TY - JOUR
T1 - Regime switching cointegration tests for the Asian stock index futures
T2 - evidence for MSCI Taiwan, Nikkei 225, Hong Kong Hang-Seng, and SGX straits times indices
AU - Chiang, Min Hsien
AU - Wang, Jo Yu
PY - 2008/2
Y1 - 2008/2
N2 - This study applies a cointegration system that considers regime shifts in order to study the long-run relationship between the stock index and stock index futures markets. The MSCI Taiwan, Nikkei 225, Hong Kong Hang-Seng, and Singapore Exchange (SGX) Straits Times indices are examined. The empirical evidence shows that the cointegration system with regime shifts performs better than the usual cointegration system without considering regime shifts.
AB - This study applies a cointegration system that considers regime shifts in order to study the long-run relationship between the stock index and stock index futures markets. The MSCI Taiwan, Nikkei 225, Hong Kong Hang-Seng, and Singapore Exchange (SGX) Straits Times indices are examined. The empirical evidence shows that the cointegration system with regime shifts performs better than the usual cointegration system without considering regime shifts.
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U2 - 10.1080/00036840500400251
DO - 10.1080/00036840500400251
M3 - Article
AN - SCOPUS:38549174178
SN - 0003-6846
VL - 40
SP - 285
EP - 293
JO - Applied Financial Economics
JF - Applied Financial Economics
IS - 3
ER -