메뉴 건너뛰기




Volumn 8, Issue 6, 1998, Pages 607-614

Linkages between the US and European equity markets: Further evidence from cointegration tests

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0001638769     PISSN: 09603107     EISSN: None     Source Type: Journal    
DOI: 10.1080/096031098332646     Document Type: Article
Times cited : (83)

References (27)
  • 1
    • 84963254699 scopus 로고
    • The long-run gains from international equity diversification: Australian evidence from cointegration tests
    • Allen, D. E. and MacDonald, G. (1995) The long-run gains from international equity diversification: Australian evidence from cointegration tests, Applied Financial Economics, 5, 33-42.
    • (1995) Applied Financial Economics , vol.5 , pp. 33-42
    • Allen, D.E.1    MacDonald, G.2
  • 2
    • 38249005415 scopus 로고
    • International stock market linkages: Evidence from the pre- and post-October 1987 period
    • Arshanapalli, B. and Doukas, J. (1993) International stock market linkages: evidence from the pre- and post-October 1987 period, Journal of Banking and Finance, 17, 193-208.
    • (1993) Journal of Banking and Finance , vol.17 , pp. 193-208
    • Arshanapalli, B.1    Doukas, J.2
  • 3
    • 0000591381 scopus 로고    scopus 로고
    • Nonparametric cointegration analysis
    • Bierens, H. J. (1997a) Nonparametric cointegration analysis, Journal of Econometrics, 77, 379-404.
    • (1997) Journal of Econometrics , vol.77 , pp. 379-404
    • Bierens, H.J.1
  • 4
    • 0002409542 scopus 로고    scopus 로고
    • Department of Economics, Pennsylvania State University, University Park, PA
    • Bierens, H. J. (1997b) EasyReg, Department of Economics, Pennsylvania State University, University Park, PA.
    • (1997) EasyReg
    • Bierens, H.J.1
  • 5
    • 84963199090 scopus 로고
    • Some evidence of interdependence of national stock markets and the gains from international portfolio diversification
    • Byers, J. D. and Peel D. A. (1993) Some evidence of interdependence of national stock markets and the gains from international portfolio diversification, Applied Financial Economics, 3, 239-42.
    • (1993) Applied Financial Economics , vol.3 , pp. 239-242
    • Byers, J.D.1    Peel, D.A.2
  • 6
    • 84987492218 scopus 로고
    • An empirical analysis of stock prices in major Asian markets and the United States
    • Chan C. K., Gup, B. E. and Pan, M. S. (1992) An empirical analysis of stock prices in major Asian markets and the United States, Financial Review, 27, May, 289-307.
    • (1992) Financial Review , vol.27 , Issue.MAY , pp. 289-307
    • Chan, C.K.1    Gup, B.E.2    Pan, M.S.3
  • 7
    • 0000576953 scopus 로고    scopus 로고
    • Long-run diversification potential in emerging stock markets
    • DeFusco, R. A., Geppert, J. M. and Tsetsekos, G. (1996) Long-run diversification potential in emerging stock markets, Financial Review, 31, May, 343-63.
    • (1996) Financial Review , vol.31 , Issue.MAY , pp. 343-363
    • DeFusco, R.A.1    Geppert, J.M.2    Tsetsekos, G.3
  • 9
    • 0000013567 scopus 로고
    • Cointegration and error correction: Representation, estimation, and testing
    • Engle, R. F. and Granger, C. W. J. (1987) Cointegration and error correction: representation, estimation, and testing, Econometrica, 55, March, 251-76.
    • (1987) Econometrica , vol.55 , Issue.MARCH , pp. 251-276
    • Engle, R.F.1    Granger, C.W.J.2
  • 10
    • 0011308214 scopus 로고
    • Interdependencies among the Irish, British and German stock markets
    • Gallagher, L. (1995) Interdependencies among the Irish, British and German stock markets, The Economic and Social Review, 26, 131-47.
    • (1995) The Economic and Social Review , vol.26 , pp. 131-147
    • Gallagher, L.1
  • 11
    • 33748632313 scopus 로고
    • Five alternative methods of estimating long-run equilibrium relationships
    • Gonzalo, J. (1994) Five alternative methods of estimating long-run equilibrium relationships, Journal of Econometrics, 60, January/February, 203-33.
