United we stand, divided we fall: A PANICCA test evidence for stock exchanges in OECD

Afees Salisu

Finance Research Letters, 2019, vol. 28, issue C, 343-347

Abstract: This study offers a new evidence for the nonstationary behavior of OECD stock prices using the PANICCA test of Reese and Westerlund (2016) which is a combined approach of the Principal Components-based Panel analysis of Nonstationarity in Idiosyncratic and Common components (PANIC) of Bai and Ng (2004, 2010) and the Cross-section Average (CA) of Pesaran et al. (2013). The results suggest that the nonstationarity evident in OECD stock prices is largely driven by idiosyncratic components while the common factors are stationary. More importantly, it is found that ignoring relevant covariates in the common factor model may lead to wrong conclusions.

Keywords: Panel unit root; PANICCA; Stock exchanges; OECD (search for similar items in EconPapers)
JEL-codes: C12 C23 C33 G12 G23 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612318301867
Full text for ScienceDirect subscribers only

Related works:
Working Paper: United we stand, divided we fall: A PANICCA test evidence for stock exchanges in OECD (2018)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:28:y:2019:i:c:p:343-347

DOI: 10.1016/j.frl.2018.06.003

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().