Does Weather Contribute to Stock Price Variation? A Cointegration Analysis

Cointegration Tests Under Multiple Regime Shifts: An Application to the Stock Price-Dividend Relationship

We examine the properties of several residual-based cointegration tests when long run parameters are subject to multiple shifts driven by an unobservable Markov process. Unlike earlier work, which considered one-o¤ deterministic breaks, our approach has the advantage of allowing for an unspeci…ed number of stochastic breaks. We illustrate this issue by exploring the possibility of Markov switch...

Price Integration in MERCOSUR Countries: A Fractional Cointegration Analysis

This paper examines price integration in the MERCOSUR countries of Argentina and Brazil after the creation of this regional economic agreement using a fractional cointegration analysis. The results suggest that Argentine wheat and corn prices are fully cointegrated with the corresponding world prices, whereas Brazilian wheat prices are not cointegrated with the world price. These results suppor...

Does PPP hold for Big Mac price or consumer price index? Evidence from panel cointegration

This paper examines the validity of purchasing power parity (PPP) using CPI and Big Mac prices. The benchmark model, i.e., the OLS method, which does not take nonstationarity into account, rejects the hypothesis of PPP regardless of prices used. We next use the panel cointegration method to consider the nonstationary nature of variables. Estimated results for CPI are mixed. The PPP is rejected ...

When does intraspecific trait variation contribute to functional betadiversity?

1. Intraspecific trait variation (ITV) is hypothesized to play an important role in community assembly and the maintenance of biodiversity. However, fundamental gaps remain in our understanding of how ITV contributes to mechanisms that create spatial variation in the functional-trait composition of communities (functional b-diversity). Importantly, ITV may influence the perceived importance of ...

QUADRATIC VARIATION, p-VARIATION AND INTEGRATION WITH APPLICATIONS TO STOCK PRICE MODELLING