    • (1994) Journal of Econometrics , vol.60 , Issue.JANUARY-FEBRUARY , pp. 203-233
    • Gonzalo, J.1
  • 12
  • 13
    • 0003002938 scopus 로고    scopus 로고
    • Tests for cointegration: A Monte Carlo comparison
    • Haug, A. A. (1996) Tests for cointegration: a Monte Carlo comparison, Journal of Econometrics, 71, 89-115.
    • (1996) Journal of Econometrics , vol.71 , pp. 89-115
    • Haug, A.A.1
  • 15
    • 0002653201 scopus 로고
    • Common stochastic trends in international stock markets
    • Kasa, K. (1992) Common stochastic trends in international stock markets, Journal of Monetary Economics, 29, 95-124.
    • (1992) Journal of Monetary Economics , vol.29 , pp. 95-124
    • Kasa, K.1
  • 17
    • 0001771044 scopus 로고
    • Does the October 1987 crash strengthen the co-movements among national stock markets?
    • Lee, S. B. and Kim, K. J. (1993) Does the October 1987 crash strengthen the co-movements among national stock markets? Review of Financial Economics, III, 89-102.
    • (1993) Review of Financial Economics , vol.3 , pp. 89-102
    • Lee, S.B.1    Kim, K.J.2
  • 18
    • 0002525307 scopus 로고
    • Is the correlation in international equity returns constant: 1960-1990?
    • Longin, F. and Solnik, B. (1995) Is the correlation in international equity returns constant: 1960-1990? Journal of International Money and Finance, 14, 3-26.
    • (1995) Journal of International Money and Finance , vol.14 , pp. 3-26
    • Longin, F.1    Solnik, B.2
  • 19
    • 0001533339 scopus 로고
    • Comovements of international equity returns: A comparison of the pre- and post-October 19, 1987 periods
    • McInish, T. H. and Lau, S. T. (1993) Comovements of international equity returns: a comparison of the pre- and post-October 19, 1987 periods, Global Finance Journal, 4, 1-20.
    • (1993) Global Finance Journal , vol.4 , pp. 1-20
    • McInish, T.H.1    Lau, S.T.2
  • 20
    • 0000631178 scopus 로고
    • A note with quantiles of the asymptotic distribution of the maximum likelihood cointegration rank test statistics
    • Osterwald-Lenum, M. (1992) A note with quantiles of the asymptotic distribution of the maximum likelihood cointegration rank test statistics, Oxford Bulletin of Economics and Statistics, 54, 461-72.
    • (1992) Oxford Bulletin of Economics and Statistics , vol.54 , pp. 461-472
    • Osterwald-Lenum, M.1
  • 21
    • 0000880923 scopus 로고
    • Optimal inference in cointegrated systems
    • Phillips, P. C. B. (1991) Optimal inference in cointegrated systems, Econometrica, 59, 283-306.
    • (1991) Econometrica , vol.59 , pp. 283-306
    • Phillips, P.C.B.1
  • 22
    • 77956888124 scopus 로고
    • Testing for a unit root in time series regression
    • Phillips, P. C. B. and Perron, P. (1988) Testing for a unit root in time series regression, Biometrika, 75, 335-346.
    • (1988) Biometrika , vol.75 , pp. 335-346
    • Phillips, P.C.B.1    Perron, P.2
  • 23
    • 0000784320 scopus 로고
    • Asymptotic properties of residual based tests for cointegration
    • Phillips, P. C. B. and Ouliaris, S. (1990) Asymptotic properties of residual based tests for cointegration, Econometrica, 58, January, 165-93.
    • (1990) Econometrica , vol.58 , Issue.JANUARY , pp. 165-193
    • Phillips, P.C.B.1    Ouliaris, S.2
  • 24
  • 25
    • 0000997472 scopus 로고
    • Macroeconomics and reality
    • Sims, C. A. (1980) Macroeconomics and reality, Econometrica, 48, 1-48.
    • (1980) Econometrica , vol.48 , pp. 1-48
    • Sims, C.A.1
  • 26
    • 0001451477 scopus 로고
    • The internationalisation of stock markets and the abolition of UK exchange control
    • Taylor, M. P. and Tonks, I. (1989) The internationalisation of stock markets and the abolition of UK exchange control, Review of Economics and Statistics, 71, 332-6.
    • (1989) Review of Economics and Statistics , vol.71 , pp. 332-336
    • Taylor, M.P.1    Tonks, I.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.