메뉴 건너뛰기




Volumn 37, Issue 4, 1997, Pages 859-885

Dynamic linkages and the propagation mechanism driving major international stock markets: An analysis of the pre- and post-crash eras

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0031446533     PISSN: 10629769     EISSN: None     Source Type: Journal    
DOI: 10.1016/s1062-9769(97)90008-9     Document Type: Article
Times cited : (108)

References (65)
  • 1
    • 84977316348 scopus 로고
    • Investor Recognition of Corporate International Diversification
    • Agmon T., Lessard D. Investor Recognition of Corporate International Diversification. Journal of Finance. 32:1977;1049-1055.
    • (1977) Journal of Finance , vol.32 , pp. 1049-1055
    • Agmon, T.1    Lessard, D.2
  • 2
    • 84992529786 scopus 로고
    • Volatility and Links Between Stock Markets
    • King M.A., Sentana E., Wadhwani S. Volatility and Links Between Stock Markets. Econometrica. 62:1994;901-933.
    • (1994) Econometrica , vol.62 , pp. 901-933
    • King, M.A.1    Sentana, E.2    Wadhwani, S.3
  • 3
    • 0000742933 scopus 로고
    • Does Money Matter in Canada? Evidence from a Vector Error Correction Model
    • Ambler S. Does Money Matter in Canada? Evidence from a Vector Error Correction Model. Review of Economics and Statistics. 69:1989;651-658.
    • (1989) Review of Economics and Statistics , vol.69 , pp. 651-658
    • Ambler, S.1
  • 4
    • 38249005415 scopus 로고
    • International Stock Market Linkages: Evidence from the Pre- And Post-October 1987 Period
    • Arshanapalli B., Doukas J. International Stock Market Linkages: Evidence from the Pre- and Post-October 1987 Period. Journal of Banking and Finance. 17:1993;193-203.
    • (1993) Journal of Banking and Finance , vol.17 , pp. 193-203
    • Arshanapalli, B.1    Doukas, J.2
  • 5
    • 84936156496 scopus 로고
    • The Canadian-U.S. Exchange Rate: Evidence from a Vector Autoregression
    • Backus D. The Canadian-U.S. Exchange Rate: Evidence from a Vector Autoregression. Review of Economics and Statistics. 68:1986;628-637.
    • (1986) Review of Economics and Statistics , vol.68 , pp. 628-637
    • Backus, D.1
  • 7
    • 0001577859 scopus 로고
    • Evidence on Adjustments in Major National Stock Market Linkages Over the 1980s
    • Brocato J. Evidence on Adjustments in Major National Stock Market Linkages Over the 1980s. Journal of Business Finance and Accounting. 1994;643-667.
    • (1994) Journal of Business Finance and Accounting , pp. 643-667
    • Brocato, J.1
  • 8
    • 21844484426 scopus 로고
    • Stock Market Interdependencies: Evidence from the Asian NIEs
    • Chowdhury A.R. Stock Market Interdependencies: Evidence from the Asian NIEs. Journal of Macroeconomics. 16:1994;282-308.
    • (1994) Journal of Macroeconomics , vol.16 , pp. 282-308
    • Chowdhury, A.R.1
  • 11
    • 38249006793 scopus 로고
    • Common Stochastic Trends in European Stock Markets
    • Corhay A., Rad A. Tourani, Urbain J.P. Common Stochastic Trends in European Stock Markets. Economic Letters. 42:1993;385-390.
    • (1993) Economic Letters , vol.42 , pp. 385-390
    • Corhay, A.1    Rad A. Tourani2    Urbain, J.P.3
  • 12
    • 85036258669 scopus 로고
    • Distribution of the Estimators for Autoregressive Time-Series with a Unit Root
    • Dickey D.A., Fuller W.A. Distribution of the Estimators for Autoregressive Time-Series with a Unit Root. Journal of the American Statistical Association. 74:1979;427-431.
    • (1979) Journal of the American Statistical Association , vol.74 , pp. 427-431
    • Dickey, D.A.1    Fuller, W.A.2
  • 13
    • 0000472488 scopus 로고
    • Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
    • Dickey D.A., Fuller W.A. Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root. Econometrica. 49:1981;1057-1072.
