Essays about: "Time series comovements"

Found 2 essays containing the words Time series comovements.

1. 1. A Non-linear Analysis of Cointegration in South-East Asian Equity Markets

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Massimiliano Severi; [2021]
   Keywords : Cointegration; South-East Asian stock markets; Time series comovements; Markov-switching models; Regime-shifting models;

   Abstract : This paper investigates the presence of cointegration among the main stock markets in South-East Asia, namely those of Hong Kong, Singapore, Malaysia and Thailand. Part 1 of the thesis studies the relationship using Markov-switching models, while Part 2 uses regime-shifting models with one structural break. READ MORE

3. 2. Cointegration between the Chinese and US stock markets

   University essay from Lunds universitet/Ekonomisk-historiska institutionen

   Author : Patrick Malm; [2018]
   Keywords : China; cointegration; stock market; time series; US; Business and Economics;

   Abstract : This paper conducts an empirical study on the relationship between the emerging financial market of China and the developed market of the US, both during and after the 2007-2009 financial crisis. Stock indices from the two countries are analysed to examine whether there exist any comovements between the different equity markets. READ MORE