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Volumn 25, Issue 8, 1999, Pages 22-38

The international stock market crisis of 1997 and the dynamic relationships between asian stock markets: Linear and non-linear granger causality tests

Author keywords

Accounting research; Crises; Stock markets; USA

Indexed keywords


EID: 33845249675     PISSN: 03074358     EISSN: 17587743     Source Type: Journal    
DOI: 10.1108/03074359910766091     Document Type: Article
Times cited : (16)

References (10)
  • 1
    • 0003510362 scopus 로고
    • A General Test for Non-linear Granger Causality: Bivariate Model
    • Iowa State University and University of Wisconsin, Madison
    • Baek, E., and W. Brock (1992) “A General Test for Non-linear Granger Causality: Bivariate Model,” Working Paper, Iowa State University and University of Wisconsin, Madison.
    • (1992) Working Paper
    • Baek, E.1    Brock, W.2
  • 2
    • 0004004834 scopus 로고
    • Beyond randomness: Emergent noise
    • University of Wisconsin, Madison
    • Brock, W. (1993) “Beyond randomness: Emergent noise”, Working Paper, University of Wisconsin, Madison.
    • (1993) Working Paper
    • Brock, W.1
  • 6
    • 84993869057 scopus 로고
    • Testing for Linear andNon-linear Granger Causality in the Stock Price-Volume Relation
    • Hiemstra, C., and J. D. Jones (1992) “Testing for Linear andNon-linear Granger Causality in the Stock Price-Volume Relation”, Journal of Finance, XLIX(5), pp. 1639-1664.
    • (1992) Journal of Finance , vol.49 , Issue.5 , pp. 1639-1664
    • Hiemstra, C.1    Jones, J.D.2
  • 7
    • 58149385517 scopus 로고
    • Non-linearity and endogeneity in macro-asset pricing
    • University of Strathclyde and International Monetary Fund
    • Hiemstra, C. and C.Kramer (1993) “Non-linearity and endogeneity in macro-asset pricing”, Working Paper, University of Strathclyde and International Monetary Fund.
    • (1993) Working Paper
    • Hiemstra, C.1    Kramer, C.2
  • 8
    • 84977719043 scopus 로고
    • Chaos and non-linear dynamics: Application to financial markets
    • Hsieh, D. (1991) “Chaos and non-linear dynamics: Application to financial markets”, Journal of Finance, 46, pp. 1839-1877.
    • (1991) Journal of Finance , vol.46 , pp. 1839-1877
    • Hsieh, D.1
  • 9
    • 85032771954 scopus 로고
    • Granger causality between the consumer and wholesale price indices
    • Bureau of Labor Statistics and Securities and Exchange Commis-sion
    • Jaditz, T and J.Jones (1993) “Granger causality between the consumer and wholesale price indices”, Working Paper, Bureau of Labor Statistics and Securities and Exchange Commis-sion.
    • (1993) Working Paper
    • Jaditz, T.1    Jones, J.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.