메뉴 건너뛰기




Volumn 45, Issue 2, 2010, Pages 473-502

The impact of the euro on equity markets

Author keywords

[No Author keywords available]

Indexed keywords


EID: 77953589089     PISSN: 00221090     EISSN: 17566916     Source Type: Journal    
DOI: 10.1017/S0022109010000086     Document Type: Article
Times cited : (24)

References (39)
  • 1
    • 84944838161 scopus 로고
    • International portfolio choice and corporation finance: A synthesis
    • Adler, M., and B. Dumas. "International Portfolio Choice and Corporation Finance: A Synthesis." Journal of Finance, 38 (1983), 925-984.
    • (1983) Journal of Finance , vol.38 , pp. 925-984
    • Adler, M.1    Dumas, B.2
  • 2
    • 0036221468 scopus 로고    scopus 로고
    • Asymmetric correlations of equity portfolios
    • Ang, A., and J. Chen. "Asymmetric Correlations of Equity Portfolios." Journal of Financial Economics, 63 (2002), 443-494.
    • (2002) Journal of Financial Economics , vol.63 , pp. 443-494
    • Ang, A.1    Chen, J.2
  • 3
    • 34547776750 scopus 로고    scopus 로고
    • Why are international equity market correlations low?
    • Carnegie Mellon University
    • Aydemir, A. C. "Why Are International Equity Market Correlations Low?" Working Paper, Carnegie Mellon University (2005).
    • (2005) Working Paper
    • Aydemir, A.C.1
  • 6
    • 84993905064 scopus 로고
    • Time-varying world market integration
    • Bekaert, G., and C. R. Harvey. "Time-Varying World Market Integration." Journal of Finance, 50 (1995), 403-444.
    • (1995) Journal of Finance , vol.50 , pp. 403-444
    • Bekaert, G.1    Harvey, C.R.2
  • 9
    • 32144454404 scopus 로고    scopus 로고
    • Firm-level evidence on international stock market comovement
    • Brooks, R., and M. Del Negro. "Firm-Level Evidence on International Stock Market Comovement." Review of Finance, 10 (2006), 69-98.
    • (2006) Review of Finance , vol.10 , pp. 69-98
    • Brooks, R.1    Del Negro, M.2
  • 12
    • 84883522684 scopus 로고    scopus 로고
    • Country and industry equity risk premia in the euro area: An intertemporal approach
    • Cappiello, L.; M. Lo Duca; and A. Maddaloni. "Country and Industry Equity Risk Premia in the Euro Area: An Intertemporal Approach." ECB Working Paper No.913 (2008).
    • (2008) ECB Working Paper No. 913
    • Cappiello, L.1    Lo Duca, M.2    Maddaloni, A.3
  • 14
    • 34047200682 scopus 로고    scopus 로고
    • Measuring contagion and interdependence with a bayesian time-varying coefficient model: An application to the chilean FX market during the argentine crisis
    • Ciccarelli, M., and A. Rebucci. "Measuring Contagion and Interdependence with a Bayesian Time-Varying Coefficient Model: An Application to the Chilean FX Market during the Argentine Crisis." Journal of Financial Econometrics, 5 (2007), 285-320.
    • (2007) Journal of Financial Econometrics , vol.5 , pp. 285-320
    • Ciccarelli, M.1    Rebucci, A.2
  • 15
    • 0142119248 scopus 로고    scopus 로고
    • Are correlations of stock returns justified by subsequent changes in national outputs?
    • Dumas, B.; C. R. Harvey; and P. Ruiz. "Are Correlations of Stock Returns Justified by Subsequent Changes in National Outputs?" Journal of International Money and Finance, 22 (2003), 777-811.
    • (2003) Journal of International Money and Finance , vol.22 , pp. 777-811
    • Dumas, B.1    Harvey, C.R.2    Ruiz, P.3
  • 17
    • 70349100521 scopus 로고    scopus 로고
    • Dispersion, equity returns correlations and market integration
    • Tilburg University
    • Eiling, E., and B. Ǵerard. "Dispersion, Equity Returns Correlations and Market Integration."Working Paper, Tilburg University (2007).
    • (2007) Working Paper
    • Eiling, E.1    Ǵerard, B.2
  • 18
    • 33747363756 scopus 로고    scopus 로고
    • International diversification in the euro zone: The increasing riskiness of industry portfolios
    • Tilburg University
    • Eiling, E.; B. Ǵerard; and F. de Roon. "International Diversification in the Euro Zone: The Increasing Riskiness of Industry Portfolios." Working Paper, Tilburg University (2005).
    • (2005) Working Paper
    • Eiling, E.1    Ǵerard, B.2    De Roon, F.3
  • 19
    • 4444289240 scopus 로고    scopus 로고
    • CAViaR: Conditional autoregressive value at risk by regression quantiles
    • Engle, R. F., and S. Manganelli. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles." Journal of Business and Economic Statistics, 22 (2004), 367-381.
    • (2004) Journal of Business and Economic Statistics , vol.22 , pp. 367-381
    • Engle, R.F.1    Manganelli, S.2
  • 20
    • 84944837552 scopus 로고
    • International asset pricing under mild segmentation: Theory and Test
    • Errunza, V., and E. Losq. "International Asset Pricing under Mild Segmentation: Theory and Test." Journal of Finance, 40 (1985), 105-124.
    • (1985) Journal of Finance , vol.40 , pp. 105-124
    • Errunza, V.1    Losq, E.2
  • 21
    • 55949102222 scopus 로고    scopus 로고
    • Downloadable at
