Using the theoretical framework of International Portfolio Diversification (IPD), study explores long-run relationship between Pakistan Stock Exchange (PSX) and world's six leading stock exchanges Canada, China, France, Japan, United Kingdom, States. These markets are represented by indices such as KSE-100 index (Pakistan), TSX (Canada), SSE Composite (China), CAC-40 Index (France), Nikkie-225 ...

We showcase the impact of Katarina Juselius and Søren Johansen’s contribution to econometrics using bibliometric data on citations from 1989 2017, extracted Web Science (WoS) database. Our purpose is analyze KJ SJ’s ideas applied methodological research in econometrics. To this aim, starting WoS data, we derived two composite indices whose disentangle authors’ their research. As number citing p...

members of the ECB Monetary Policy Committee (in particular, Tuomas Saarenheimo who acted as discussant) for a number of interesting suggestions. We are also grateful to K. Juselius for a helpful discussion. The opinions expressed herein are those of the authors and do not necessarily represent those of the European Central Bank, the Banco de España or the Eurosystem. Fax +49 69 1344 6000 Telex...

Many studies have estimated the aggregate import demand function for Pakistan by using non-stationary data. Their findings suffer from the so-called ‘spurious regression’ problem. This study attempts to estimate the aggregate import demand function for Pakistan by employing Johansen and Juselius cointegration technique on the annual data for the period 1975-2005. Our results show that there is ...

This research uses multivariate cointegration analysis to assess the degree . of competition in the U.S. natural gas industry following the move to open access pipeline transportation. The testing methodology allows multiple nodes in the pipeline network to be analyzed simultaneously and is based on recent advances by Johansen (1988, 1991) and Johansen and Juselius (1990) on estimation and hypo...

This study researches the causal relationship between exchange rates and stock prices during pre and post financial crisis in Viet Nam, based on the collected daily data from 2005 to 2015. The paper investigates the long-run relationship between above-mentioned two variables using Johansen and Juselius (1990) co-integration test and short run dynamic causal relationships by using Toda and Yamam...

Price discovery function analyses the dynamics of futures and spot price behavior in an asset’s intertemporal dimensions. The present study examines bullion, metal, energy commodity prices through Granger causality Johansen–Juselius cointegration tests. test results show bidirectional between returns for gold, silver, aluminum, lead, nickel, zinc. Johansen shows that are long-run equilibrium pa...