Global macroeconomic shocks, time-varying covariances and tests of the international CAPM

Applied Economics Letters

Volumn 3, Issue 2, 1996, Pages 109-113

  Clare, Andrew ^a   O'Brien, Raymond ^b   Smith, Peter N ^c   Thomas, Stephen ^d  

^a BRUNEL UNIVERSITY   (United Kingdom)

^b UNIVERSITY OF SOUTHAMPTON   (United Kingdom)

^c UNIVERSITY OF WARWICK   (United Kingdom)

^d SWANSEA UNIVERSITY   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 5744236479     PISSN: 13504851     EISSN: None     Source Type: Journal    
DOI: 10.1080/135048596356816     Document Type: Article

References (10)

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3. Engel, C. and Rodrigues, A. (1989) Tests of international CAPM with time-varying covariances, Journal of Applied Econometrics, 4, 119-38.
4. Engel, C. and Rodrigues, A. (1990) Test of mean-variance efficiency of international equity markets. Federal Reserve Bank of Kansis City, Research Working Paper 90-05.
5. Engel, C., Frankel, J.A., Froot, K.A. and Rodrigues, A. (1990) The constrained asset share estimation (CASE) method: testing mean-variance efficiency of the US stock market. Univeristy of California, Berkeley, Department of Economics, Working Paper Series.
6. Fama, E.F. and French, K.R. (1988) Dividend yields and expected stock returns, Journal of Financial Economics, 22, 3-25.
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8. Giovannini, A. and Jorion, P. (1989) The time variation of risk and return in the foreign-exchange and stock markets, Journal of Finance, 44, 307-25.
9. Jarque, C.M. and Bera, A.K. (1980) Efficient tests for normality, homoskedasticity and serial independence of regression residuals, Economics Letters, 6 255-59.
10. Thomas, S.H. and Wickens, M.R. (1993) An international CAPM for bonds and equities. The Journal of International Money and Finance, 12, 390-412.