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Asymmetric price transmission within the Portuguese stock market

Author

Listed:
  • Menezes, Rui
  • Dionisio, Andreia
  • Mendes, Diana A.

Abstract

This paper uses threshold autoregressive (TAR) and momentum threshold autoregressive (M-TAR) models to address the problem of asymmetry within the Portuguese stock market. These asymmetric error correction models extend the original cointegration models to deal with the problem of low power of unit roots and cointegration tests in the presence of asymmetric adjustment.

Suggested Citation

  • Menezes, Rui & Dionisio, Andreia & Mendes, Diana A., 2004. "Asymmetric price transmission within the Portuguese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 344(1), pages 312-316.
    • Handle: RePEc:eee:phsmap:v:344:y:2004:i:1:p:312-316
    DOI: 10.1016/j.physa.2004.06.141
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    Citations

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    Cited by:

    1. Tsagkanos, Athanasios & Siriopoulos, Costas, 2015. "Stock markets and industrial production in north and south of Euro-zone: Asymmetric effects via threshold cointegration approach," The Journal of Economic Asymmetries, Elsevier, vol. 12(2), pages 162-172.
    2. Yu-Shao Liu & Chi-Wei Su, 2010. "The relationship between the real estate and stock markets of China: evidence from a nonlinear model," Applied Financial Economics, Taylor & Francis Journals, vol. 20(22), pages 1741-1749.
    3. Zouheir Mighri & Faysal Mansouri, 2016. "Asymmetric price transmission within the Argentinean stock market: an asymmetric threshold cointegration approach," Empirical Economics, Springer, vol. 51(3), pages 1115-1149, November.
    4. Mallick, Lingaraj & Behera, Smruti Ranjan & Murthy, R.V. Ramana, 2021. "Does the twin deficit hypothesis exist in India? Empirical evidence from an asymmetric non-linear cointegration approach," The Journal of Economic Asymmetries, Elsevier, vol. 24(C).
    5. Rui Menezes, 2013. "Globalization and Granger Causality in International Stock Markets," International Journal of Finance, Insurance and Risk Management, International Journal of Finance, Insurance and Risk Management, vol. 3(1), pages 413-413.

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