    • (1981) Econometrica , vol.49 , pp. 1057-1072
    • Dickey, D.A.1    Fuller, W.A.2
  • 16
    • 0000013567 scopus 로고
    • Cointegration and Error Correction: Representation, Estimation, and Testing
    • Engle R.F., Granger C.W.J. Cointegration and Error Correction: Representation, Estimation, and Testing. Econometrica. 55:1987;251-276.
    • (1987) Econometrica , vol.55 , pp. 251-276
    • Engle, R.F.1    Granger, C.W.J.2
  • 17
    • 84944837552 scopus 로고
    • International Assett Pricing Under Mild Segmentation: Theory and Tests
    • Errunza V., Losq E. International Assett Pricing Under Mild Segmentation: Theory and Tests. Journal of Finance. 40:1985;105-124.
    • (1985) Journal of Finance , vol.40 , pp. 105-124
    • Errunza, V.1    Losq, E.2
  • 19
    • 84981566273 scopus 로고
    • Developments in the Study of Cointegrated Economic Variables
    • Granger C.W.J. Developments in the Study of Cointegrated Economic Variables. Oxford Bulletin of Economics and Statistics. 48:1986;213-228.
    • (1986) Oxford Bulletin of Economics and Statistics , vol.48 , pp. 213-228
    • Granger, C.W.J.1
  • 20
    • 28144459550 scopus 로고    scopus 로고
    • Some Recent Developments in a Concept of Casuality
    • Granger C.W.J. Some Recent Developments in a Concept of Casuality. Journal of Econometrics. 39:1998;199-211.
    • (1998) Journal of Econometrics , vol.39 , pp. 199-211
    • Granger, C.W.J.1
  • 21
    • 0000822996 scopus 로고
    • Internationally Diversified Portfolio: Welfare Gains and Capital Flows
    • Grubel H. Internationally Diversified Portfolio: Welfare Gains and Capital Flows. American Economic Review. 58:1968;89-94.
    • (1968) American Economic Review , vol.58 , pp. 89-94
    • Grubel, H.1
  • 22
    • 0001927592 scopus 로고
    • Evidence on Stock Market Speculative Bubbles: Japan, the United States, and Great Britain
    • Hardouvelis G. Evidence on Stock Market Speculative Bubbles: Japan, the United States, and Great Britain. Federal Reserve Bank of New York Quarterly Review. 13:(2):1988;4-16.
    • (1988) Federal Reserve Bank of New York Quarterly Review , vol.13 , Issue.2 , pp. 4-16
    • Hardouvelis, G.1
  • 23
    • 84981620990 scopus 로고
    • Econometric Modelling with Cointegrated Variables: An Overview
    • Hendry D. Econometric Modelling with Cointegrated Variables: An Overview. Oxford Bulletin of Economics and Statistics. 48:1986;201-212.
    • (1986) Oxford Bulletin of Economics and Statistics , vol.48 , pp. 201-212
    • Hendry, D.1
  • 24
    • 84977737479 scopus 로고
    • Asset Pricing in Partially Segmented Markets: Evidence From the Finnish Markets
    • Hietala P.T. Asset Pricing in Partially Segmented Markets: Evidence From the Finnish Markets. Journal of Finance. 44:1989;697-718.
    • (1989) Journal of Finance , vol.44 , pp. 697-718
    • Hietala, P.T.1
  • 25
    • 84977341442 scopus 로고
    • The Relationship Between Equity Indices on World Exchanges
    • Hillard J. The Relationship Between Equity Indices on World Exchanges. Journal of Finance. 34:1979;103-114.
    • (1979) Journal of Finance , vol.34 , pp. 103-114
    • Hillard, J.1
  • 26
    • 84981579311 scopus 로고
    • Maximum Likelihood Estimation and Inference on Cointegration with Applications to Money Demand
    • Johansen S., Juselius K. Maximum Likelihood Estimation and Inference on Cointegration with Applications to Money Demand. Oxford Bulletin of Economics and Statistics. 52:1990;169-210.
    • (1990) Oxford Bulletin of Economics and Statistics , vol.52 , pp. 169-210
    • Johansen, S.1    Juselius, K.2
  • 27
    • 84944832612 scopus 로고
    • Integration versus Segmentation in the Canadian Stock Market
    • Jorion P., Schwartz E. Integration versus Segmentation in the Canadian Stock Market. Journal of Finance. 41:1986;603-616.
