Figures & data
Table 1. Overview of empirical researches
Table 2. Descriptive statistics of compounded stock market returns
Table 3. Unit root tests: Augmented Dickey-Fuller (ADF), Phillips-Perron (PP) and Kwiatkowski, Phillips, Schmidt, and Shin (KPSS)
Table 4. Order selection
Table 5. Dynamic conditional correlation (DCC)
Table 6. Constant contional correlation (CCC)
Table 7. Varying conditional correlation (VCC)
Table 8. Dynamic conditional correlation (DCC)—DotCom
Table 9. Constant conditional correlation (CCC)—DotCom
Table 10. Varying conditional correlation (VCC)—DotCom
Table 11. Wald-test full sample
Table 12. Wald-test DotCom
Table 13. Dynamic conditional correlation—Full sample vs. DotCom
Figure 1. NASDAQ Composite and Compound Returns of NASDAQ 1990–2005.
Figure 2. American and European indices 1990–2005.
Figure 3. Phillips et al. (Citation2013) critcial values.
Figure 4. Normalized stock market indices.
Figure 5. All stock market indices.
Figure 6. Stock market returns.
Figure 7. Scatter plot every indices against each other.
Table 14. Constant conditional correlation: Full sample vs. DotCom
Table 15. Varying conditional correlation (VCC): Full sample vs. DotCom
Figure 8. Estimated dynamic correlation coefficients.
Figure 9. Conditional variances of the returns.
Figure 10. Estimated dynamic correlation coefficients DotCom.
Figure 11. Conditional variances of returns DotCom.
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