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

DOI10.1016/J.MATCOM.2008.01.013MaRDI QIDQ929682zbMATH OpenOpenAlexFDO

Authors 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

ADRscointegrationmarket shockprice transmission

Mathematics Subject Classification ID

Economic time series analysis (91B84)

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Cites work

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

Cited in

(4)

• Analysis of price differences between A and H shares
• Research in finance.
• Modelling the lead-lag effect between dual-class shares
• An empirical study on the threshold cointegration of Chinese A and H cross-listed shares

Describes a project that uses

Uses Software

• Microfit

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