An Empirical Examination of the Generalized Fisher Effect Using Cross-Sectional Correlation Robust Tests for Panel Cointegration
| dc.contributor.author | Yuksel, Aydin | |
| dc.contributor.author | Omay, Tolga | |
| dc.contributor.author | Yuksel, Asli | |
| dc.date.accessioned | 2020-05-11T13:30:41Z | |
| dc.date.accessioned | 2025-09-18T12:05:09Z | |
| dc.date.available | 2020-05-11T13:30:41Z | |
| dc.date.available | 2025-09-18T12:05:09Z | |
| dc.date.issued | 2015 | |
| dc.description | Yuksel, Aydin/0000-0001-9428-0426 | en_US |
| 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. (C) 2014 Elsevier B.V. All rights reserved. | en_US |
| dc.identifier.citation | Omay, 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.doi | 10.1016/j.intfin.2014.12.007 | |
| dc.identifier.issn | 1042-4431 | |
| dc.identifier.scopus | 2-s2.0-84961290373 | |
| dc.identifier.uri | https://doi.org/10.1016/j.intfin.2014.12.007 | |
| dc.identifier.uri | https://hdl.handle.net/20.500.12416/10536 | |
| dc.language.iso | en | en_US |
| dc.publisher | Elsevier Science Bv | en_US |
| dc.relation.ispartof | Journal of International Financial Markets, Institutions and Money | |
| dc.rights | info:eu-repo/semantics/openAccess | 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.title | An Empirical Examination of the Generalized Fisher Effect Using Cross-Sectional Correlation Robust Tests for Panel Cointegration | en_US |
| dc.title | An Empirical Examination Of The Generalized Fisher Effect Using Cross-Sectional Correlation Robust Tests For Panel Cointegration | tr_TR |
| dc.type | Article | en_US |
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| gdc.author.id | Yuksel, Aydin/0000-0001-9428-0426 | |
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| gdc.author.wosid | Yuksel, Aydin/D-1694-2019 | |
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| gdc.description.department | Çankaya University | en_US |
| gdc.description.departmenttemp | [Omay, Tolga] Cankaya Univ, Dept Banking & Finance, Ankara, Turkey; [Yuksel, Asli] Bahcesehir Univ, Dept Management, Istanbul, Turkey; [Yuksel, Aydin] Isik Univ, Dept Management, Istanbul, Turkey | en_US |
| gdc.description.endpage | 29 | en_US |
| gdc.description.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | en_US |
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| gdc.description.startpage | 18 | en_US |
| gdc.description.volume | 35 | en_US |
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| gdc.oaire.keywords | Transition autoregressive models | |
| gdc.oaire.keywords | Heterogeneous panels | |
| gdc.oaire.keywords | Fisher hypothesis | |
| gdc.oaire.keywords | Inflation | |
| gdc.oaire.keywords | Bootstrap | |
| gdc.oaire.keywords | Stock returns | |
| gdc.oaire.keywords | Inference | |
| gdc.oaire.keywords | Cross-section dependence | |
| gdc.oaire.keywords | Common correlated effects | |
| gdc.oaire.keywords | Linear and nonlinear panel cointegration | |
| gdc.oaire.keywords | Specification | |
| gdc.oaire.keywords | Error-Correction | |
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| gdc.virtual.author | Omay, Tolga | |
| gdc.virtual.author | Yüksel, Aslı | |
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