Original Publication
Exploring the Cointegration Relation among Top Eight Asian Stock Markets
2020, January, Open Journal of Business and Management 08 (03), pp 1076-1088
KEYWORDS = Co-integration, Eigenvalue, Portfolio, Granger Causality
PUBLICATION, 6 AUTHORS :
- Muhammad Rizwanullah
- Lizhi Liang
- Xiuyuan Yu
- Jinan Zhou
- Muhammad Nasrullah
- Muhammad Uzair Ali
CCPR, ONLY YOU and CCPR
- Research Duplication = 2 seconds
- Research Improvement (100 World Wide Indexes, cover about 80 countries)= less than 1 minute
- Data: 8 representative index or stock for top 8 Asian countries
- Frequency/Period : Daily, 2000-2017
- Tests: Unit root (Augmented Dickey Fuller, Philip Perron), Co-integration (Johansen), Causality (Granger)
- Results: Causality test also shows the indication of short term relation
- Publication: 2020, publication-end of data > 2 years
Table 1: Data
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Table 3: Unit Root Tests
Original
By CCPR (Execution time = ADF+PP = 1 second)
Table 4: Cointegration Tests (Trace)
Original
By CCPR (Execution time = JOHANSEN/TRACE = 0.1 second)
Table 5: Cointegration Tests (Maximum Eighenvalue)
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By CCPR (Execution time = JOHANSEN/EIGEN= 0.1 second)
Table 6: Causality Tests (Granger)
Original
