com/3310/index.php/JEP/article/view/11597

Internet

http://uiistage.openjournaltheme.com/3310/index.php/JEP/article/view/11597

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