Yang, Lixiong; Lee, Chingnun; Shie, Fu Shuen - In: Pacific-Basin Finance Journal 26 (2014) C, pp. 198-226
stock markets using the cointegration methodology. Lee et al. (2012) introduced a variance test of cointegration equilibrium … cross-sectional dependence of individual (stock) markets in a panel is a common existence. The current paper shows that the … the cross-sectional dependence of some Asian stock markets during the Asian financial crisis (1997–1998) documented by Lee …