    • (1986) Journal of Finance , vol.41 , pp. 603-616
    • Jorion, P.1    Schwartz, E.2
  • 28
    • 0002653201 scopus 로고
    • Common Stochastic Trends in INternational Stock Markets
    • Kasa K. Common Stochastic Trends in INternational Stock Markets. Journal of Monetary Economics. 29:1992;95-124.
    • (1992) Journal of Monetary Economics , vol.29 , pp. 95-124
    • Kasa, K.1
  • 29
    • 0003304626 scopus 로고
    • Multiple Time Series Analysis of National Stock Markets and Their Structure: Some Implications
    • S.J. Khoury, & A. Gosh. Lexington: Lexington Books
    • Khoury S.J., Dodin B., Takada H. Multiple Time Series Analysis of National Stock Markets and Their Structure: Some Implications. Khoury S.J., Gosh A. Recent Developments in International Banking and Finance. 1987;Lexington Books, Lexington.
    • (1987) Recent Developments in International Banking and Finance
    • Khoury, S.J.1    Dodin, B.2    Takada, H.3
  • 30
    • 84992529786 scopus 로고
    • Volatility and Links Between Stock Markets
    • King M.A., Sentana E., Wadhwani S. Volatility and Links Between Stock Markets. Econometrica. 62:1994;901-933.
    • (1994) Econometrica , vol.62 , pp. 901-933
    • King, M.A.1    Sentana, E.2    Wadhwani, S.3
  • 31
    • 0003151378 scopus 로고
    • Transmission of Volatility Between Stock Markets
    • King M.A., Wadhwani S. Transmission of Volatility Between Stock Markets. Review of Financial Studies. 3:1990;5-33.
    • (1990) Review of Financial Studies , vol.3 , pp. 5-33
    • King, M.A.1    Wadhwani, S.2
  • 33
    • 84885961837 scopus 로고
    • International Portfolio Diversification: A Multivariate Analysis for a Group of Latin American Countries
    • Lessard D. International Portfolio Diversification: A Multivariate Analysis for a Group of Latin American Countries. Journal of Finance. 28:1973;619-633.
    • (1973) Journal of Finance , vol.28 , pp. 619-633
    • Lessard, D.1
  • 34
    • 0000264314 scopus 로고
    • Do Bulls and Bears Move Across International Borders? International Transmission of Stock Returns and Volatility
    • Lin W.-L., Engle R.F., Ito T. Do Bulls and Bears Move Across International Borders? International Transmission of Stock Returns and Volatility. Review of Financial Studies. 3:1994;507-538.
    • (1994) Review of Financial Studies , vol.3 , pp. 507-538
    • Lin, W.-L.1    Engle, R.F.2    Ito, T.3
  • 35
    • 0003611102 scopus 로고
    • Introduction to Multiple Time Series Analysis
    • Berlin: Springer-Verlag
    • Lutkepohl H. Introduction to Multiple Time Series Analysis. 2nd ed. 1993;Springer-Verlag, Berlin.
    • (1993) 2nd Ed.
    • Lutkepohl, H.1
  • 38
    • 0001248912 scopus 로고
    • On the Robustness of Cointegration Tests of the Market Efficiency Hypothesis: Evidence From Six European Foreign Exchange Markets
    • Masih A.M.M., Masih R. On the Robustness of Cointegration Tests of the Market Efficiency Hypothesis: Evidence From Six European Foreign Exchange Markets. Economia Internationale. 47:(2/3):1994a;160-180.
    • (1994) Economia Internationale , vol.47 , Issue.2-3 , pp. 160-180
    • Masih, A.M.M.1    Masih, R.2
  • 39
    • 0002736688 scopus 로고
    • Using Cointegration in Finance and Accounting Studies: An Application of High Frequency Thai and Malaysian Daily Stock Prices
    • Masih A.M.M., Masih R. Using Cointegration in Finance and Accounting Studies: An Application of High Frequency Thai and Malaysian Daily Stock Prices. Pacific Accounting Review. 6:(1):1994b;94-113.
