The Comovement in Stock Price Indexes of Japan, United States, and China : Estimation of a Nonlinear Cointegration Model

• Asako Kazumi

  一橋大学

• Yan Zhang

• Liu Zhentao

  福岡女子大学

Bibliographic Information

Other Title

• 日米中株式市場の連動性 : 非線形共和分の検証
• ニチベイ チュウ カブシキ シジョウ ノ レンドウセイ : ヒセンケイ キョウワ ブン ノ ケンショウ

Abstract

This paper proposes and estimates a statistical model of nonlinear cointegration with applications to the stock markets of Japan, United States, and China. We define nonlinear cointegration as a long-run stable relationship between two time series variables even in the presence of temporary nonlinear divergence from this long-run relationship. More concretely, extending the bubble model of Asako and Liu (2013) to stock price ratio variables, both upward and downward divergent bubble processes are estimated at a time. We conclude that, although no pair of stock price series among the three is linearly cointegrated, they are considered to be cointegrated nonlinearly.

Journal

• 経済研究

  経済研究 65 (1), 56-85, 2014-01-27

  岩波書店

Details

• CRID: 1390572174821926016
• NII Article ID: 120005694709
• NII Book ID: AN00070761
• DOI: 10.15057/26670
• HANDLE: 10086/26670
• NDL BIB ID: 025169084
• ISSN: 00229733
• Web Site: https://ndlsearch.ndl.go.jp/books/R000000004-I025169084
• Text Lang: ja
• Data Source:
  • JaLC
  • IRDB
  • NDL
  • CiNii Articles
  • KAKEN
• Abstract License Flag: Allowed