Modeling threshold effects in stock price co-movements: a vector nonlinear cointegration approach

References

Anderson, H. M. 1997. “Transaction Costs and Nonlinear Adjustment Towards Equilibrium in The US Treasury Bill Markets.” Oxford Bulletin of Economics and Statistics 59: 465–484.10.1111/1468-0084.00078Search in Google Scholar

Anderson, R. I., Y.-C. Chen, and L.-M. Wang. 2015. “A Range-Based Volatility Approach to Measuring Volatility Contagion in Securitized Real Estate Markets.” Economic Modelling 45: 223–235.10.1016/j.econmod.2014.10.058Search in Google Scholar

Arouri, M. H., and F. Jawadi. 2007. “Co-Mouvement des Marchés Boursiers des Pays Emergents: Intégration ou Contagion?” Brussels Economic Review 50: 315–333.Search in Google Scholar

Artus, P. 1995. “Les Taux d’intérêt en Europe et aux Etats-Unis Peuvent-Ils S’écarter?” Finance 16: 7–23.Search in Google Scholar

Balke, N. S., and T. B. Fomby. 1997. “Threshold Cointegration.” International Economic Review 38: 627–645.10.2307/2527284Search in Google Scholar

Beine, M., G. Capelle-Blancard, and H. Raymond. 2008. “International Nonlinear Causality Between Stock Markets.” European Journal of Finance 14: 663–686.10.1080/13518470802042112Search in Google Scholar

Bekaert, G., and C. R. Harvey.1995. “Time-Varying World Market Integration.” Journal of Finance 50: 403–444.10.3386/w4843Search in Google Scholar

Boswijk, H. P., C. H. Hommes, and S. Manzan. 2007. “Behavioral Heterogeneity in Stock Prices.” Journal of Economic Dynamics and Control 1: 1938–1970.10.1016/j.jedc.2007.01.001Search in Google Scholar

Campbell, J. Y., S. J. Grossman, and J. Wang. 1993.” Trading Volume and Serial Correlation in Stock Returns.” Quarterly Journal of Economics 108: 905–939.10.3386/w4193Search in Google Scholar

Caner, M., and B. E. Hansen. 2001. “Threshold Autoregression with a Unit Root.” Econometrica 69: 1555–1596.10.1111/1468-0262.00257Search in Google Scholar

Chlibi, S., F. Jawadi, and M. Sellami. 2016. “Analyzing Heterogeneous Stock Price Comovements through Hybrid Approaches.” Open Economies Review 27: 541–559.10.1007/s11079-015-9381-9Search in Google Scholar

Dufrénot, G., and V. Mignon. 2002. “La Cointégration Non Linéaire: Une Note Méthodologique.” Economie et prévision 4: 117–137.Search in Google Scholar

Dumas, B. 1992. “Dynamic Equilibrium and the Real Exchange Rate in a Spatially Separated World.” Review of Financial Studies 5: 153–180.10.1093/rfs/5.2.153Search in Google Scholar

Enders, W., and C. W. J. Granger. 1998, “Unit-Root Tests and Asymmetric Adjustment With an Example Using the Term Structure of Interest Rates.” Journal of Business and Economic Statistics 16: 304–311.10.1080/07350015.1998.10524769Search in Google Scholar

Enders, W., and P. L. Siklos. 1999. “Cointegration and Threshold Adjustment.” Journal of Business and Economic Statistics 19: 166–177.10.1198/073500101316970395Search in Google Scholar

Engle, R. F., and C. W. Granger. 1987. “Cointegration and Error Correction: Representation. Estimation and Testing.” Econometrica 55: 251–276.10.2307/1913236Search in Google Scholar

Fan, G.-Z., Z. Huszár, and W. Zhang. 2013. “The Relationships between Real Estate Price and Expected Financial Asset Risk and Return: Theory and Empirical Evidence.” Journal of Real Estate Finance and Economics 46: 568–595.10.1007/s11146-012-9376-xSearch in Google Scholar

Gatfaoui, H. 2013. “Translating Financial Integration into Correlation Risk: A Weekly Reporting’s Viewpoint for the Volatility Behavior of Stock Markets.” Economic Modelling 30: 776–791.10.1016/j.econmod.2012.09.043Search in Google Scholar