    • (1994) Pacific Accounting Review , vol.6 , Issue.1 , pp. 94-113
    • Masih, A.M.M.1    Masih, R.2
  • 40
    • 51249170449 scopus 로고
    • Temporal Causality and the Dynamic Interactions among Macroeconomic Activity within a Multivariate Cointegrated System: Evidence from Singapore and Kor
    • Masih A.M.M., Masih R. Temporal Causality and the Dynamic Interactions among Macroeconomic Activity within a Multivariate Cointegrated System: Evidence from Singapore and Kor. Weltwirtschaftliches Archiv. 131:(2):1995a;265-285.
    • (1995) Weltwirtschaftliches Archiv , vol.131 , Issue.2 , pp. 265-285
    • Masih, A.M.M.1    Masih, R.2
  • 41
    • 84963238138 scopus 로고
    • Investigating the Robustness of Tests of the Market Efficiency Hypothesis: Contributions From Cointegration Techniques on the Canadian Floating Dollar
    • Masih A.M.M., Masih R. Investigating the Robustness of Tests of the Market Efficiency Hypothesis: Contributions From Cointegration Techniques on the Canadian Floating Dollar. Applied Financial Economics. 5:1995b;39-50.
    • (1995) Applied Financial Economics , vol.5 , pp. 39-50
    • Masih, A.M.M.1    Masih, R.2
  • 42
    • 0011611697 scopus 로고    scopus 로고
    • Does Money Cause Prices or the Other Way Around? Multi-Country Econometric Evidence Including Error-Correction Modelling From Southeast Asia
    • (forthcoming).
    • Masih A.M.M., Masih R. Does Money Cause Prices or the Other Way Around? Multi-Country Econometric Evidence Including Error-Correction Modelling From Southeast Asia. Journal of Economic Studies. 1997;. (forthcoming).
    • (1997) Journal of Economic Studies
    • Masih, A.M.M.1    Masih, R.2
  • 43
    • 51249161797 scopus 로고
    • A Fractional Cointegration Approach to Empirical Tests of PPP: New Evidence and Methodological Implications From an Application to the Taiwan/US Dollar
    • Masih R., Masih A.M.M. A Fractional Cointegration Approach to Empirical Tests of PPP: New Evidence and Methodological Implications From an Application to the Taiwan/US Dollar. Weltwirtschaftliches Archiv. 131:(4):1995;673-694.
    • (1995) Weltwirtschaftliches Archiv , vol.131 , Issue.4 , pp. 673-694
    • Masih, R.1    Masih, A.M.M.2
  • 44
    • 0030191393 scopus 로고    scopus 로고
    • Macroeconomic Activity Dynamics and Granger Causality: New Evidence from a Small Developing Economy Based on a Vector Error-Correction Modelling Analys
    • Masih R., Masih A.M.M. Macroeconomic Activity Dynamics and Granger Causality: New Evidence from a Small Developing Economy Based on a Vector Error-Correction Modelling Analys. Economic Modelling. 13:1996;407-426.
    • (1996) Economic Modelling , vol.13 , pp. 407-426
    • Masih, R.1    Masih, A.M.M.2
  • 45
    • 0010714072 scopus 로고    scopus 로고
    • Propagative Causal Price Transmission among International Stock Markets: Evidence from the Pre- And Post-Globalisation Period
    • under revision to resubmit.
    • Masih R., Masih A.M.M. Propagative Causal Price Transmission among International Stock Markets: Evidence from the Pre- and Post-Globalisation Period. Journal of Financial and Quantitative Analysis. 1997;. under revision to resubmit.
    • (1997) Journal of Financial and Quantitative Analysis
    • Masih, R.1    Masih, A.M.M.2
  • 46
    • 0000135997 scopus 로고
    • Money Growth Volatility and the Macroeconomy
    • McMillin W. Money Growth Volatility and the Macroeconomy. Journal of Money, Credit and Banking. 20:1988;319-335.
    • (1988) Journal of Money, Credit and Banking , vol.20 , pp. 319-335
    • McMillin, W.1
  • 47
    • 0000631178 scopus 로고
    • A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood of Cointegration Rank Statistics
    • Osterwald-Lenum M. A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood of Cointegration Rank Statistics. Oxford Bulletin of Economics and Statistics. 54:1992;461-471.
