An examination of financial integration for the group of seven (G7) industrialized countries using an I (2) cointegration model

Applied Financial Economics

Volumn 14, Issue 5, 2004, Pages 327-335

  Tahai, A ^a   Rutledge, Robert W ^b   Karim, Khondkar E ^c  

^a MISSISSIPPI STATE UNIVERSITY   (United States)

^b TEXAS STATE UNIVERSITY   (United States)

^c ROCHESTER INSTITUTE OF TECHNOLOGY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

COINTEGRATION ANALYSIS; EQUITY; G-7 COUNTRY; METHODOLOGY;

EID: 1542639821     PISSN: 09603107     EISSN: None     Source Type: Journal    
DOI: 10.1080/0960310042000211597     Document Type: Article

References (45)

1. Agmon, T. (1972) The relations among equity markets: a study of share price co-movements in the United States, United Kingdom, Germany and Japan, Journal of Finance, 27, 839-55.
2. Agmon, T. and Lessard, D. R. (1977) Investor recognition of corporate international diversification, Journal of Finance, 32, 1049-55.
3. Alexander, G., Eun, C. and Janakiramanan, S. (1988) International listings and stock returns: some empirical evidence, Journal of Financial and Quantitative Analysis, 23, 135-51.
4. Balvers, R., Wu, Y. and Gilliland, E. (2000) Mean reversion across national stock markets and parametric contrarian investment strategies, The Journal of Finance, 55, 745-72.
5. Becker, K., Finnerty, J. and Gupta, M. (1990) The intertemporal relation between the US and Japanese stock markets, Journal of Finance, 45, 1297-306.
6. Bekaert, G. and Harvey, C. R. (1995) Time-varying world market integration, Journal of Finance, 50, 403-44.
7. Campbell, J. Y. (1993) Intertemporal asset pricing without consumption, American Economic Review, 83, 487-512.
8. Campbell, J. Y. (1996) Understanding risk and return, Journal of Political Economy, 104, 298-345.
9. Choi, J. J., Hauser, S. and Kopecky, K. J. (1999) Does the stock market predict real activity? Time series evidence from the G-7 countries, Journal of Banking and Finance, 23, 1771-92.
10. Doornik, J. A. and Hansen, H. (1994) A Practical Test for Univariate and Multivariate Normality, Discussion Paper, Nuffield College, University of Oxford.
11. Dussauge, P. and Garrette, B. (1995) Determinants of success in international strategic alliance: evidence from the global aerospace industry, Journal of International Business Studies, 26, 505-30.
12. Dutt, S. D. and Ghosh, D. (1999) A note on the foreign exchange market efficiency hypothesis, Journal of Economics and Finance, 23(3), 157-61.
13. Engsted, T. and Johansen, S. (1997) Granger's Representation Theorem and Multicointegration, EUI Working Paper, ECO No. 97/15, European University Institute, Florence.
14. Eun, C. and Shim, S. (1989) International transmission of stock market movements, Journal of Financial and Quantitative Analysis, 24, 241-56.
15. Fischer, K. and Palasvirta, A. (1990) High road to a global marketplace: the international transmission of stock market fluctuations, The Financial Review, 25, 371-94.
16. Gonzalo, J. (1994) Five alternative methods of estimating long-run equilibrium relationships, Journal of Econometrics, 60, 203-33.
17. Granger, C. W. J. and Morgenstern, O. (1970) Predictability of Stock Market Prices, Heath-Lexington, Lexington, MA.
18. Grubel, H. (1968) International diversified portfolios: welfare gains and capital flows, American Economic Review, 58, 1299-314.
19. Haldrup, N. (1994) The asymptotics of single equation cointegration regressions with I(1) and I(2) variables, Journal of Econometrics, 63, 153-81.
20. Hamao, Y., Masulis, R. and Ng, V. (1990) Correlation in price changes and volatility across international stock markets, Review of Financial Studies, 3, 281-308.
