Modelling the linkages between US and Latin American stock markets

Applied Economics

Volumn 35, Issue 12, 2003, Pages 1423-1434

  Fernández Serrano, José L ^a   Sosvilla Rivero, Simón ^b,c  

^a UNIVERSIDAD EUROPEA DE MADRID   (Spain)

^b Foundation for Applied Economic Research FEDEA   (Spain)

^c UNIVERSIDAD COMPLUTENSE DE MADRID   (Spain)

Author keywords

[No Author keywords available]

Indexed keywords

ECONOMIC RELATIONS; INTERNATIONAL RELATIONS; MARKET CONDITIONS; MODELING; STOCK MARKET;

LATIN AMERICA; UNITED STATES;

EID: 18344408930     PISSN: 00036846     EISSN: None     Source Type: Journal    
DOI: 10.1080/0003684032000100409     Document Type: Article

References (27)

1. Aggarwal, R., Inclán, C and Leal, R. (1999) Volatility in emerging stock markets, Journal of Financial and Quantitative Analysis, 34, 33-114.
2. Ammer, J. and Mei, J. (1996) Measuring international economic linkages with stock market data, Journal of Finance, 51, 1743-64.
3. Arshanapali, B. and Doukas, J. (1993) International stock market linkages evidence from the pre- and post-October 1987 period, Journal of Banking and Finance, 17, 193-208.
4. Banerjee, A., Lumsdaine, R. and Stock, J. (1992) Recursive and sequential tests of the unit-root and trend-break hypothesis theory and international evidence, Journal of Business and Economic Statistics, 10, 271-87.
5. Banerjee, A., Dolado, J. J. and Mestre, R. (1998) Error-correction mechanism tests for cointegration in single-equation framework, Journal of Time Series Analysis, 19, 267-83.
6. Caporale, G. and Pittis, N. (1998) Cointegration and predictability of asset prices, Journal of International Money and Finance, 17, 441-53.
7. DeFusco, R. A., Geppert, J. M. and Tsetsekos, G. P. (1996) Long-run diversification potential in emerging stock markets, Financial Review, 31, 343-63.
8. Dwyer, G. and Wallace, M. (1992) Cointegration and market efficiency, Journal of International Money and Finance, 11, 318-27.
9. Engle, R.F. and Granger, C.W.J. (1987) Cointegration and error correction representation, estimation and testing, Econometrica, 55, 251-6.
10. Fama, E. (1991) Efficient capital markets II, Journal of Finance, 46, 1575-617.
11. Fernández-Serrano, J. L. and Peruga, R. (1999a) Un Contraste ADF Secuencial para la Detección de Cambios en la Tendencia Estocástica. Working Paper 5/99, Universidad Europea-CEES.
12. Fernández-Serrano, J. L. and Peruga, (1999b) Un Contraste ADF Secuencial para la Detección de Cambios en el Orden de Integración. Working Paper 6/99, Universidad Europea-CEES.
13. Granger, C. W. J. (1986) Developments in the study of cointegrated economic variables, Oxford Bulletin of Economics and Statistics, 48, 213-28.
14. Gregory, A. W. and Hansen, B. E. (1996) Residual-based tests for cointegration in models with regime shifts, Journal of Econometrics, 70, 99-126.
15. Hamori, S. and Tokisiza, A. (1997) Testing for a unit root in the presence of a variance shift, Economics Letters, 57, 245-53.
16. Johansen, S. (1988) Statistical analysis of cointegration vectors, Journal of Economic Dynamics and Control, 12, 231-54.
17. Johansen, S. and Juselius, K. (1990) Maximum likelihood estimation and inference on cointegration with applications to the demand for money, Oxford Bulletin of Economics and Statistics, 52, 169-209.
18. Kasa, A. (1992) Common stochastic trends in international stock markets, Journal of Monetary Economics, 29, 95-124.
19. King, A. M. and Wadhwani, S. (1990) Transmission of volatility between stock markets, Review of Financial Studies, 3, 5-33.
20. Lien, D.-H. D. (1996) The effect of cointegration relationship on futures hedging a note, Journal of Future Markets, 16, 773-80.
21. Masih, A. M. M. and Masih, R. (1997) Dynamic linkages and the propagation mechanism driving major international stock markets an analysis of the pre- and postcrash eras, Quarterly Review of Economics and Finance, 37, 859-85.
22. Montanés, A. (1996) Contraste de Raiz Unitaria y Ruptura Estructural Un Estudio de Monte Carlo para los Estadisticos Rolling, Recursivo y Secuencial, Revista Española de Economia, 13, 39-74.
23. Perron, P. and Vogelsang, T.J. (1992) Non-stationarity and level shifts with an application to purchasing power parity, Journal of Business and Economic Statistics, 10, 301-20.
24. Pesaran, M. H. and Shin, Y. (1999) An autoregressive distributed lag modelling approach to cointegration analysis, in Econometrics and Economic Theory in the 20th Century. The Ragnar Frisch Centennial Symposium (Ed.) S. Strom, Cambridge University Press, Cambridge.
25. Pesaran, M. H., Shin, Y. and Smith, R. J. (2001) Bounds testing approaches to the analysis of level relationships, Journal of Applied Econometrics, 16, 289-326.
26. Standard & Poor's (2000) Emerging Stock Markets Factbook, 2000. Standard & Poor's, New York.
27. Zivot, E. and Andrews, D. (1992) Further evidence on the great crash, the oil price shock, and the unit root hypothesis, Journal of Business and Economic Statistics, 10, 251-70.