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An Empirical Examination Of The Generalized Fisher Effect Using Cross-Sectional Correlation Robust Tests For Panel Cointegration

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dc.contributor.author Omay, Tolga
dc.contributor.author Yüksel, Aslı
dc.contributor.author Yüksel, Aydın
dc.date.accessioned 2020-05-11T13:30:41Z
dc.date.available 2020-05-11T13:30:41Z
dc.date.issued 2015-03
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). tr_TR
dc.identifier.issn 1042-4431
dc.identifier.uri http://hdl.handle.net/20.500.12416/3691
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. tr_TR
dc.language.iso eng tr_TR
dc.publisher Elsevier Science tr_TR
dc.relation.isversionof 10.1016/j.intfin.2014.12.007 tr_TR
dc.rights info:eu-repo/semantics/closedAccess tr_TR
dc.subject Fisher Hypothesis tr_TR
dc.subject Linear and Nonlinear Panel Cointegration tr_TR
dc.subject Cross-Section Dependence tr_TR
dc.subject Common Correlated Effects tr_TR
dc.subject Bootstrap tr_TR
dc.title An Empirical Examination Of The Generalized Fisher Effect Using Cross-Sectional Correlation Robust Tests For Panel Cointegration tr_TR
dc.type article tr_TR
dc.relation.journal Journal of International Financial Markets Institutions & Money tr_TR
dc.contributor.authorID 19320 tr_TR
dc.identifier.volume 35 tr_TR
dc.identifier.startpage 18 tr_TR
dc.identifier.endpage 29 tr_TR
dc.contributor.department Çankaya Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, Bankacılık ve Finans Bölümü tr_TR


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