EXPLORING THE METHODS OF COINTEGRATION PROCEDURES USING STOCK PRICES

Authors

  • Adeleke Ismail
  • Adesina Olumide S
  • Abegunrin A O

Keywords:

Augmented Dickey-Fuller test, Cointegration, Engle-Granger method, Stationarity, Johansen's test, Phillip-Ouliaris method, Stock price, Unit root

Abstract

Stationary models are an essential class of stochastic models for describing time series data which have received a great attention. In reality, however, business and economic data are non-stationary multivariate time series that are often better understood by cointegration analysis. This study investigates the cointegration testing methods of Engle-Granger two-step estimation technique, Phillip-Ouliaris test, and Johansen's multivariate test. The stock prices of selected companies in Nigeria from 2008-2014 are used in the study. Findings revealed that the three techniques produced different results and that the Johansen's method and Engle-Granger two steps procedure exhibits higher efficiencies than Phillips-Ouliaris methods but their efficiency is dependent on the number of variables and correct selection.

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Published

2017-09-26

How to Cite

Ismail, A., S, A. O., & O, A. A. (2017). EXPLORING THE METHODS OF COINTEGRATION PROCEDURES USING STOCK PRICES. AU EJournal of Interdisciplinary Research (ISSN: 2408-1906), 2(1). Retrieved from http://www.assumptionjournal.au.edu/index.php/eJIR/article/view/4211

Issue

Vol. 2 No. 1 (2017): AU-EJOURNAL OF INTERDISCIPLINARY RESEARCH (AU-EJIR 2.1)

Section

CONTENTS

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