Is Stock Price Correlated with Oil Price? Spurious Regressions with Moderately Explosive Processes

Author:

Chen Ye1,Tu Yundong2

Affiliation:

1. Capital University of Economics and Business; Beijing China

2. Guanghua School of Management and Center for Statistical Science; Peking University; Beijing 100871 China

Funder

National Natural Science Foundation of China

China's National Key Research Special Program

Peking University

Key Laboratory of Mathematical Economics and Quantitative Finance (Peking University), Ministry of Education

Publisher

Wiley

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability

Reference57 articles.

1. Deterministic seasonal models and spurious regressions;Abeysinghe;Journal of Econometrics,1994

2. Resolving spurious regressions and serially correlated errors;Agiakloglou;Empirical Economics,2013

3. Persistence-robust surplus-lag Granger causality testing;Bauer;Journal of Econometrics,2012

4. Oil price shocks and stock market returns: new evidence from the United States and China;Broadstock;Journal of International Financial Markets, Institutions & Money,2014

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