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What is Cointegration

Chapter 11
Handbook of Research on Global Enterprise Operations and Opportunities
An econometric technique for testing the correlation between non-stationary time series variables.
Published in Chapter:
The Relationship Between Stock Prices and Exchange Rates: Evidence From MENA Countries
Oguzhan Aydemir (Namık Kemal University, Turkey) and Banu Demirhan (Afyon Kocatepe University, Turkey)
Copyright: © 2017 |Pages: 15
DOI: 10.4018/978-1-5225-2245-4.ch011
Abstract
The relationship and causality between stock prices and exchange rates has preoccupied the minds of economists, investors and policy makers for a long time. However, the relationship or the direction of causality between these two variables still remains unresolved in both theory and empirics. This study examines panel Granger causality relationship between stock price and exchange rate for selected six MENA countries (Bahrain, Lebanon, Morocco, Pakistan, Qatar, and Saudi Arabia) over the period of 2005:01 and 2013:12. Panel DOLS and FMOLS methods are used to estimate long-run coefficients. On the other hand, panel based error-correction model is used to perform causality analysis. The findings of FMOLS and DOLS methods indicate that the appreciation of local currency in Bahrain, Lebanon, Morocco, Pakistan and Qatar leads to a reduction in stock prices. Contrary, in Saudi Arabia, the appreciation of local currency increases stock prices. Panel Granger causality analysis shows that there is a unidirectional causality from exchange rate to stock prices in MENA countries.
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Chapter 99
Empirical Verification of the Performance Measurement System
Means that series have a common trend. If a pair of variables is cointegrated then it is likely that, they have a common factor and that one of the variables causes the other variable.
Published in Chapter: Empirical Verification of the Performance Measurement System; From: Advanced Methodologies and Technologies in Business Operations and Management
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Chapter 7
The Impact of Exchange Rate on Tourism Industry: The Case of Turkey
Is an econometric technique for testing the correlation between non-stationary time series variables.
Published in Chapter: The Impact of Exchange Rate on Tourism Industry: The Case of Turkey; From: Handbook of Research on Global Hospitality and Tourism Management
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Chapter 42
Artificial Intelligence Applications in Tourism
An econometric property of time series variables. If two or more series are themselves nonstationary, but a linear combination of them is stationary, then the series are said to be cointegrated.
Published in Chapter: Artificial Intelligence Applications in Tourism; From: Encyclopedia of Information Science and Technology, Second Edition
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Chapter 1
Re-Examining the Impact of Financial System on Economic Growth: New Evidence From Heterogeneous Regional Panels
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Chapter 4
The Relationship Among Military Expenditure, High Technological Product Exports, and Economic Growth: An Econometric Analysis for Selected Economies
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Chapter 21
Foreign Direct Investment, Financial Development and Economic Growth: The Case of Turkey
It refers to the econometric method used to estimate long-run relationships, based on the linear combination of two or more variables integrated of the same order.
Published in Chapter: Foreign Direct Investment, Financial Development and Economic Growth: The Case of Turkey; From: Handbook of Research on Strategic Developments and Regulatory Practice in Global Finance
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Chapter 7
Depression Rate, GDP Growth Rate, Health Expenditure, and Voice and Accountability: Are There Co-Movements?
It is an econometric tool applying in time series data sets for examining long run associations among the variables of concern. It is tested upon two or more variables which are non-stationary at levels but stationary at their first differences.
Published in Chapter: Depression Rate, GDP Growth Rate, Health Expenditure, and Voice and Accountability: Are There Co-Movements?; From: Multidimensional Perspectives and Global Analysis of Universal Health Coverage
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Chapter 15
Effect of Migration Fear on Sectors: Case of Developed European Markets
State’s long-term relationship between two variables that are stationary at the same level.
Published in Chapter: Effect of Migration Fear on Sectors: Case of Developed European Markets; From: Analytics, Operations, and Strategic Decision Making in the Public Sector
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Chapter 14
Stock Market Responses to Monetary and Fiscal Policies: Case Studing China, India, Indonesia, and Malaysia
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Chapter 18
Financial Infrastructure and Economic Growth
Cointegration is a statistical property possessed by some time series data that is defined by the concepts of stationarity and the order of integration of the series. A stationary series is one with a mean value which will not vary with the sampling period.
Published in Chapter: Financial Infrastructure and Economic Growth; From: Handbook of Research on Economic, Financial, and Industrial Impacts on Infrastructure Development
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Chapter 2
Dynamics of the Relation Between Producer and Consumer Price Indices: A Comparative Analysis in the U.S. Market
Cointegration is a statistical property about the relationship between a group of integrated series. If there is a linear combination of several I(d) series which results in an I(b) series where b<d , the series are cointegrated. For instance, when there are two I(1) series, while a linear combination of these series gives a stationary variable, then there is cointegration. This linear combination is generally normalized to one of the cointegrating variables to define the cointegration relation. The coefficients of the cointegration relation are included in a cointegrating vector.
Published in Chapter: Dynamics of the Relation Between Producer and Consumer Price Indices: A Comparative Analysis in the U.S. Market; From: Applied Econometric Analysis: Emerging Research and Opportunities
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Chapter 16
Environmental Policy and FDI Inflows: Evidence From OECD Countries
The method that is used to whether the dependent and independent variables move together in the long-run or not.
Published in Chapter: Environmental Policy and FDI Inflows: Evidence From OECD Countries; From: Handbook of Research on Energy and Environmental Finance 4.0
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Chapter 10
Analysis of Non-Stationary Time-Series Business Data
The notion that a linear combination of two I(1) variables is integrated of order zero.
Published in Chapter: Analysis of Non-Stationary Time-Series Business Data; From: Encyclopedia of Business Analytics and Optimization
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Chapter 5
The Impact of Foreign Direct Investment on CO2 Emission: Evidence From Selected G-20 Countries
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Chapter 13
International Portfolio Diversification Benefits among Developed and Emerging Markets within the Context of the Recent Global Financial Crisis
If two or more than two series have a linear combination with each other at the same time period, then these series are said to be cointegrated, implying some underlying long-term equilibrium relationship.
Published in Chapter: International Portfolio Diversification Benefits among Developed and Emerging Markets within the Context of the Recent Global Financial Crisis; From: Handbook of Research on Strategic Business Infrastructure Development and Contemporary Issues in Finance
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Chapter 11
Military Expenditures and Income Inequality: Empirical Evidence From North American Countries
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Chapter 1
The Role of Technological Development on Employment
Cointegration is a statistical technique developed to examine the relationship between two non-stationary series. If the linear combinations of two or more non-stationary series are stationary, these series can be said to be cointegrated.
Published in Chapter: The Role of Technological Development on Employment; From: Reskilling the Workforce for Technological Advancement
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Chapter 489
Empirical Verification of the Performance Measurement System
Means that series have a common trend. If a pair of variables is cointegrated then it is likely that, they have a common factor and that one of the variables causes the other variable.
Published in Chapter: Empirical Verification of the Performance Measurement System; From: Encyclopedia of Information Science and Technology, Fourth Edition
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