dc.contributor.author | Omay, Tolga | en_US |
dc.contributor.author | Yüksel, Aslı | en_US |
dc.contributor.author | Yüksel, Sadettin Aydın | en_US |
dc.date.accessioned | 2015-07-14T11:00:05Z | |
dc.date.available | 2015-07-14T11:00:05Z | |
dc.date.issued | 2015-03 | |
dc.identifier.citation | Yüksel, S. A., Omay, T. & Yüksel, A. (2015). An empirical examination of the generalized fisher effect using cross-sectional correlation robust tests for panel cointegration. Journal Of International Financial Markets Institutions & Money, 35, 18-29. doi:10.1016/j.intfin.2014.12.007 | en_US |
dc.identifier.issn | 1042-4431 | |
dc.identifier.uri | https://hdl.handle.net/11729/573 | |
dc.identifier.uri | http://dx.doi.org/10.1016/j.intfin.2014.12.007 | |
dc.description.abstract | This study examines the generalized Fisher hypothesis as applied to common stocks by using the recently proposed second generation panel cointegration tests. Unlike their predecessors, these new tests assume the existence of cross-section dependence in the data. For the sample analyzed, we report that these new tests, but not their predecessors, provide strong support for the existence of cointegration between stock and goods prices. Moreover, further analysis cannot reject the hypothesis that the cointegration relation is linear. Finally, our Fisher coefficient estimates are in the range between 0.68 and 1.27 and give support to the generalized Fisher hypothesis. | en_US |
dc.language.iso | eng | en_US |
dc.publisher | Elsevier Science BV | en_US |
dc.relation.isversionof | 10.1016/j.intfin.2014.12.007 | |
dc.rights | info:eu-repo/semantics/closedAccess | en_US |
dc.subject | Fisher hypothesis | en_US |
dc.subject | Linear and nonlinear panel cointegration | en_US |
dc.subject | Cross-section dependence | en_US |
dc.subject | Common correlated effects | en_US |
dc.subject | Bootstrap | en_US |
dc.subject | Transition autoregressive models | en_US |
dc.subject | Unit-root | en_US |
dc.subject | Heterogeneous panels | en_US |
dc.subject | Error-Correction | en_US |
dc.subject | Stock returns | en_US |
dc.subject | Inflation | en_US |
dc.subject | Specification | en_US |
dc.subject | Inference | en_US |
dc.title | An empirical examination of the generalized Fisher effect using cross-sectional correlation robust tests for panel cointegration | en_US |
dc.type | article | en_US |
dc.description.version | Publisher's Version | en_US |
dc.description.version | Author Pre-Print | en_US |
dc.relation.journal | Journal of International Financial Markets, Institutions and Money | en_US |
dc.contributor.department | Işık Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İşletme Bölümü | en_US |
dc.contributor.department | Işık University, Faculty of Economics and Administrative Sciences, Department of Management | en_US |
dc.contributor.authorID | 0000-0001-9428-0426 | |
dc.identifier.volume | 35 | |
dc.identifier.startpage | 18 | |
dc.identifier.endpage | 29 | |
dc.peerreviewed | Yes | en_US |
dc.publicationstatus | Published | en_US |
dc.relation.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | en_US |
dc.contributor.institutionauthor | Yüksel, Sadettin Aydın | en_US |
dc.relation.index | WOS | en_US |
dc.relation.index | Scopus | en_US |
dc.relation.index | Social Sciences Citation Index (SSCI) | en_US |
dc.description.quality | Q1 | |
dc.description.wosid | WOS:000351083400002 | |