Multivariate cointegration analysis of the Finnish–Japanese stock markets

Multivariate cointegration analysis of the Finnish–Japanese stock markets

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Article ID: iaor20021786
Country: Netherlands
Volume: 134
Issue: 3
Start Page Number: 498
End Page Number: 507
Publication Date: Nov 2001
Journal: European Journal of Operational Research
Authors:
Keywords: statistics: multivariate
Abstract:

In this paper evidence on the cointegration between the Finnish and Japanese financial markets is provided. The results – obtained by multivariate cointegration analysis – indicate that changes in the Nikkei financial market have an impact on the error correction mechanism of the Finnish stock market.

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