    • (1992) Oxford Bulletin of Economics and Statistics , vol.54 , pp. 461-471
    • Osterwald-Lenum, M.1
  • 48
    • 27644580196 scopus 로고
    • Trends and Random Walks in Macroeconomic Time Series
    • Perron P. Trends and Random Walks in Macroeconomic Time Series. Journal of Economic Dynamics and Control. 12:1988;297-332.
    • (1988) Journal of Economic Dynamics and Control , vol.12 , pp. 297-332
    • Perron, P.1
  • 49
    • 77956888124 scopus 로고
    • Testing for a Unit Root in Time Series Regression
    • Phillips P.C.B., Perron P. Testing for a Unit Root in Time Series Regression. Biometrika. 75:1988;335-346.
    • (1988) Biometrika , vol.75 , pp. 335-346
    • Phillips, P.C.B.1    Perron, P.2
  • 50
    • 0003151378 scopus 로고
    • Discussion (of King and Wadhwani paper)
    • Poterba J.M. Discussion (of King and Wadhwani paper). Review of Financial Studies. 3:1990;34-35.
    • (1990) Review of Financial Studies , vol.3 , pp. 34-35
    • Poterba, J.M.1
  • 51
    • 0000923251 scopus 로고
    • Comovements in National Stock Market Returns: Evidence of Predictability but not Cointegration
    • Richards A.J. Comovements in National Stock Market Returns: Evidence of Predictability but not Cointegration. Journal of Monetary Economics. 36:1995;631-654.
    • (1995) Journal of Monetary Economics , vol.36 , pp. 631-654
    • Richards, A.J.1
  • 52
    • 0000967623 scopus 로고
    • Monetary Impacts on Prices in the Short and Long Run: Some Evidence from New Zealand
    • Robertson J., Orden D. Monetary Impacts on Prices in the Short and Long Run: Some Evidence from New Zealand. American Journal of Agricultural Economics. 72:1990;160-171.
    • (1990) American Journal of Agricultural Economics , vol.72 , pp. 160-171
    • Robertson, J.1    Orden, D.2
  • 53
    • 21844527438 scopus 로고
    • Sources of Fluctuations in Relative Prices: Evidence from High Inflation Countries
    • Rogers J.H., Wang P. Sources of Fluctuations in Relative Prices: Evidence from High Inflation Countries. Review of Economics and Statistics. 75:(4):1993;589-605.
    • (1993) Review of Economics and Statistics , vol.75 , Issue.4 , pp. 589-605
    • Rogers, J.H.1    Wang, P.2
  • 55
    • 0002166795 scopus 로고
    • The Interdependence Among the Stock Markets of Major European Countries and the United States: An Empirical Investigation of Interrelationships Among N
    • Schollhammer H., Sand O. The Interdependence Among the Stock Markets of Major European Countries and the United States: An Empirical Investigation of Interrelationships Among N. Management International Review. 25:1985;17-26.
    • (1985) Management International Review , vol.25 , pp. 17-26
    • Schollhammer, H.1    Sand, O.2
  • 57
  • 58
    • 45549119048 scopus 로고
    • Bayesian Scepticism on Unit Root Econometrics
    • Sims C. Bayesian Scepticism on Unit Root Econometrics. Journal of Economic Dynamics and Control. 12:1988;463-474.
    • (1988) Journal of Economic Dynamics and Control , vol.12 , pp. 463-474
    • Sims, C.1
  • 62
    • 0000048080 scopus 로고
    • Vector Autoregressions and Causality
    • Toda H.Y., Phillips P.C.B. Vector Autoregressions and Causality. Econometrica. 61:(6):1993;1367-1393.
    • (1993) Econometrica , vol.61 , Issue.6 , pp. 1367-1393
    • Toda, H.Y.1    Phillips, P.C.B.2
  • 64
    • 45549120815 scopus 로고
    • Some tests of International Equity Integration
    • Wheatley S. Some tests of International Equity Integration. Journal of Financial Economics. 21:1988;177-212.
    • (1988) Journal of Financial Economics , vol.21 , pp. 177-212
    • Wheatley, S.1
  • 65
    • 0001520815 scopus 로고
    • Causality and Causal Laws in Economics
    • Zellner A. Causality and Causal Laws in Economics. Journal of Econometrics. 39:1988;7-21.
    • (1988) Journal of Econometrics , vol.39 , pp. 7-21
    • Zellner, A.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.