Girardin, E., and Z. Liu. 2007. “The Financial Integration of China: New Evidence on Temporally Aggregated Data for the A-Share Market.” China Economic Review 18: 354–371.10.1016/j.chieco.2007.02.009Search in Google Scholar

Granger, C. W. J., and P. Newbold. 1974. “Spurious Regressions in Econometrics.” Journal of Econometrics 2: 111–120.10.1016/0304-4076(74)90034-7Search in Google Scholar

Guègan, D. 1994. Séries Chronologiques Non Linéaires À Temps Discret. Economica Edition. 57: 357–384. Statistique mathématique et probabilité halshs-00196420, version 1, Paris, FranceSearch in Google Scholar

Hansen, B. E. 1996. “Inference When a Nuisance Parameter is not Identified under the Null Hypothesis.” Econometrica 64: 413–430.10.2307/2171789Search in Google Scholar

Hansen, B. E., and B. Seo. 2002. “Testing For Two-Regime Threshold Cointegration in Vector Error Correction Models.” Journal of Econometrics 110: 293–318.10.1016/S0304-4076(02)00097-0Search in Google Scholar

Hiemstra, C., and J. D. Jones. 1994. “Testing for Linear and Nonlinear Granger Causality in the Stock Price-Volume Relation.” Journal of Finance 49: 1639–1664.Search in Google Scholar

Jawadi, F. 2006. Ajustements Non-Linéaires des Cours Boursiers Dans les Pays Du G7: Essai de Modélisation. PhD thesis. Université de Paris 10-Nanterre.Search in Google Scholar

Jawadi, F. 2009. “Threshold Stock Price Adjustment.” Advances in Econometrics 24: 183–198.10.1108/S0731-9053(2009)0000024011Search in Google Scholar

Jawadi, F., and Y. Koubbaa. 2007. “Dynamique Non-Linéaire des Marchés Boursiers du G7: Une Application des Modèles STAR.” Finance 28: 29–74.10.3917/fina.281.0029Search in Google Scholar

Jawadi, F., and G. Prat. 2012. “Arbitrage Costs and Nonlinear Stock Price adjustment in the G7 Countries.” Applied Economics 44: 1561–1582.10.1080/00036846.2010.543085Search in Google Scholar

Jawadi, F., and G. Prat. 2015. “Equity Prices and Fundamentals: A DDM-APT Mixed Approch.” EconomiX Working Paper, University of Paris West-Nanterre la Défense.Search in Google Scholar

Jawadi, F., M. H. Arouri, and N. Million. 2009. “Stock Market Integration in the Latin American Markets: Further Evidence from Nonlinear Modeling.” Economics Bulletin 29: 162–168.Search in Google Scholar

Jawadi, F., M. H. Arouri, and D. K. Nguyen. 2010a. “Stock Market Integration in the EURO Area: Segmentation or Linear Modelling Misspecification?” International Journal of Business 15: 307–317.Search in Google Scholar

Jawadi, F., M. H. Arouri, and D. K. Nguyen. 2010b. “Efficiency and Threshold Stock Price Adjustment: The American Stock Market Case.” Bankers, Markets and Investors 105: 39–46.Search in Google Scholar

Jawadi, F., M. H. Arouri, and D. K. Nguyen. 2010c. “Stock Market Integration in Mexico and Argentina: Are Short and Long-term Considerations Different?” Applied Economics Letters 17: 1503–1507.10.1080/13504850903035899Search in Google Scholar

Johansen, S. 1988. “Statistical Analysis of Cointegration Vectors.” Journal of Economic Dynamics and Control 12: 231–254.10.1016/0165-1889(88)90041-3Search in Google Scholar

Johnson, R., and L. Soenen. 2003. “Indicators of successful companies.” European Management Journal 21: 364–369.10.1016/S0263-2373(03)00050-1Search in Google Scholar

Krishnakumar, J and D. Neto. 2009. “Estimation and Testing for the Cointegration Rank in a Threshold Cointegrated System.” Cahiers du département d’économétrie Faculté des sciences économiques et sociales Université de Genève No.01, Geneva, Switzerland.Search in Google Scholar

