Browsing by Subject "Cointegration analysis"
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Item Open Access Efficiency of the Turkish stock exchange with respect to monetary variables: a cointegration analysis(Elsevier BV, 1996) Muradoglu, Y. G.; Metin, K.In this study, we test the semistrong form of the efficient market hypothesis in Turkey by using the recently developed techniques in time series econometrics, namely unit roots and cointegration. The long run relationship between stock prices and inflation is investigated by assuming the possible existence of a proxy effect. Conclusions are made as to the efficiency of the Turkish Stock Exchange and its possible implications for investors. To our knowledge, this is among the pioneering studies conducted in an emerging market that uses an updated econometric methodology to allow for an analysis of long run steady state properties together with short run dynamics.Item Open Access Environment Kuznets curve for CO2 emissions: a cointegration analysis for China(Elsevier Ltd, 2009) Jalil, A.; Mahmud, S. F.This study examines the long-run relationship between carbon emissions and energy consumption, income and foreign trade in the case of China by employing time series data of 1975-2005. In particular the study aims at testing whether environmental Kuznets curve (EKC) relationship between CO2 emissions and per capita real GDP holds in the long run or not. Auto regressive distributed lag (ARDL) methodology is employed for empirical analysis. A quadratic relationship between income and CO2 emission has been found for the sample period, supporting EKC relationship. The results of Granger causality tests indicate one way causality runs through economic growth to CO2 emissions. The results of this study also indicate that the carbon emissions are mainly determined by income and energy consumption in the long run. Trade has a positive but statistically insignificant impact on CO2 emissions. © 2009 Elsevier Ltd. All rights reserved.