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Volumn 4, Issue 2, 1997, Pages 105-108

Stock returns in emerging markets: A common trend analysis

Author keywords

[No Author keywords available]

Indexed keywords

DEVELOPING WORLD; INVESTMENT RETURN; MARKET INTERDEPENDENCE; STOCK MARKET;

EID: 0030760189     PISSN: 13504851     EISSN: None     Source Type: Journal    
DOI: 10.1080/758526705     Document Type: Article
Times cited : (5)

References (14)
  • 4
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    • (1979) Journal of the American Statistical Association , vol.74 , pp. 427-431
    • Dickey, D.A.1    Fuller, W.A.2
  • 5
    • 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, 251-76.
    • (1987) Econometrica , vol.55 , pp. 251-276
    • Engle, R.F.1    Granger, C.W.J.2
  • 6
    • 0000029776 scopus 로고
    • Efficient capital markets II
    • Fama, E. F. (1991) Efficient capital markets II, Journal of Finance, XLVI, 1575-1617.
    • (1991) Journal of Finance , vol.XLVI , pp. 1575-1617
    • Fama, E.F.1
  • 7
    • 84936823605 scopus 로고
    • Permanent and temporary components of stock prices
    • Fama, E. F. and French, K. (1988) Permanent and temporary components of stock prices, Journal of Political Economy, 96, 246-73.
    • (1988) Journal of Political Economy , vol.96 , pp. 246-273
    • Fama, E.F.1    French, K.2
  • 8
    • 33748632313 scopus 로고
    • Five alternative methods of estimating long-run parameters
    • Gonzalo, J. (1994) Five alternative methods of estimating long-run parameters, Journal of Econometrics, 60, 203-33.
    • (1994) Journal of Econometrics , vol.60 , pp. 203-233
    • Gonzalo, J.1
  • 10
    • 85033284557 scopus 로고    scopus 로고
    • Johansen, S. and Juselius, K. (1990)
    • Johansen, S. and Juselius, K. (1990)
  • 12
    • 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
  • 13
    • 0000140166 scopus 로고
    • Long term memory in stock market prices
    • Lo, A. W. (1991) Long term memory in stock market prices, Econometrica, 59, 1279-1313.
    • (1991) Econometrica , vol.59 , pp. 1279-1313
    • Lo, A.W.1
  • 14
    • 0000631178 scopus 로고
    • A note with quantiles of the asymptotic distribution of the maximum likelihood cointegration rank statistic
    • Osterwald-Lenum, M. (1992) A note with quantiles of the asymptotic distribution of the maximum likelihood cointegration rank statistic, 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


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.