Statistical testings for common stochastic trends in markets under recession
경기 침체기 시장의 공통확률추세 검정

Joong-Jae Cho, Seung-Eun Lee, Tae-Ho Kim
2016 Korean Journal of Applied Statistics  
A long-run relationship of stock, monetary, realty markets, and business conditions has been suggested to exist due to internal and external shocks. This study investigates whether such a relationship really exists and then performs statistical tests to discern features of the long-run adjustment processes from short-run discrepancies because it is difficult to find studies that examine the market relationship. The comovement relationship of the whole market does not appear to hold for the
more » ... o hold for the entire study period; however, it is found to exist for the period before the financial crisis. Estimated error correction models show consistently declining equilibrium errors each period that suggests a recovering process of the long-run equilibrium from short-run secessions.
doi:10.5351/kjas.2016.29.4.559 fatcat:6pbgo4bxszclxpnjgf64xccmka