메뉴 건너뛰기




Volumn 21, Issue 6, 2006, Pages 727-744

The emerging market crisis and stock market linkages: Further evidence

Author keywords

[No Author keywords available]

Indexed keywords


EID: 33750517260     PISSN: 08837252     EISSN: 10991255     Source Type: Journal    
DOI: 10.1002/jae.889     Document Type: Article
Times cited : (64)

References (29)
  • 1
    • 0001909582 scopus 로고
    • Pre- And post-October 1987 stock market linkages between US and Asian markets
    • Arshanapalli B, Doukas J, Lang L. 1995. Pre- and post-October 1987 stock market linkages between US and Asian markets. Pacific-Basin Finance Journal 3: 57-73.
    • (1995) Pacific-basin Finance Journal , vol.3 , pp. 57-73
    • Arshanapalli, B.1    Doukas, J.2    Lang, L.3
  • 2
    • 84993905064 scopus 로고
    • Time-varying world market integration
    • Bekaert G, Harvey CR. 1995. Time-varying world market integration. Journal of Finance 50: 403-444.
    • (1995) Journal of Finance , vol.50 , pp. 403-444
    • Bekaert, G.1    Harvey, C.R.2
  • 3
  • 4
    • 0036241575 scopus 로고    scopus 로고
    • Stock market linkages: Evidence from Latin America
    • Chen G, Firth M, Rui O. 2002. Stock market linkages: evidence from Latin America. Journal of Banking and Finance 26: 1113-1141.
    • (2002) Journal of Banking and Finance , vol.26 , pp. 1113-1141
    • Chen, G.1    Firth, M.2    Rui, O.3
  • 5
    • 12144256714 scopus 로고    scopus 로고
    • Dissecting the PPP puzzle: The unconventional roles of nominal exchange rate and price adjustment
    • Cheung YW, Lai KS, Bergman M. 2004. Dissecting the PPP puzzle: the unconventional roles of nominal exchange rate and price adjustment. Journal of International Economics 64: 135-150.
    • (2004) Journal of International Economics , vol.64 , pp. 135-150
    • Cheung, Y.W.1    Lai, K.S.2    Bergman, M.3
  • 6
    • 0031530709 scopus 로고    scopus 로고
    • Stochastic trends in stock prices: Evidence from Latin American markets
    • Choudhry T. 1997. Stochastic trends in stock prices: evidence from Latin American markets. Journal of Macroeconomics 19: 285-304.
    • (1997) Journal of Macroeconomics , vol.19 , pp. 285-304
    • Choudhry, T.1
  • 8
    • 84977717550 scopus 로고
    • Heard on the street: Informational inefficiencies in a market with short-term speculation
    • Froot KA, Scharfstein DS, Stein JC. 1992. Heard on the street: informational inefficiencies in a market with short-term speculation. Journal of Finance 47: 1461-1484.
    • (1992) Journal of Finance , vol.47 , pp. 1461-1484
    • Froot, K.A.1    Scharfstein, D.S.2    Stein, J.C.3
  • 9
    • 0035052053 scopus 로고    scopus 로고
    • Financial market spillovers in transition economies
    • Gelos R, Sahay R. 2001. Financial market spillovers in transition economies. Economics of Transitions 9: 53-86.
    • (2001) Economics of Transitions , vol.9 , pp. 53-86
    • Gelos, R.1    Sahay, R.2
  • 10
    • 33748632313 scopus 로고
    • Five alternative methods of estimating long-run equilibrium relationships
    • Gonzalo J. 1994. Five alternative methods of estimating long-run equilibrium relationships. Journal of Econometrics 60: 203-233.
    • (1994) Journal of Econometrics , vol.60 , pp. 203-233
    • Gonzalo, J.1
  • 12
    • 0033442761 scopus 로고    scopus 로고
    • A long-run relationship between Eastern stock markets? Cointegration and the 1997-1998 crisis in emerging markets
    • Jochum C., Kirchgassner G, Platek M. 1999. A long-run relationship between Eastern stock markets? Cointegration and the 1997-1998 crisis in emerging markets. Weltwirtschaftliches Archiv 135: 454-479.
    • (1999) Weltwirtschaftliches Archiv , vol.135 , pp. 454-479
    • Jochum, C.1    Kirchgassner, G.2    Platek, M.3
  • 13
    • 0000158117 scopus 로고
    • Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models
    • Johansen S. 1991. Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica 59: 1551-1580.
    • (1991) Econometrica , vol.59 , pp. 1551-1580
    • Johansen, S.1
  • 14
    • 0002653201 scopus 로고
    • Common stochastic trends in international stock markets
    • Kasa K. 1992. Common stochastic trends in international stock markets. Journal of Monetary Economics 29: 95-124.
    • (1992) Journal of Monetary Economics , vol.29 , pp. 95-124
    • Kasa, K.1
  • 15
    • 84992529786 scopus 로고
    • Volatility and links between national stock markets
    • King M, Sentana E, Wadhwani S. 1994. Volatility and links between national stock markets. Econometrica 62: 901-933.
    • (1994) Econometrica , vol.62 , pp. 901-933
    • King, M.1    Sentana, E.2    Wadhwani, S.3
  • 16
    • 0003151378 scopus 로고
