Yi, Zheng; Heng, Chen; Wong, Wing-keung - In: Journal of Risk and Financial Management 2 (2009) 1, pp. 38-74
Current integration and co-movement among international stock markets has been boosted by increased globalization of … considerably the most comparable stock markets to China. The usual vector error correction model (VECM) could overlook the long … binding China's stock market to the aforementioned stock markets. In addition, by augmenting the FIVECM with multivariate …