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Co-Integration Analysis with Applications to Stock Markets.
В наличии
Местонахождение: Алматы | Состояние экземпляра: новый |
Бумажная
версия
версия
Автор: Jimbo Henri Claver and Dinga Bruno
ISBN: 9786200006714
Год издания: 2019
Формат книги: 60×90/16 (145×215 мм)
Количество страниц: 116
Издательство: LAP LAMBERT Academic Publishing
Цена: 32457 тг
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Сферы деятельности:Код товара: 227354
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Аннотация: 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.
Ключевые слова: Co-integration, Johansen test, Engle-Granger test, Dicker-Fuller test, Granger causality, Time Series Analysis, stock markets, econometric.