Changing integration of EMU public property markets

Journal of International Financial Markets, Institutions and Money

Volumn 22, Issue 1, 2012, Pages 194-208

  Yunus, Nafeesa ^a   Swanson, Peggy E ^b  

^a UNIVERSITY OF BALTIMORE   (United States)

^b UNIVERSITY OF TEXAS AT ARLINGTON   (United States)

Author keywords

Convergence; European Monetary Union; Granger causality; Public property markets; Recursive cointegration analysis

Indexed keywords

EID: 83355169603     PISSN: 10424431     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.intfin.2011.09.001     Document Type: Article

References (39)

1. Alexakis C. Long-run relations among equity indices under different market conditions: implications on the implementation of statistical arbitrage strategies. Journal of International Financial Markets, Institutions and Money 2010, 20:389-403.
2. Arghyrou M.G., Gregoriou A., Kontonikas A. Do real interest rates converge? Evidence from the European Union. Journal of International Financial Markets, Institutions and Money 2009, 19:447-460.
3. Billio M., Pelizzon L. Volatility and shocks spillover before and after EMU in European stock markets. Journal of Multinational Financial Management 2003, 13:323-340.
4. Booth G.G., Leeb T.H., Tsec Y. International linkages in Nikkei Stock Index futures markets. Pacific-Basin Finance Journal 1996, 4:59-76.
5. Booth G.G., Martikainen T., Tsec Y. Price and volatility spillovers in Scandinavian stock markets. Journal of Banking and Finance 1997, 21:811-823.
6. Christiansen C. Volatility spillover effects in European bond markets. European Financial Management 2007, 13:923-948.
7. Crowder W.J., Wohar M.E. Cointegration, forecasting and international stock prices. Global Finance Journal 1998, 9:181-204.
8. Demian C.V. Cointegration in Central and East European markets in light of EU accession. Journal of International Financial Markets, Institutions and Money 2011, 21:144-155.
9. Elliott G., Rothenberg T.J., Stock G.H. Efficient tests for an autoregressive unit root. Econometrica 1996, 64:813-836.
10. Granger C.W.J. Some recent developments in the concept of causality. Journal of Econometrics 1988, 39:199-211.
11. Gregory A.W. Testing for cointegration in linear quadratic models. Journal of Business and Economic Statistics 1994, 12:347-360.
12. Hansen H., Johansen S. Some tests for parameter constancy in cointegrated VAR models. Econometrics Journal 1999, 2:306-333.
13. Hansen H., Juslius K. Manual to Cointegration Analysis of Time Series CATS in RATS 2000, Institute of Economics, University of Copenhagen.
14. Hardouvelis G.A., Malliaropulos D., Priestley R. EMU and European stock-market integration. Journal of Business 2006, 79:365-392.
15. Haug A.A.M., MacKinnon J.G., Micehlis L. European monetary union: a cointegration analysis. Journal of International Money and Finance 2000, 19:419-432.
16. Holmes M.J., Maghrebi N. Is there a connection between monetary unification and real economic integration? Evidence from regime-switching stationarity tests. Journal of International Money and Finance 2008, 27:958-970.
17. Johansen S. Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control 1988, 12:231-254.
18. Johansen S., Juselius K. Maximum likelihood estimation and inference on cointegration with applications to the demand for money. Oxford Bulletin of Economics and Statistics 1990, 52:169-210.
19. Kim S.J., Lucey B.M., Wu E. Dynamics of bond market integration between established and accession European Union countries. Journal of International Financial Markets, Institutions and Money 2006, 16:41-56.
20. Kim S.J., Moshirian F., Wu E. Dynamic stock-market integration given by the European Monetary Union: an empirical analysis. Journal of Banking and Finance 2005, 29:2475-2502.
21. Kim S.J., Moshirian F., Wu E. Dynamics of bond market integration between established and accession European Union countries. International Financial Markets, Institutions and Money 2006, 16:41-56.
22. Koutmos G., Booth G.G. Asymmetric volatility transmission in international stock markets. Journal of International Money and Finance 1995, 14:747-762.
23. Lein S.M., Leon-Ledesma M.A., Nerlich C. How is real convergence driving nominal convergence in the new EU member states?. Journal of International Money and Finance 2008, 27:227-248.
24. Lizieri C., McAllister P., Ward C. Continental shift? An analysis of convergence trends in European real estate equities. Journal of Real Estate Research 2002, 25:1-21.
25. McCue T.E., Kling J.L. Real estate returns and the macro economy: some empirical evidence from real estate investment trust. Journal of Real Estate Research 1994, 9:277-288.
26. Morelli D. European capital market integration: An empirical study based on a European asset pricing model. Journal of International Financial Markets, Institutions and Money 2010, 20:363-375.
27. Ng S., Perron P. Lag length selection and the construction of unit root tests with good size and power. Econometrica 2001, 69:1519-1554.
28. Osterwald-Lenum M. A Note with quartiles as the asymptotic distribution of the maximum likelihood cointegration rank test statistics. Oxford Bulletin of Economics and Statistics 1992, 54:461-472.
29. Pagano M., Thadden E.V. The European bond markets under EMU. Oxford Review of Economic Policy 2004, 20:531-554.
30. Phillips P.C.B., Perron P. Testing for a unit root in time series regression. Biometrika 1988, 75:335-346.
31. Phylaktis K., Ravazzolo F. Stock market linkages in emerging markets: implications for international portfolio diversification. Journal of International Financial Markets, Institutions and Money 2005, 15:91-106.
32. Rangvid J. Increasing convergence among European stock markets? A recursive common stochastic trends analysis. Economics Letters 2001, 71:383-389.
33. Richards A.J. Comovements in national stock market returns: evidence of predictability, but not cointegration. Journal of Monetary Economics 1996, 36:631-654.
34. Serletis A., King M. Common stochastic trends and convergence of European Union stock markets. Manchester School 1997, 65:44-57.
35. Syriopoulos T. Risk and return implications from investing in emerging European stock markets. Journal of International Financial Markets, Institutions and Money 2006, 16:283-299.
36. Wilson P., Okunev J. Evidence of segmentation in domestic and international property markets. Journal of Property Finance 1996, 7:78-97.
37. Wilson P., Zurbruegg R. Structural breaks, diversification and international real estate markets - some new evidence. Briefings in Real Estate Finance 2001, 1:348-366.
38. Yang J., Kolari W., Zhu G. European public real estate market integration. Applied Financial Economics 2005, 15:895-905.
39. Yunus N. Increasing convergence between us and international securitized property markets: evidence based on cointegration tests. Real Estate Economics 2009, 37:383-411.