메뉴 건너뛰기




Volumn 25, Issue 2, 2002, Pages 203-221

Government bond market seasonality, diversification, and cointegration: International evidence

Author keywords

F30; G12

Indexed keywords


EID: 5444262388     PISSN: 02702592     EISSN: 14756803     Source Type: Journal    
DOI: 10.1111/1475-6803.t01-1-00004     Document Type: Article
Times cited : (34)

References (16)
  • 1
  • 3
    • 0042516746 scopus 로고    scopus 로고
    • Co-movements in international equity markets
    • Darbar, S. M. and P. Deb, 1997, Co-movements in international equity markets, Journal of Financial Research 20, 305–22.
    • (1997) Journal of Financial Research , vol.20 , pp. 305-322
    • Darbar, S.M.1    Deb, P.2
  • 4
    • 0000242434 scopus 로고
    • Stock market seasonality: International evidence
    • Gultekin, M. and B. Gultekin, 1983, Stock market seasonality: International evidence, Journal of Financial Economics 12, 469–81.DOI: 10.1016/0304-405X(83)90044-2
    • (1983) Journal of Financial Economics , vol.12 , pp. 469-481
    • Gultekin, M.1    Gultekin, B.2
  • 5
    • 42649099448 scopus 로고
    • Have the benefits of international diversification diminished?
    • Iben, T. and R. Litterman, 1994, Have the benefits of international diversification diminished?, Journal of Fixed Income 4, 27–34.
    • (1994) Journal of Fixed Income , vol.4 , pp. 27-34
    • Iben, T.1    Litterman, R.2
  • 6
    • 0345510809 scopus 로고
    • Statistical analysis of cointegration vectors
    • Johansen, S., 1988, Statistical analysis of cointegration vectors, Journal of Economic Dynamics and Control 12, 231–54.DOI: 10.1016/0165-1889(88)90041-3
    • (1988) Journal of Economic Dynamics and Control , vol.12 , pp. 231-254
    • Johansen, S.1
  • 7
    • 84981579311 scopus 로고
    • Maximum likelihood estimation and inference on cointegration—With application to the demand for money
    • Johansen, S. and K. Juselius, 1990, Maximum likelihood estimation and inference on cointegration—With application to the demand for money, Oxford Bulletin of Economics and Statistics 52, 169–210.
    • (1990) Oxford Bulletin of Economics and Statistics , vol.52 , pp. 169-210
    • Johansen, S.1    Juselius, K.2
  • 8
    • 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
  • 9
    • 34247480179 scopus 로고
    • Testing the null hypothesis of stationarity against the alternative of unit root
    • Kwiatkowski, D., P. C. B. Phillips, P. Schmidt, and Y. Shin, 1992, Testing the null hypothesis of stationarity against the alternative of unit root, Journal of Econometrics 54, 159–78.DOI: 10.1016/0304-4076(92)90104-Y
    • (1992) Journal of Econometrics , vol.54 , pp. 159-178
    • Kwiatkowski, D.1    Phillips, P.C.B.2    Schmidt, P.3    Shin, Y.4
  • 10
    • 0003103813 scopus 로고
    • The benefits of international diversification in bonds
    • Levy, H. and Z. Lerman, 1988, The benefits of international diversification in bonds, Financial Analysts Journal 44, 56–64.
    • (1988) Financial Analysts Journal , vol.44 , pp. 56-64
    • Levy, H.1    Lerman, Z.2
  • 11
    • 33845632902 scopus 로고
    • Capital market seasonality: The case of stock returns
    • Rozeff, M. S. and W. R. Kinney, 1976, Capital market seasonality: The case of stock returns, Journal of Financial Economics 3, 379–402.
    • (1976) Journal of Financial Economics , vol.3 , pp. 379-402
    • Rozeff, M.S.1    Kinney, W.R.2
  • 13
  • 14
    • 0041514831 scopus 로고    scopus 로고
    • Major world equity market interdependence a decade after the 1987 crash: Evidence from cross spectral analysis
    • Smith, K. L., 1999, Major world equity market interdependence a decade after the 1987 crash: Evidence from cross spectral analysis, Journal of Business Finance and Accounting 26, 365–92.
    • (1999) Journal of Business Finance and Accounting , vol.26 , pp. 365-392
    • Smith, K.L.1
  • 16
    • 84986517299 scopus 로고
    • Mean and volatility spillovers across major national stock markets: Further empirical evidence
    • Theodossiou, P. and U. Lee, 1993, Mean and volatility spillovers across major national stock markets: Further empirical evidence, Journal of Financial Research 16, 337–50.
    • (1993) Journal of Financial Research , vol.16 , pp. 337-350
    • Theodossiou, P.1    Lee, U.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.