메뉴 건너뛰기




Volumn 7, Issue 1, 1998, Pages 63-84

Dynamic relations among international stock markets

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0032337717     PISSN: 10590560     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1059-0560(99)80017-3     Document Type: Article
Times cited : (42)

References (22)
  • 1
    • 84977709173 scopus 로고
    • Predictable stock returns in the United States and Japan: A study of long-term capital market integration
    • Campbell, J. Y. & Hamao, Y. (1992). Predictable stock returns in the United States and Japan: A study of long-term capital market integration. Journal of Finance, 47, 43-69.
    • (1992) Journal of Finance , vol.47 , pp. 43-69
    • Campbell, J.Y.1    Hamao, Y.2
  • 4
    • 0000412388 scopus 로고
    • The causal relationship between money and income: Some caveats for time series analysis
    • Feige, E. L. & Pearce, D. K. (1979). The causal relationship between money and income: Some caveats for time series analysis. Review of Economics and Statistics, 61, 521-533.
    • (1979) Review of Economics and Statistics , vol.61 , pp. 521-533
    • Feige, E.L.1    Pearce, D.K.2
  • 5
    • 0001698432 scopus 로고
    • Correlations in price changes and volatility across international stock markets
    • Hamao, Y., Masulis, R. & Ng, V. (1990). Correlations in price changes and volatility across international stock markets. Review of Financial Studies 3, 281-307.
    • (1990) Review of Financial Studies , vol.3 , pp. 281-307
    • Hamao, Y.1    Masulis, R.2    Ng, V.3
  • 7
    • 0001592683 scopus 로고
    • Checking the independence of two covariance-stationary time series: A univariate residual cross-correlation approach
    • Haugh, L. D. (1976). Checking the independence of two covariance-stationary time series: A univariate residual cross-correlation approach. Journal of the American Statistical Association 71, 378-385.
    • (1976) Journal of the American Statistical Association , vol.71 , pp. 378-385
    • Haugh, L.D.1
  • 8
    • 84977341442 scopus 로고
    • The relationship between equity indices on world exchanges
    • Hilliard, J. (1979). The relationship between equity indices on world exchanges. Journal of Finance 34, 103-114.
    • (1979) Journal of Finance , vol.34 , pp. 103-114
    • Hilliard, J.1
  • 11
    • 84974449914 scopus 로고
    • Patterns in Japanese common stock returns: Day of the week and turn of the year effects
    • Jaffe, J. & Westerfield, R. (1985a). Patterns in Japanese common stock returns: Day of the week and turn of the year effects. Journal of Financial and Quantitative Analysis, 20, 261-271.
    • (1985) Journal of Financial and Quantitative Analysis , vol.20 , pp. 261-271
    • Jaffe, J.1    Westerfield, R.2
  • 12
    • 80051899787 scopus 로고
    • The week-end effect in common stock returns: The international evidence
    • Jaffe, J. & Westerfield, R. (1985b). The week-end effect in common stock returns: The international evidence. Journal of Finance, 40, 433-454.
    • (1985) Journal of Finance , vol.40 , pp. 433-454
    • Jaffe, J.1    Westerfield, R.2
  • 13
    • 0000264314 scopus 로고
    • Do bulls and bears move across borders? International transmission of stock returns and volatility
    • Lin, W., Engle R. F. & Ito, T. (1994). Do bulls and bears move across borders? International transmission of stock returns and volatility. Review of Financial Studies, 7, 507-538.
    • (1994) Review of Financial Studies , vol.7 , pp. 507-538
    • Lin, W.1    Engle, R.F.2    Ito, T.3
  • 14
    • 0001173683 scopus 로고
    • When are contrarian profits due to stock market overreaction
    • Lo, A. W. & MacKinlay, A. C. (1990). When are contrarian profits due to stock market overreaction, Review of Financial Studies, 3, 175-206.
    • (1990) Review of Financial Studies , vol.3 , pp. 175-206
    • Lo, A.W.1    MacKinlay, A.C.2
  • 15
    • 0000552187 scopus 로고
    • Causality in temporal systems: Characterization and survey
    • Pierce, D. A. & Haugh, L. D. (1977). Causality in temporal systems: Characterization and survey. Journal of Econometrics 5, 265-293.
    • (1977) Journal of Econometrics , vol.5 , pp. 265-293
    • Pierce, D.A.1    Haugh, L.D.2
  • 16
    • 84977714155 scopus 로고
    • Industrial structure and the comparative behavior of international stock market indices
    • Roll, R. (1992). Industrial structure and the comparative behavior of international stock market indices. Journal of Finance 47, 3-41.
    • (1992) Journal of Finance , vol.47 , pp. 3-41
    • Roll, R.1
  • 18
    • 0001462080 scopus 로고
    • Money, income and causality
    • Sims, C. A. (1972). Money, income and causality. American Economic Review 62, 540-552.
    • (1972) American Economic Review , vol.62 , pp. 540-552
    • Sims, C.A.1
  • 20
    • 34249011954 scopus 로고
    • A model of international asset pricing
    • Stulz, R. M. (1981). A model of international asset pricing. Journal of Financial Economics, 9, 383-406.
    • (1981) Journal of Financial Economics , vol.9 , pp. 383-406
    • Stulz, R.M.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.