메뉴 건너뛰기




Volumn 14, Issue 3, 2004, Pages 281-294

Do birds of the same feather flock together? The case of the Chinese states equity markets

Author keywords

Chinese equity markets; Equity market integration; Leveraged bootstrap

Indexed keywords


EID: 1342307329     PISSN: 10424431     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.intfin.2003.08.001     Document Type: Article
Times cited : (15)

References (31)
  • 1
    • 84944838161 scopus 로고
    • International portfolio choice and corporation finance: A synthesis
    • Adler M. Dumas B. International portfolio choice and corporation finance: a synthesis Journal of Finance 38 1983 925-984
    • (1983) Journal of Finance , vol.38 , pp. 925-984
    • Adler, M.1    Dumas, B.2
  • 2
    • 84993868246 scopus 로고
    • The relations among equity markets: A study of share price co-movements in the United States, United Kingdom, Germany and Japan
    • Agmon T. The relations among equity markets: a study of share price co-movements in the United States, United Kingdom, Germany and Japan Journal of Finance 4 1972 839-855
    • (1972) Journal of Finance , vol.4 , pp. 839-855
    • Agmon, T.1
  • 4
    • 0346234227 scopus 로고
    • The intertemporal stability of the relationships between the Asian emerging equity markets and the developed equity markets
    • Cheung Y.L. Ho Y.K. The intertemporal stability of the relationships between the Asian emerging equity markets and the developed equity markets Journal of Business, Finance and Accounting 182 1991 235-254
    • (1991) Journal of Business, Finance and Accounting , vol.18 , Issue.2 , pp. 235-254
    • Cheung, Y.L.1    Ho, Y.K.2
  • 5
    • 0001369142 scopus 로고
    • Tests of equality between sets of coefficients in two linear regressions
    • Chow G. Tests of equality between sets of coefficients in two linear regressions Econometrica 28 1960 591-605
    • (1960) Econometrica , vol.28 , pp. 591-605
    • Chow, G.1
  • 7
    • 0002344794 scopus 로고
    • Bootstrap methods: Another look at the jackknife
    • Efron B. Bootstrap methods: another look at the jackknife Annals of Statistics 7 1979 1-26
    • (1979) Annals of Statistics , vol.7 , pp. 1-26
    • Efron, B.1
  • 9
    • 0002614074 scopus 로고
    • International diversification among the capital markets of the EEC
    • Espitia M. Santamaria R. International diversification among the capital markets of the EEC Applied Financial Economics 4 1 1994 1-10
    • (1994) Applied Financial Economics , vol.4 , Issue.1 , pp. 1-10
    • Espitia, M.1    Santamaria, R.2
  • 10
    • 0000351727 scopus 로고
    • Investigating causal relations by econometric models and cross spectral methods
    • Granger C.W.J. Investigating causal relations by econometric models and cross spectral methods Econometrica 37 1969 424-438
    • (1969) Econometrica , vol.37 , pp. 424-438
    • Granger, C.W.J.1
  • 11
    • 0000822996 scopus 로고
    • Internationally diversified portfolios: Welfare gains and capital flows
    • Grubel H.G. Internationally diversified portfolios: welfare gains and capital flows American Economic Review 585 1968 1299-1314
    • (1968) American Economic Review , vol.58 , Issue.5 , pp. 1299-1314
    • Grubel, H.G.1
  • 12
    • 1342301226 scopus 로고    scopus 로고
    • The size properties of Toda and Yamamoto test statistics for causality using asymptotic and bootstrap distributions
    • submitted for publication
    • Hacker R.S., Hatemi-J, A., 2002. The size properties of Toda and Yamamoto test statistics for causality using asymptotic and bootstrap distributions, submitted for publication.
    • (2002)
    • Hacker, R.S.1    Hatemi-J, A.2
  • 13
    • 0001698432 scopus 로고
    • Correlations in price changes and volatility across international stock markets
    • Hamao Y. Masulis R.W. Ng V. Correlations in price changes and volatility across international stock markets The Review of Financial Studies 3 2 1990 281-307
    • (1990) The Review of Financial Studies , vol.3 , Issue.2 , pp. 281-307
    • Hamao, Y.1    Masulis, R.W.2    Ng, V.3
  • 14
    • 0037430387 scopus 로고    scopus 로고
    • A new method to choose optimal lag order in stable and unstable VAR models
    • Hatemi-J A. A new method to choose optimal lag order in stable and unstable VAR models Applied Economics Letters 103 2003 135-137
    • (2003) Applied Economics Letters , vol.10 , Issue.3 , pp. 135-137
    • Hatemi-J, A.1
  • 15
    • 84977341442 scopus 로고
    • The relationship between equity indices on world exchanges
    • Hillard J.E. The relationship between equity indices on world exchanges Journal of Finance 341 1979 103-114
    • (1979) Journal of Finance , vol.34 , Issue.1 , pp. 103-114
    • Hillard, J.E.1
  • 16
    • 0005482588 scopus 로고    scopus 로고
    • Causality and cointegration of stock markets among the United States, Japan, and the South China growth triangle
    • Huang B.N. Yang C.W. Hu J.W.S. Causality and cointegration of stock markets among the United States, Japan, and the South China growth triangle International Review of Financial Analysis 93 2000 281-297
    • (2000) International Review of Financial Analysis , vol.9 , Issue.3 , pp. 281-297