Kristensen, D and A. Rahbek. 2011. “Likelihood-Based Inference for Cointegration with Nonlinear Error-Correction.” Journal of Econometrics 158: 78–94.10.1016/j.jeconom.2010.03.010Search in Google Scholar

Kristensen, D and A. Rahbek. 2013. “Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models.” Econometric Theory 29: 1238–1288.10.1017/S0266466613000054Search in Google Scholar

Li, X.-M. 2006. “A Revisit of International Stock Market Linkages: New Evidence from Rank Tests for Nonlinear Cointegration.” Scottish Journal of Political Economy 53: 174–197.10.1111/j.1467-9485.2006.00375.xSearch in Google Scholar

Liu, Y. 2001. “Modelling Mortgage Rate Changes with a Smooth Transition Error Correction Model.” Working Paper, No 23. Bank of Canada.Search in Google Scholar

Lo, M. C., and E. Zivot. 2001. “Threshold Cointegration and Nonlinear Adjustment to the Law of One Price.” Macroeconomic Dynamics 5: 533–576.10.1017/S1365100501023057Search in Google Scholar

Martins, L. F., and V. J. Gabriel. 2014. “Modelling Long Run Comovements in Equity Markets: A Flexible Approach.” Journal of Banking and Finance 47: 288–295.10.1016/j.jbankfin.2014.05.029Search in Google Scholar

Michael, P., D. A. Peel, and M. P. Taylor. 1997. “Ajustement non linéaire vers le taux de change d’équilibre- le modèle monétaire revisité.” Revue économique 48: 653–659.10.2307/3502850Search in Google Scholar

Răileanu-Szeles, M., and L. Albu. 2015. Nonlinearities and Divergences In The Process Of European Financial Integration.” Economic Modelling 46: 416–425.10.1016/j.econmod.2014.11.029Search in Google Scholar

Seo, M. 2006. “Bootstrap Testing for the Null of No Cointegration in a Threshold Vector Error Correction Model.” Journal of Econometrics 134: 129–150.10.1016/j.jeconom.2005.06.018Search in Google Scholar

Seo, M. H. 2011. “Estimation of Nonlinear Error Correction Models.” Econometric Theory 27:201–234.10.1017/S026646661000023XSearch in Google Scholar

Seo, M. H., and O. Linton. 2007. “A Smoothed Least Squares Estimator for Threshold Regression Models.” Journal of Econometrics 141: 704–735.10.1016/j.jeconom.2006.11.002Search in Google Scholar

Soofi, A. S., Z. Li, and X. Hui. 2012. “Nonlinear Interdependence of the Chinese Stock Markets.” Quantitative Finance 12: 397–410.10.1080/14697688.2010.541488Search in Google Scholar

Taylor, A. M. 2001. “Potential Pitfalls for the Purchasing-Power-Parity Puzzle? Sampling and Specification Biases in Mean-Reversion Tests of the Law of One Price.” Econometrica 69: 473–498.10.3386/w7577Search in Google Scholar

Taylor, M. P., and D. A. Peel. 2000. “Nonlinear Adjustment, Long-Run Equilibrium And Exchange Rate Fundamentals.” Journal of International Money and Finance 19: 33–54.10.1016/S0261-5606(99)00044-3Search in Google Scholar

Teräsvirta, T., and Y. Yang. 2014, “Linearity and Misspecification Tests for Vector Smooth Transition Regression Models.” Research Papers, CREATES, Aarhus University.Search in Google Scholar

Tong, H. 1983. Threshold Models in Non-Linear Time Series Analysis. New York: Springer.10.1007/978-1-4684-7888-4Search in Google Scholar

Tsay, R. S. 1989. “Testing and modeling threshold autoregressive processes.” Journal of the American Statistical Association 84: 231–240.10.1080/01621459.1989.10478760Search in Google Scholar

Zhou, Z. 2013. “Heteroscedasticity and Autocorrelation Robust Structural Change Detection.” Journal of the American Statistical Association 108: 502, 726–740.10.1080/01621459.2013.787184Search in Google Scholar