An empirical investigation of stock markets : the CCF approach / Shigeyuki Hamori.

Format:

Book

Author/Creator:

Hamori, Shigeyuki, 1959-

Series:

Research monographs in Japan-U.S. business & economics

Research monographs in Japan-U.S. business & economics ; 8

Language:

English

Subjects (All):

Stock exchanges--Statistics.

Stock exchanges.

Genre:

Statistics.

Physical Description:

xiii, 129 pages : illustrations ; 25 cm.

Place of Publication:

Boston : Kluwer Academic, [2003]

Contents:

2. Stock Prices Across International Markets: A Traditional Approach 7

3 Data 12

4 Empirical Technique: VAR 13

5 Empirical Technique: LA-VAR 23

3. Stock Prices Across International Markets: The CCF Approach 31

2 Empirical Technique 33

2.1 ARCH-type Models 33

2.2 Cheung-Ng Test 38

3 Data 41

4 Empirical Results 41

4.1 AR-EGARCH Model 41

4.2 Cheung-Ng Test 44

4. Stock Prices and Effective Exchange Rates 61

3 Data 65

4 Empirical Results 68

4.1 AR-EGARCH Model 68

4.2 Cheung-Ng Test 72

5. Stock Prices, Effective Exchange Rates, and Real Economic Activities 83

3 Data 89

4 Empirical Technique 93

5 Empirical Results 94

5.1 Results for Germany 94

5.2 Results for Japan 99

5.3 Results for the UK 104

5.4 Results for the USA 108

6. Summary and Future Research Directions 121.

Notes:

Includes bibliographical references (pages [125]-129) and index.

ISBN:

1402075170

OCLC:

52553805