Haque, Mahfuzul; Shamsub, Hannarong - In: International Journal of Financial Studies : open … 3 (2015) 4, pp. 557-586
The results of the single-equation cointegration tests indicate that patterns of cointegration in the two main and four sub-periods are not homogeneous. Two key findings emerge from the study. First, fewer stock markets cointegrated with S&P 500 during the crisis period than they did during the...
