Essays about: "cointegration"

Showing result 1 - 5 of 134 essays containing the word cointegration.

  1. 1. 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

  2. 2. The European Union’s Technological and Economic Development : A Study on Production of Renewable Energy

    University essay from Umeå universitet/Nationalekonomi

    Author : Ali Abbas; [2018]
    Keywords : ;

    Abstract : This thesis answer the two main questions, firstly, the role of technological development in the production of RE with special reference to investment subsidy in supporting schemes and research and development (R&D). Investment subsidies in supporting schemes and R&D are widely used to promote RE technology and considered economical, efficient instruments than regulation approach. READ MORE

  3. 3. Statistical Arbitrage Using Cross-Market Pairs Trading

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Erik Boltenstål; [2018]
    Keywords : Statistical Arbitrage; Cointegration; Kalman Filter; Pairs Trading;

    Abstract : Pairs trading is a statistical arbitrage strategy that offers appealing properties for the sophisticated investor. The concept relies on the creation of a mean-reverting spread between two assets, where there is assumed to exist a long-term equilibrium relationship. READ MORE

  4. 4. International Diversification Benefits : A Cointegrating Analysis Based on China, Europe and Russia

    University essay from Högskolan i Jönköping/IHH, Företagsekonomi; Högskolan i Jönköping/IHH, Företagsekonomi

    Author : Stefan Ryschkow; SIQI LU; [2018]
    Keywords : Causality; diversification; dynamic cointegration; static cointegration; structural break;

    Abstract : This thesis investigates the short term and the long term cointegration relations between European and Chinese, European and Russian stock markets, with a goal to define international diversification benefits. Whereas Russia and China are considered as developing countries, Europe represents a developed market. READ MORE

  5. 5. The Effects of Government Policies on Real Estate Sector

    University essay from KTH/Fastigheter och byggande

    Author : Tuuli Kouki; [2018]
    Keywords : Real estate; real estate market; government policies; fiscal policy; monetary policy; causality; cointegration; Granger causality; Fastighet; fastighetsmarknaden; regeringenspolitik; finanspolitik; penningpolitik; kausalitet; samverkan; Granger kausalitet;

    Abstract : The study investigates the linkages between government policies and the real estate sector via a case study that was carried out on the Japanese market. The applicability of the results were then discussed in terms of whether similar trends could be seen in other economies facing similar demographic and economic issues as Japan. READ MORE