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) procedure is used to investigate the inventory marketplace. This quantity presents a few empirical proof in regards to the monetary linkages between a bunch of alternative countries.
Chapter 2 and bankruptcy three research the foreign linkage of inventory costs between Germany, Japan, the united kingdom and america. bankruptcy 2 applies the normal technique, 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, alternate charges, and actual fiscal actions. bankruptcy 6 summarizes the most effects bought in every one bankruptcy and reviews at the attainable instructions of destiny examine.
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Additional info for An Empirical Investigation of Stock Markets: The CCF Approach
6. ·UI"II'I... r! 80 Figure 82 e. 7. 8. 652 for None. Thus, the null hypothesis of a unit root is accepted in all specifications for the level of stock prices. The hull hypothesis is, however, rejected for all specifications for the first difference of stock prices. These results are robust to all countries. Thus each stock price index is found to be 1(1) process. 8. All series appear non-stationary with stationary first differences. Thus, the cointegration test developed by Johansen (1988) and Johansen and Juselius (1990) is applied to the pair of the log of stock price indices.
4. 1 Empirical Results AR-EGARCH Model A two-step procedure proposed by Cheung and Ng (1996) is employed to analyze the mean and variance causal relationships across markets. 42 AN EMPIRICAL INVESTIGATION OF STOCK MARKETS The first step involves the estimation of univariate time-series models that allow for time variation in both conditional means and conditional variances. The AR(k)-EGARCH(p, q) specification: is used for the first step. The AR-EGARCH model is used to model the stock return dynamics because of its success in financial literature.
12 28 AN EMPIRICAL INVESTIGATION OF STOCK MARKETS Notes 1 See Toda and Yamamoto (1995). 2 Also see Adler and Horesh (1974) and Agman (1974). ,- St - St-l S t-l . 4 Strictly speaking, a VAR in differences is not consistent with a cointegrated system, whereas a VAR in levels could be. See Hamilton (1994, p. 579). 5 Also see Dickey and Fuller (1979, 1981) and Said and Dickey (1985). Hamori and Tokihisa (1997) analyze the effects of heteroskedasticity on the unit root test. 6 Seasonal integration tests developed by Hylleberg, Engle, Granger, and Yoo (1990), Beaulieu and Miron (1993), Franses and Hobijn (1997), and Tokihisa and Hamori (2001) are also applied.