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An Empirical Examination Of The Generalized Fisher Effect Using Cross-Sectional Correlation Robust Tests For Panel Cointegration

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dc.contributor.authorOmay, Tolga
dc.contributor.authorYüksel, Aslı
dc.contributor.authorYüksel, Aydın
dc.contributor.authorID19320tr_TR
dc.date.accessioned2020-05-11T13:30:41Z
dc.date.available2020-05-11T13:30:41Z
dc.date.issued2015
dc.departmentÇankaya Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, Bankacılık ve Finans Bölümüen_US
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. (C) 2014 Elsevier B.V. All rights reserved.en_US
dc.description.publishedMonth3
dc.identifier.citationOmay, Tolga; Yuksel, Asli; Yuksel, Aydin, "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, pp. 18-29, (2015).en_US
dc.identifier.doi10.1016/j.intfin.2014.12.007
dc.identifier.endpage29en_US
dc.identifier.issn1042-4431
dc.identifier.startpage18en_US
dc.identifier.urihttp://hdl.handle.net/20.500.12416/3691
dc.identifier.volume35en_US
dc.language.isoenen_US
dc.publisherElsevier Scienceen_US
dc.relation.ispartofJournal of International Financial Markets Institutions & Moneyen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_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.titleAn Empirical Examination Of The Generalized Fisher Effect Using Cross-Sectional Correlation Robust Tests For Panel Cointegrationtr_TR
dc.titleAn Empirical Examination of the Generalized Fisher Effect Using Cross-Sectional Correlation Robust Tests for Panel Cointegrationen_US
dc.typeArticleen_US
dspace.entity.typePublication

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