21. Harbo, I., Johansen, S., Nielsen, B. and Rahbeck, A. (1998) Asymptotic inference on cointegrating rank in partial systems, Journal of Business and Economic Statistics, 16, 388-99.
22. Harrigan, K. (1987) Strategy alliances: their new role in global competition, Columbia Journal of World Business, 22, 67-9.
23. Johansen, S. (1992) Testing weak exogeneity and the order of cointegration in UK money demand, Journal of Policy Modeling, 14, 313-34.
24. Johansen, S. (1995) Likelihood-Based Inference in Cointegrated Vector Autoregressive Models, Oxford University Press, Oxford.
25. Johansen, S. (1997) A likelihood analysis of the I(2) model, Scandinavian Journal of Statistics, 24, 433-62.
26. Jorion, P. and Schwartz, E. (1986) Integration vs. segmentation in the Canadian stock market, Journal of Finance, 41, 603-14.
27. Juselius, K. (1994) On the duality between long-run relations and common trends in the I(1) versus I(2) mode: an application to aggregate money holdings, Econometric Reviews, 13, 151-78.
28. Kasa, K. (1992) Common stochastic trends in international stock markets, Journal of Monetary Economics, 29, 95-124.
29. Lau, S. and Diltz, J. (1994) Stock returns and the transfer of information between the New York and Tokyo stock exchanges, Journal of International Money and Finance, 13, 211-22.
30. Lessard, D. R. (1973) International portfolio diversification: a multivariate analysis for a group of Latin American countries, Journal of Finance, 28, 619-33.
31. Levy, H. and Sarnat, M. (1970) International diversification of investment portfolios, American Economic Review, 60, 668-75.
32. Lin, W., Engle, R. and Ito, T. (1994) Do bulls and bears move across borders? International transmission of stock returns and volatility. Review of Financial Studies, 7, 507-38.
33. MacKinnon, J. G. (1991) Critical values for cointegration tests, in Long-Run Economic Relationship: Readings in Cointegration (Eds) R. F. Engle and C. W. J. Granger, Oxford University Press, Oxford.
34. Moreno-Bird, J. C. (1999) Mexico's economic growth and the balance of payments constraint: a cointegration analysis, International Review of Applied Economics, 13, 149-59.
35. Oxelheim, L. (2001) Routes to equity market integration the interplay between politicians, investors and managers, Journal of Multinational Financial Management, 11, 183-211.
36. Panton, D., Lessig, V. and Joy, O. (1976) Comovements of international equity markets: a taxonomic approach. Journal of Financial and Quantitative Analysis, 11, 415-32.
37. Paruolo, P. (1996) On the determination of integration indices in I(2) systems, Journal of Econometrics, 72, 313-56.
38. Porter, M., Fuller, M. (1986) Coalitions and global strategy, in Competition in Global Industries (Ed.) M. Porter, Harvard Business School Press, Boston, MA, pp. 315-44.
39. Rahbek, A., Kongsted, H. C. and Jorgensen, C. (1999) Trend-stationarity in the I(2) cointegration model, Journal of Econometrics, 90, 265-89.
40. Ripley, D. (1973) Systematic elements in the linkage of national stock market indices, Review of Economics and Statistics, 55, 356-61.
41. Sarno, L. (1999) Stochastic growth: empirical evidence from the G-7 countries, Journal of macroeconomics, 21, 691-712.
42. Solow, R. (1956) A contribution to the theory of economic growth, Quarterly Journal of Economics, 70, 65-94.
43. Swan, T. W. (1956) Economic growth and capital accumulation, Economic Record, 32, 334-61.
44. Thirlwall, A. P. (1979) The balance of payments constraint as an explanation of international growth rates differences between developing countries, Banca Nazionale del Lavoro Quarterly Review, 32, 45-53.
45. Wheatley, S. (1988) Some tests of international equity integration, Journal of Financial Economics, 21, 177-212.