A cointegration analysis of price transmission between ADRs and dually listed South Korean stocks

DOI10.1016/j.matcom.2008.01.013zbMath1153.91797OpenAlexW1981054081MaRDI QIDQ929682

Lee K. Lim

Publication date: 18 June 2008

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2008.01.013

zbMATH Keywords

cointegrationADRsmarket shockprice transmission

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Related Items (1)

An empirical study on the threshold cointegration of Chinese A and H cross-listed shares

Uses Software

• Microfit

Cites Work

• Statistical analysis of cointegration vectors
• Testing for a unit root in time series regression
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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