Modeling threshold effects in stock price co-movements: a vector nonlinear cointegration approach

Abstract

AbstractThis paper studies the hypothesis of stock price comovements between the US market and three different regions [the G6, BRICS and MENA (Middle East North Africa)] during calm and crisis periods. It extends the study by (Chlibi, S., F. Jawadi, and M. Sellami. 2016. “Analyzing Heterogeneous Stock Price Comovements through Hybrid Approaches.”