First and second order inefficiency in Australasian currency markets

Gannon, Gerard

doi:10.1016/0927-538x(96)00017-0

Cited by 13 publications

(16 citation statements)

References 14 publications

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“…That said, these contributions pertain to low dimensional systems and, as a result, are of limited empirical relevance. In contrast, empirical contributions (Alexakis and Apergis (1996), Gannon (1996) and Pan et al, (1999)), across a wider range of system dimensions, Gannon (1996) and , developed in the framework of the Johansen (1988) Moreover, our findings indicate that this discrepancy is growing slightly over time. Second, in contrast to the evidence provided by our examination of the continental stock market correlations, the long-term relations appear to bind the Asian stock markets and the United…”

Section: Accepted Manuscriptcontrasting

confidence: 50%

“…This modification of the Johansen (1988) procedure follows Gannon (1996), Pan et al (1999) and . In particular, this modification involves the estimation of common roots in which we account for GARCH effects in the correlating combinations of residuals.…”

Section: Accepted M Manuscriptmentioning

confidence: 99%

“…As a result of the summary statistics presented in Table 1, which indicate, inter alia, the prevalence of pervasive ARCH effects across the stock market indices, a modified cointegration test with GARCH effects is performed. Table 4 In the spirit of Hansen and Johansen (1999), Rangvid (2001) and Rangvid and Sorensen (2002) we recursively assess the evolution of the number of cointegrating vectors using a modification of the Johansen (1988) test, provided by Gannon (1996) which accounts for GARCH effects. Prior to discussing the results from these analyses it is important to assert the presence of a unit root in each of the price series in each of the recursively estimated windows of data examined.…”

Section: Accepted M Manuscriptmentioning

confidence: 99%

“…We approach this question by adopting two methodologies: firstly we use the Johansen (1988) multivariate likelihood ratio cointegration analysis and second we use the Gannon (1996) cointegration test that is a modification of the Johansen (1988) test with a view to controlling for heteroskedasticity. The presence of cointegration indicates that there are common forces driving the long-term movements of the corresponding grouping of stock market indices.…”

Section: Accepted M Manuscriptmentioning

confidence: 99%

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Robust global stock market interdependencies

Lucey

Muckley

2011

International Review of Financial Analysis

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In this paper, we examine the scope for international stock portfolio diversification, from the viewpoint of a United States representative investor, in regard to both the Asian and the European stock markets. Our findings indicate that despite correlation style evidence to the contrary, the European stock markets provide a superior long-term diversification opportunity relative to that provided by the Asian stock markets. Hence, a short-term measurement of interdependence appears to be uninformative with respect to the diversification opportunities of investors with longer term investment horizons. In terms of methodology, we adopt common stochastic trend tests, including a common stochastic trend test which accounts for generalised autoregressive conditional heteroskedasticity effects in conjunction with the recursive estimation of these tests to estimate the development of longterm stock market interdependence linkages. Recursively estimated robust correlations between the international stock markets are utilised to reveal the nature of short-term stock market interdependence linkages.

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Section: Accepted Manuscriptcontrasting

confidence: 50%

Section: Accepted M Manuscriptmentioning

confidence: 99%

Section: Accepted M Manuscriptmentioning

confidence: 99%

Section: Accepted M Manuscriptmentioning

confidence: 99%

See 2 more Smart Citations

Robust global stock market interdependencies

Lucey

Muckley

2011

International Review of Financial Analysis

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“…There is some evidence for stock market indices sharing a uniform volatility process (see Engle and Kozicki, 1993). An alternative cointegration test with GARCH effects is provided by Gannon (1996). (Granger and Weiss, 1983): a system not in equilibrium has a tendency to converge to equilibrium in the long run.…”

Section: Stationarity and Cointegrationmentioning

confidence: 99%

Do Daily Retail Gasoline Prices Adjust Asymmetrically?

2005

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This paper analyzes adjustments in the Dutch retail gasoline prices. We estimate an error correction model on changes in the daily retail price for gasoline (taxes excluded) for the period 1996-2004 taking care of volatility clustering by estimating an EGARCH model. It turns out the volatility process is asymmetrical: an unexpected increase in the producer price has a larger effect on the variance of the producer price than an unexpected decrease.We do not find strong evidence for amount asymmetry. However, there is a faster reaction to upward changes in spot prices than to downward changes in spot prices.This implies timing or pattern asymmetry. This asymmetry starts three days after the change in the spot price and lasts for four days.

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The Price Forming Process in Energy Markets

Bredin

Muckley

2011

Financial Aspects in Energy

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First and second order inefficiency in Australasian currency markets

Cited by 13 publications

References 14 publications

Robust global stock market interdependencies

Robust global stock market interdependencies

Do Daily Retail Gasoline Prices Adjust Asymmetrically?

The Price Forming Process in Energy Markets

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