The volatility and log-price collective movements among stocks of a given market are studied in this work using co-movement functions inspired by similar the physics many-body systems, where motions signal structural rearrangement. This methodology is aimed to identify cause coherent changes or price. function calculated product variations (or price) pair stocks, averaged over all particles. In...

this paper employs a multivariate dynamic conditional correlation garch model, which is developed by engle (2001, 2002), to detect the timing and nature of changes in the comovement between iranian output and prices for the periods after iran–iraq war , known as imposed war . the results showed that there is a weak correlation between output and prices after imposed war and  varies periodically...

We revisit the association between trade and GDP comovement for 135 countries from 1970 to 2009. Guided by a simple theory, we introduce two notions of linkages: (i) usual direct bilateral index (ii) new indexes common exposure third capturing role similarity in networks. Both measures are economically statistically associated with correlation, suggesting an additional channel through which flu...

the focal objective of this study is to analyze and explore the co-movement of pakistan stock market (kse-100) with the stock market of developed countries (us, uk, canada, australia, germany, japan, france and neither land) which have portfolio investment in pakistan by applying co-integration approach using johansen and juselius multivariate and bi variate co-integration. secondary data of st...