    • Transmission of volatility between stock markets
    • King M, Wadhwani S. 1990. Transmission of volatility between stock markets. Review of Financial Studies 3: 5-33.
    • (1990) Review of Financial Studies , vol.3 , pp. 5-33
    • King, M.1    Wadhwani, S.2
  • 17
    • 0001486314 scopus 로고
    • Evolution in dynamic linkages across daily national stock indexes
    • Koch PD, Koch TW. 1991. Evolution in dynamic linkages across daily national stock indexes. Journal of International Money and Finance 10: 231-251.
    • (1991) Journal of International Money and Finance , vol.10 , pp. 231-251
    • Koch, P.D.1    Koch, T.W.2
  • 18
    • 0001353625 scopus 로고    scopus 로고
    • Impulse response analysis in nonlinear multivariate models
    • Koop G. Pesaran MH, Potter SM. 1996. Impulse response analysis in nonlinear multivariate models. Journal of Econometrics 74: 119-147.
    • (1996) Journal of Econometrics , vol.74 , pp. 119-147
    • Koop, G.1    Pesaran, M.H.2    Potter, S.M.3
  • 19
    • 0001226337 scopus 로고    scopus 로고
    • Cointegration tests with conditional heteroscedasticity
    • Lee T, Tse Y. 1996. Cointegration tests with conditional heteroscedasticity. Journal of Econometrics 73: 401-410.
    • (1996) Journal of Econometrics , vol.73 , pp. 401-410
    • Lee, T.1    Tse, Y.2
  • 20
    • 0000264314 scopus 로고
    • Do bulls and bears move across boarders? International transmission of stock returns and volatility
    • Lin W, Engle RF, Ito T. 1994. Do bulls and bears move across boarders? International transmission of stock returns and volatility. Review of Financial Studies 7: 507-538.
    • (1994) Review of Financial Studies , vol.7 , pp. 507-538
    • Lin, W.1    Engle, R.F.2    Ito, T.3
  • 21
    • 0009662024 scopus 로고    scopus 로고
    • Extreme correlation of international equity markets
    • Longin F, Solnik B. 2001. Extreme correlation of international equity markets. Journal of Finance 56: 649-676.
    • (2001) Journal of Finance , vol.56 , pp. 649-676
    • Longin, F.1    Solnik, B.2
  • 22
    • 0036194286 scopus 로고    scopus 로고
    • Common trends and convergence? South East Asian equity markets 1988-1999
    • Manning N. 2002. Common trends and convergence? South East Asian equity markets 1988-1999. Journal of International Money and Finance 21: 183-202.
    • (2002) Journal of International Money and Finance , vol.21 , pp. 183-202
    • Manning, N.1
  • 23
    • 0031446533 scopus 로고    scopus 로고
    • Dynamic linkages and the propagation mechanism driving major international stock markets
    • Masih AMM, Masih R. 1997. Dynamic linkages and the propagation mechanism driving major international stock markets. Quarterly Review of Economics and Finance 37: 859-885.
    • (1997) Quarterly Review of Economics and Finance , vol.37 , pp. 859-885
    • Masih, A.M.M.1    Masih, R.2
  • 24
    • 0001283214 scopus 로고    scopus 로고
    • Cointegration and speed of convergence to equilibrium
    • Pesaran MH, Shin Y. 1996. Cointegration and speed of convergence to equilibrium. Journal of Econometrics 71: 117-143.
    • (1996) Journal of Econometrics , vol.71 , pp. 117-143
    • Pesaran, M.H.1    Shin, Y.2
  • 25
    • 0032219575 scopus 로고    scopus 로고
    • Generalized impulse response analysis in linear multivariate models
    • Pesaran MH, Shin Y. 1998. Generalized impulse response analysis in linear multivariate models Economics Letters 58: 17-29.
    • (1998) Economics Letters , vol.58 , pp. 17-29
    • Pesaran, M.H.1    Shin, Y.2
  • 26
    • 0000877584 scopus 로고    scopus 로고
    • Structural analysis of vector error correction models with exogenous 1(1) variables
    • Pesaran MH, Shin Y, Smith RJ. 2000. Structural analysis of vector error correction models with exogenous 1(1) variables. Journal of Econometrics 97: 293-343.
    • (2000) Journal of Econometrics , vol.97 , pp. 293-343
    • Pesaran, M.H.1    Shin, Y.2    Smith, R.J.3
  • 27
    • 0037816884 scopus 로고    scopus 로고
    • The evolution of stock markets in transition economies
    • Rockinger M, Urga G, 2000. The evolution of stock markets in transition economies. Journal of Comparative Economics 28: 456-472.
    • (2000) Journal of Comparative Economics , vol.28 , pp. 456-472
    • Rockinger, M.1    Urga, G.2
  • 28
    • 0038427967 scopus 로고    scopus 로고
    • The effects of the Asian crisis on global equity markets
    • Tuluca SA, Zwick B. 2001. The effects of the Asian crisis on global equity markets. Financial Review 36: 125-142.
    • (2001) Financial Review , vol.36 , pp. 125-142
    • Tuluca, S.A.1    Zwick, B.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.