Propagative causal price transmission among international stock markets: Evidence from the pre- and post globalization period

Global Finance Journal

Volumn 13, Issue 1, 2002, Pages 63-91

  Masih, A Mansur M ^a   Masih, Rumi ^b,c  

^a KING FAHD UNIVERSITY OF PETROLEUM AND MINERALS   (Saudi Arabia)

^b Goldman Sachs Group   (United States)

^c UNIVERSITY OF CAMBRIDGE   (United Kingdom)

Author keywords

Cointegration; Granger causality; Integrated processes; Integration; Linkages; Stock price market; Unit roots; Vector autoregression; Vector error correction modeling

Indexed keywords

EID: 0036125155     PISSN: 10440283     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1044-0283(02)00039-X     Document Type: Article

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