    • Huang, B.N.1    Yang, C.W.2    Hu, J.W.S.3
  • 17
    • 0345810254 scopus 로고
    • The linkages between national stock markets
    • Aliber, R.Z. (Ed.). Dow Jones-Irwin, Illinois
    • Jorion, P., 1989. The linkages between national stock markets. In: Aliber, R.Z. (Ed.). The Handbook of International Financial Management. Dow Jones-Irwin, Illinois, pp. 759-781.
    • (1989) The Handbook of International Financial Management , pp. 759-781
    • Jorion, P.1
  • 18
    • 84944832612 scopus 로고
    • Integration vs. segmentation in the Canadian stock market
    • Jorion P. Schwartz E. Integration vs. segmentation in the Canadian stock market Journal of Finance 41 1986 603-614
    • (1986) Journal of Finance , vol.41 , pp. 603-614
    • Jorion, P.1    Schwartz, E.2
  • 19
    • 1342280119 scopus 로고    scopus 로고
    • Diagnosing shocks in stock market returns of Greater China
    • Lo W.C. Chan W.S. Diagnosing shocks in stock market returns of Greater China Multinational Finance Journal 43&4 2000 269-288
    • (2000) Multinational Finance Journal , vol.4 , Issue.3-4 , pp. 269-288
    • Lo, W.C.1    Chan, W.S.2
  • 20
    • 84978552343 scopus 로고
    • An analysis of the interrelationships among world stock exchanges, Journal of Business Finance
    • Makridakis S.G. Wheelwright S.C. An analysis of the interrelationships among world stock exchanges, Journal of Business Finance Journal of Business Finance & Accounting 1 1974 195-215
    • (1974) Journal of Business Finance & Accounting , vol.1 , pp. 195-215
    • Makridakis, S.G.1    Wheelwright, S.C.2
  • 21
    • 0000899296 scopus 로고
    • The great crash, the oil price shock and the unit root hypothesis
    • Perron P. The great crash, the oil price shock and the unit root hypothesis Econometrica 57 1989 1361-1401
    • (1989) Econometrica , vol.57 , pp. 1361-1401
    • Perron, P.1
  • 22
    • 1342280116 scopus 로고    scopus 로고
    • Price interdependence among equity markets in the Asia-Pacific region
    • Ashgate, UK, Aldershot
    • Roca, E., 2000. Price interdependence among equity markets in the Asia-Pacific region. Ashgate, UK, Aldershot.
    • (2000)
    • Roca, E.1
  • 23
    • 1342343670 scopus 로고    scopus 로고
    • The Asian crisis four years ago
    • March
    • Roger, S., 2001. The Asian crisis four years ago. Finance and Development, March, 1-2.
    • (2001) Finance and Development , pp. 1-2
    • Roger, S.1
  • 24
    • 0000745315 scopus 로고
    • Inference in linear time series models with some unit roots
    • Sims C.A. Stock J.H. Watson M.W. Inference in linear time series models with some unit roots Econometrica 58 1990 133-144
    • (1990) Econometrica , vol.58 , pp. 133-144
    • Sims, C.A.1    Stock, J.H.2    Watson, M.W.3
  • 25
    • 0010187890 scopus 로고
    • An analysis of world capital market return/risk ratios: A test of global financial integration during the 1980-1991 period
    • Smith K.L. Brocato J. Rogers J.E. An analysis of world capital market return/risk ratios: a test of global financial integration during the 1980-1991 period Managerial Finance 218 1995 13-31
    • (1995) Managerial Finance , vol.21 , Issue.8 , pp. 13-31
    • Smith, K.L.1    Brocato, J.2    Rogers, J.E.3
  • 26
    • 1342343671 scopus 로고
    • The efficiency of emerging stock markets and their relationships with the world's major stock exchanges
    • CETAI University of Montreal, Montreal
    • To, M.C., Assoe, K.G., Pariente, S., 1994. The efficiency of emerging stock markets and their relationships with the world's major stock exchanges. CETAI University of Montreal, Montreal.
    • (1994)
    • To, M.C.1    Assoe, K.G.2    Pariente, S.3
  • 27
    • 0000383532 scopus 로고
    • Statistical inference in vector autoregressions with possibly integrated processes
    • Toda H.Y. Yamamoto T. Statistical inference in vector autoregressions with possibly integrated processes Journal of Econometrics 66 1995 225-250
    • (1995) Journal of Econometrics , vol.66 , pp. 225-250
    • Toda, H.Y.1    Yamamoto, T.2
  • 28
    • 45549120815 scopus 로고
    • Some tests of international equity market integration
    • Wheatley S. Some tests of international equity market integration Journal of Financial Economics 21 1988 177-212
    • (1988) Journal of Financial Economics , vol.21 , pp. 177-212
    • Wheatley, S.1
  • 30
    • 0033894416 scopus 로고    scopus 로고
    • Productivity, growth and economic integration in the Southern China region
    • Wu Y. Productivity, growth and economic integration in the Southern China region Asian Economic Journal 141 2000 39-54
    • (2000) Asian Economic Journal , vol.14 , Issue.1 , pp. 39-54
    • Wu, Y.1
  • 31
    • 0042913394 scopus 로고    scopus 로고
    • The interaction and volatility asymmetry of unexpected returns in the Greater China stock markets
    • Yeh Y. Lee T. The interaction and volatility asymmetry of unexpected returns in the Greater China stock markets Global Finance Journal 11 2000 129-149
    • (2000) Global Finance Journal , vol.11 , pp. 129-149
    • Yeh, Y.1    Lee, T.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.