Download An Empirical Investigation of Stock Markets: The CCF by Shigeyuki Hamori PDF

By Shigeyuki Hamori

An Empirical research of inventory Markets: The CCF Approach makes an attempt to make an empirical contribution to the literature at the pursuits of inventory costs in significant economies, i.e. Germany, Japan, the united kingdom and the us. particularly, the cross-correlation functionality (CCF) technique is used to investigate the inventory marketplace. This quantity offers a few empirical proof in regards to the financial linkages between a bunch of alternative countries.

Chapter 2 and bankruptcy three examine the foreign linkage of inventory costs between Germany, Japan, the united kingdom and the united states. bankruptcy 2 applies the traditional strategy, while bankruptcy three makes use of the CCF process. bankruptcy four analyzes the connection among inventory costs and trade charges. bankruptcy five analyzes the connection between inventory costs, trade charges, and actual financial actions. bankruptcy 6 summarizes the most effects got in each one bankruptcy and reviews at the attainable instructions of destiny examine.

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665 for the USA, and they are statistically significant at the 1 percent level. Thus, the persistence to volatility shock is relatively high for Germany, Japan and the UK, but is relatively low for the USA. 304 for the USA. Note that this asymmetric parameter is not statistically significant for Japan. 3 also shows the diagnostics of the empirical results of the AR-EGARCH model. 3. 241) 11'0 SE(1I'0) 1il SE(:rd 11'2 SE(1I'2) Q(12) P-value Q2(12) P-value Note: Numbers in parentheses are Bollerslev-Wooldridge robust standard errors.

41 Chapter 3 Since both Ut and Vt are unobservable, their estimates, Ut and Vt, have to be used to test the hypothesis of no causality in variance. lv(k) is the kth lag sample cross-covariance given by Cuv(k) = ~ ~)Ut - ~)(Vt-k - ~), k = 0, ±1, ±2,'" and similarly Cuu(O) and Cvv(O) are respectively defined as the sample variances of Ut and Vt. Causality in the variance of X t and Yi can be tested by examining the squared standardized residual CCF, Tuv(k). • , k m are m different integers, and ~ shows the convergence in distribution.

The common procedure is to estimate a vector autoregressive using the undifferenced data. 8 SBIC is often used to select the appropriate model, and smaller values of SBIC are preferred. 4, the lag length (k) is chosen to be two for all pairs. 4. In this table, LM(12) is the Lagrange multiplier (LM) test statistic for the null hypothesis that there is no autocorrelation up to order 12. 4 is empirically supported. 6 shows the results of the cointegration test. In this table, two test statistics are reported.

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