:01–2020:08 were employed. The study found evidence of volatility persistence, asymmetry, mean reversion and weak evidence of a risk …

cointegration to estimate the long-run relationship between G7 stock prices and macroeconomic variables over the last 40 years. We …

Granger Causality test is employed to ascertain the direction of causality. Findings - The F-bounds test reveals cointegration …

capital integration with cointegration techniques. This approach minimizes the risk of accepting the null of no cointegration … provide partial support in favor of cointegration, and therefore for capital markets integration, among stock market indices … when proper attention is given to issues like the identification and temporal stability of the cointegration vectors as …

control and the sample period of FBMKLCI (from July 2009 to June 2015). Deploying the Johansen-Juselius cointegration test …

the triangular arbitrage parity for exchange rate triplets from a cointegration perspective. Due to increasing attention …

ounce using Engle-Granger cointegration. The analysis shows the existence of long-term price dependency of gold in relation …

cointegration models using Standard & Poor's 500 Index (S&P 500) and Chicago Board Options Exchange volatility Index (VIX) data for …