Cointegration and Causality Analysis on Developed Asian Markets for Risk Management and Portfolio Selection

Cointegration and Causality Analysis on Developed Asian Markets for Risk Management and Portfolio Selection

Both practitioners and academics demand a linkage model across financial markets, particularly among regional capital markets, for both risk management and portfolio selection purposes. Researchers frequently use cointegration and causality analysis in investigating the dependence or co-movement of...

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Bibliographic Details
Main Authors: Aldrin Herwany, Erie Febrian
Format: Article
Language:English
Published: Universitas Gadjah Mada 2008-09-01
Series:Gadjah Mada International Journal of Business
Subjects:
Asian Stock Markets
causality
cointegration
portfolio selection
risk management
Online Access:https://jurnal.ugm.ac.id/gamaijb/article/view/5558

Internet

https://jurnal.ugm.ac.id/gamaijb/article/view/5558

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