    • European Central Bank (ECB). "Financial Integration in Europe." Downloadable at http://www.ecb.int/pub/pdf/other/ financialintegrationineurope200804en.pdf (2008).
    • (2008) Financial Integration in Europe
  • 22
    • 27144510092 scopus 로고    scopus 로고
    • Estimating the expected marginal rate of substitution: A systematic exploitation of idiosyncratic risk
    • Flood, R. P., and A. K. Rose. "Estimating the Expected Marginal Rate of Substitution: A Systematic Exploitation of Idiosyncratic Risk." Journal of Monetary Economics, 52 (2005), 951-969.
    • (2005) Journal of Monetary Economics , vol.52 , pp. 951-969
    • Flood, R.P.1    Rose, A.K.2
  • 23
    • 0003350474 scopus 로고    scopus 로고
    • No contagion, only interdependence: Measuring stock market comovements
    • Forbes, K. J., and R. Rigobon. "No Contagion, Only Interdependence: Measuring Stock Market Comovements." Journal of Finance, 57 (2002), 2223-2261.
    • (2002) Journal of Finance , vol.57 , pp. 2223-2261
    • Forbes, K.J.1    Rigobon, R.2
  • 25
    • 0000660071 scopus 로고    scopus 로고
    • Another look at the role of the industrial structure of markets for international diversification strategies
    • Griffin, J. M., and G. A. Karolyi. "Another Look at the Role of the Industrial Structure of Markets for International Diversification Strategies." Journal of Financial Economics, 50 (1998), 351-373.
    • (1998) Journal of Financial Economics , vol.50 , pp. 351-373
    • Griffin, J.M.1    Karolyi, G.A.2
  • 29
    • 34548389025 scopus 로고    scopus 로고
    • Asymmetries in stock returns: Statistical tests and economic evaluation
    • Hong, Y.; J. Tu; and G. Zhou. "Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation." Review of Financial Studies, 20 (2007), 1547-1581.
    • (2007) Review of Financial Studies , vol.20 , pp. 1547-1581
    • Hong, Y.1    Tu, J.2    Zhou, G.3
  • 30
    • 0002437730 scopus 로고
    • A test for normality of observations and regression residuals
    • Jarque, C. M., and A. K. Bera. "A Test for Normality of Observations and Regression Residuals." International Statistical Review, 55 (1987), 163-172.
    • (1987) International Statistical Review , vol.55 , pp. 163-172
    • Jarque, C.M.1    Bera, A.K.2
  • 31
    • 3242709725 scopus 로고    scopus 로고
    • On more robust estimation of skewness and kurtosis
    • Kim, T.-H., and H. White. "On More Robust Estimation of Skewness and Kurtosis." Finance Research Letters, 1 (2004), 56-73.
    • (2004) Finance Research Letters , vol.1 , pp. 56-73
    • Kim, T.-H.1    White, H.2
  • 32
    • 84992529786 scopus 로고
    • Volatility and links between national stock markets
    • King, M.; E. Sentana; and S. Wadhwani. "Volatility and Links between National Stock Markets." Econometrica, 62 (1994), 901-933.
    • (1994) Econometrica , vol.62 , pp. 901-933
    • King, M.1    Sentana, E.2    Wadhwani, S.3
  • 34
    • 0009662024 scopus 로고    scopus 로고
    • Extreme correlation of international equity markets
    • Longin, F., and B. Solnik. "Extreme Correlation of International Equity Markets." Journal of Finance, 56 (2001), 649-676.
    • (2001) Journal of Finance , vol.56 , pp. 649-676
    • Longin, F.1    Solnik, B.2
  • 36
    • 0035584627 scopus 로고    scopus 로고
    • A time-varying parameter model to test for predictability and integration in the stock markets of transition economies
    • Rockinger, M., and G. Urga. "A Time-Varying Parameter Model to Test for Predictability and Integration in the Stock Markets of Transition Economies." Journal of Business and Economic Statistics, 19 (2001), 73-84.
    • (2001) Journal of Business and Economic Statistics , vol.19 , pp. 73-84
    • Rockinger, M.1    Urga, G.2
  • 37
    • 77953567374 scopus 로고    scopus 로고
    • Financial integration of european equity markets
    • HEC University of Lausanne
    • Sontchik, S. "Financial Integration of European Equity Markets." Working Paper, HEC University of Lausanne (2004).
    • (2004) Working Paper
    • Sontchik, S.1
  • 38
    • 34249011954 scopus 로고
    • A model of international asset pricing
    • Stulz, R. M. "A Model of International Asset Pricing." Journal of Financial Economics, 9 (1981), 383-406.
    • (1981) Journal of Financial Economics , vol.9 , pp. 383-406
    • Stulz, R.M.1
  • 39
    • 84920086235 scopus 로고    scopus 로고
    • Volatility and Time Series Econometrics: Essays in Honor of Robert F. Engle M. Watson, T. Bollerslev, and J. Russell, eds. Oxford, UK: Oxford University Press
    • White, H.; T.-H. Kim; and S. Manganelli. "Modeling Autoregressive Conditional Skewness and Kurtosis with Multi-Quantile CAViaR." In Volatility and Time Series Econometrics: Essays in Honor of Robert F. Engle, M. Watson, T. Bollerslev, and J. Russell, eds. Oxford, UK: Oxford University Press (2010).
    • (2010) Modeling Autoregressive Conditional Skewness and Kurtosis with Multi-Quantile CA Via R
    • White, H.1    Kim, T.-H.2    Manganelli, S.3


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.