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Volumn 10, Issue 7, 2003, Pages 401-405

Non-linear cointegration between stock prices and dividends

Author keywords

[No Author keywords available]

Indexed keywords

COINTEGRATION ANALYSIS; PRICE DYNAMICS; STOCK MARKET;

EID: 0038609528     PISSN: 13504851     EISSN: None     Source Type: Journal    
DOI: 10.1080/1350485022000044020     Document Type: Article
Times cited : (16)

References (12)
  • 1
    • 84993911790 scopus 로고
    • Cointegration, fractional cointegration, and exchange rate dynamics
    • Baillie, R. T. and Bollerslev, T. (1994) Cointegration, fractional cointegration, and exchange rate dynamics, Journal of Finance, XLIX, 737-45.
    • (1994) Journal of Finance , vol.49 , pp. 737-745
    • Baillie, R.T.1    Bollerslev, T.2
  • 3
    • 0000738539 scopus 로고
    • Intrinsic bubbles: The case of stock prices
    • December
    • Froot, K. A. and Obstfeld, M. (1991) Intrinsic bubbles: the case of stock prices, American Economic Review, December, 1189-214.
    • (1991) American Economic Review , pp. 1189-1214
    • Froot, K.A.1    Obstfeld, M.2
  • 4
    • 0037757076 scopus 로고
    • Some recent generalizations of cointegration and the analysis of long-run relationships
    • (Eds) R. F. Engle and C. W. J. Granger, Oxford University Press, Oxford
    • Granger, C. W. J. (1991) Some recent generalizations of cointegration and the analysis of long-run relationships, in Long-Run Economic Relationships (Eds) R. F. Engle and C. W. J. Granger, Oxford University Press, Oxford, 277-87.
    • (1991) Long-Run Economic Relationships , pp. 277-287
    • Granger, C.W.J.1
  • 8
    • 0034134947 scopus 로고    scopus 로고
    • Testing for a nonlinear relationship between exchange rates and fundamentals in the ERM
    • Ma, Y. and Kanas, A. (2000) Testing for a nonlinear relationship between exchange rates and fundamentals in the ERM, Journal of International Money and Finance, 19, 135-52.
    • (2000) Journal of International Money and Finance , vol.19 , pp. 135-152
    • Ma, Y.1    Kanas, A.2
  • 9
    • 84959798347 scopus 로고
    • An empirical assessment of nonlinearities in models of exchange rate determination
    • Meese, R. A. and Rose, A. K. (1991) An empirical assessment of nonlinearities in models of exchange rate determination, Review of Economic Studies, 58, 603-19.
    • (1991) Review of Economic Studies , vol.58 , pp. 603-619
    • Meese, R.A.1    Rose, A.K.2
  • 11
    • 0000784320 scopus 로고
    • Asymptotic properties of residual based tests for cointegration
    • Phillips, P. C. B. and Quliaris, S. (1990) Asymptotic properties of residual based tests for cointegration, Econometrica, 58, 16.
    • (1990) Econometrica , vol.58 , pp. 16
    • Phillips, P.C.B.1    Ouliaris, S.2
  • 12
    • 84924508526 scopus 로고
    • Does the stock market rationally reflect fundamental values?
    • July
    • Summers, L. H. (1986) Does the stock market rationally reflect fundamental values? Journal of Finance, July, 591-601.
    • (1986) Journal of Finance , pp. 591-601
    • Summers, L.H.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.