-
1
-
-
84977316348
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
33
-
-
84885961837
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
-
0001688043
-
Policy Analysis with Econometric Models
-
Sims C. Policy Analysis with Econometric Models. Brookings Papers on Economic Activity. 1:1982;107-152.
-
(1982)
Brookings Papers on Economic Activity
, vol.1
, pp. 107-152
-
-
Sims, C.1
-
58
-
-
45549119048
-
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
-
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
-
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
-
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
|