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• W3123049736 abstract "I. INTRODUCTION In the last two decades, economists developed a number of tools examine whether economic variables trend together in ways predicted by theory, most notably cointegration tests. Cointegration methods been very popular tools in applied economic work since their introduction about twenty years ago. However, the strict unit-root assumption that these methods typically rely upon is often not easy justify on economic or theoretical grounds. The multivariate testing procedure of Johansen (1988, 1991) has become a popular method of testing for cointegration of the I(1)/I(0) variety, where I(1) and I(0) stand for integration of orders one and zero, respectively. In the Johansen methodology, series are pre-tested for unit roots. The series that appear unit roots are put into a vector auto regression from which one can test for the existence of one or more I(0) linear combinations. Cointegration methodology has been extensively used as a convenient way of testing for the weak-form of asset market efficiency, which states that no asset price should be forecastable from the prices of other assets The Johansen (1988) method of testing for the existence of cointegrating relationships has become standard in the econometrics literature. Since unit-root tests very limited power distinguish between a unit-root and a close alternative, the pure unit-root assumption is typically based on convenience rather than on strong theoretical or empirical facts. This has led many economists and econometricians believe near-integrated processes. Near-integrated and integrated time series implications for estimation and inference that are similar in many respects. Cointegration, however, simply requires that cointegrating linear combinations lower orders of integration than their parent series Granger (1986). Granger and Joyeux (1980) and Hosking (1981), where continuous orders of integration from the real line are considered, the case where there exists an I(d - b) linear combination of two or more I(d) series are known as fractional cointegration. The cointegration approach is one of the recent methodologies employed identify the determinants of profitability in banking. It enables the estimation of a relationship among non-stationary variables by revealing the long-run equilibrium relationship among the variables. This paper will help banks' stakeholders especially the managers and regulatory authorities improve the sector soundness by boosting the impact of positive factors and lessening the impact of the negative factors. A good econometric practice always includes tests on the cointegrating vectors establish whether relevant restrictions are rejected or not. If such restrictions are not tested, a non-zero cointegrating rank might mistakenly be taken as evidence in favour of cointegration between variables. This is particularly relevant when there are strong prior opinions regarding which variables have to be in the cointegrating relationship. Unit root tests are performed on unvariate time series in order test the order or integration. If individual time series are found be integrated of same order after the unit root tests, then these variables may be cointegrated. Cointegration deals with relationships among the group of variables where each has a unit root. Application of cointegration test in the estimation of money demand were analyzed by Johansen and Juselius (1990) and Dickey, Thansen and Thornton (1991). The paper has been divided into five sections. Section II gives the information about the background. Section III gives the brief overview of the Baltic markets. Section IV will give a complete description about the methodologies of the various tests performed in this paper, and Section V contains the empirical results. Finally, Section VI concludes with a short summary. II. MOTIVATION AND BACKGROUND The world of finance has undergone major changes over the last three decades. …" @default.
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• W3123049736 date "2010-01-01" @default.
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• W3123049736 title "Cointegration of Baltic Stock Markets in the Financial Tsunami: Empirical Evidence" @default.
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