Macro-economic determinant and interdependence of the stock markets
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...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Universitas Islam Indonesia
2019-07-01
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| Series: | Economic Journal of Emerging Markets |
| Subjects: | |
| Online Access: | https://www.hmj.accounting.uii.ac.id/JEP/article/view/11597 |