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Applied Economics Letters Volume 25, 2018 - Issue 10
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Original Articles

Cointegration networks in stock markets

Vikkram SinghDepartment of Accounting, Finance and Economics, Griffith Business School, Griffith University, Brisbane, AustraliaCorrespondence[email protected]
ORCID Iconhttp://orcid.org/0000-0002-8024-101X
ORCID Icon,
Eduardo RocaDepartment of Accounting, Finance and Economics, Griffith Business School, Griffith University, Brisbane, Australia
&
Bin LiDepartment of Accounting, Finance and Economics, Griffith Business School, Griffith University, Brisbane, AustraliaORCID Iconhttp://orcid.org/0000-0001-7588-9623
ORCID Icon
Pages 663-667 | Published online: 19 Jul 2017

References

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  • Engle, R., and C. Granger. 2003. “Time-Series Econometrics: Cointegration and Autoregressive Conditional Heteroskedasticity.” In Advanced Information on the Bank of Sweden Prize in Economic Sciences in Memory of Alfred Nobel, Stockholm, 1–30.
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  • MacKinnon, J. G. 2010. “Critical Values for Co-Integration Tests.” Queen’s Economics Department Working Paper 1227, Queens University, Kingston.
  • Roy, R. B., and U. K. Sarkar. 2011. “Identifying Influential Stock Indices from Global Stock Markets: A Social Network Analysis Approach.” Procedia Computer Science 5: 442–449. doi:10.1016/j.procs.2011.07.057.
  • Siklos, P. L., and P. Ng. 2001. “Integration among Asia-Pacific and International Stock Markets: Common Stochastic Trends and Regime Shifts.” Pacific Economic Review 6: 89–110. doi:10.1111/per.2001.6.issue-1.
  • Yang, C., Y. Chen, L. Niu, and Q. Li. 2014. “Cointegration Analysis and Influence rank—A Network Approach to Global Stock Markets.” Physica A: Statistical Mechanics and Its Applications 400: 168–185. doi:10.1016/j.physa.2014.01.011.

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