Show simple item record

dc.contributor.authorOmay, Tolgaen_US
dc.contributor.authorYüksel, Aslıen_US
dc.contributor.authorYüksel, Sadettin Aydınen_US
dc.date.accessioned2015-07-14T11:00:05Z
dc.date.available2015-07-14T11:00:05Z
dc.date.issued2015-03
dc.identifier.citationOmay, T., & Yuksel, 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.2014.12.007en_US
dc.identifier.issn1042-4431
dc.identifier.otherWOS:000351083400002
dc.identifier.urihttps://hdl.handle.net/11729/573
dc.identifier.urihttp://dx.doi.org/10.1016/j.intfin.2014.12.007
dc.description.abstractThis 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.isoengen_US
dc.publisherELSEVIER SCIENCE BVen_US
dc.relation.isversionof10.1016/j.intfin.2014.12.007
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.sourceJournal Of International Financial Markets Institutions & Moneyen_US
dc.subjectFisher hypothesisen_US
dc.subjectLinear and nonlinear panel cointegrationen_US
dc.subjectCross-section dependenceen_US
dc.subjectCommon correlated effectsen_US
dc.subjectBootstrapen_US
dc.subjectTransition autoregressive modelsen_US
dc.subjectUnit-rooten_US
dc.subjectHeterogeneous panelsen_US
dc.subjectError-Correctionen_US
dc.subjectStock returnsen_US
dc.subjectInflationen_US
dc.subjectSpecificationen_US
dc.subjectInferenceen_US
dc.titleAn empirical examination of the generalized Fisher effect using cross-sectional correlation robust tests for panel cointegrationen_US
dc.typearticleen_US
dc.description.versionPublisher's Versionen_US
dc.description.versionAuthor Pre-Printen_US
dc.contributor.departmentIşık Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İşletme Bölümüen_US
dc.contributor.departmentIşık University, Faculty of Economics and Administrative Sciences, Department of Managementen_US
dc.contributor.authorIDTR19320
dc.contributor.authorIDTR110028
dc.contributor.authorIDTR37770
dc.identifier.volume35
dc.identifier.startpage18
dc.identifier.endpage29
dc.peerreviewedYesen_US
dc.publicationstatusPublisheden_US
dc.relation.publicationcategoryBelirsizen_US
dc.contributor.institutionauthorYüksel, Sadettin Aydın


Files in this item

Thumbnail
Thumbnail

This item appears in the following Collection(s)

Show simple item record