메뉴 건너뛰기




Volumn 57, Issue 9-10, 2006, Pages 631-646

Integration of Croatian, CEE and EU equity markets: Cointegration approach;Integracija tržišta kapitala Hrvatske, zemalja srednje i istočne Europe i europske unije: Kointegracijski pristup

Author keywords

CEE; Cointegration; Equity markets; Financial integration

Indexed keywords


EID: 84902474190     PISSN: 04247558     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article
Times cited : (19)

References (28)
  • 1
    • 84993905064 scopus 로고
    • Time-varying world market integration
    • Bekaert, G, Harvey, C.R. (1995). “Time-varying world market integration”, The Journal of Finance, Vol. 50, pp. 403-444.
    • (1995) The Journal of Finance , vol.50 , pp. 403-444
    • Bekaert, G.1    Harvey, C.R.2
  • 2
    • 9144266389 scopus 로고    scopus 로고
    • Exchange Rate Pass-Trough and Monetary Policy in Croatia
    • Billmeier, A., Bonato, L. (2002). “Exchange Rate Pass-Trough and Monetary Policy in Croatia”, IMF Working Paper, 02/109.
    • (2002) IMF Working Paper, 02/109
    • Billmeier, A.1    Bonato, L.2
  • 3
    • 0033947014 scopus 로고    scopus 로고
    • Stock Market Integration and Macroeconomic Fundamentals: An Empirical Analysis
    • Dickinson, D. (2000). “Stock Market Integration and Macroeconomic Fundamentals: An Empirical Analysis”, Applied Financial Economics, Vol. 10, pp. 261-76.
    • (2000) Applied Financial Economics , vol.10 , pp. 261-276
    • Dickinson, D.1
  • 4
    • 0000472488 scopus 로고
    • Likelihood Ratio Tests for Autoregressive Time Series with a Unit Root
    • Dickey, D.A, Fuller, W.A. (1981). “Likelihood Ratio Tests for Autoregressive Time Series with a Unit Root”, Econometrica, Vol. 49, pp. 1057-1072
    • (1981) Econometrica , vol.49 , pp. 1057-1072
    • Dickey, D.A.1    Fuller, W.A.2
  • 5
    • 84993909002 scopus 로고
    • The World Price of Foreign Exchange Risk
    • Dumas, B., Solnik, B. (1995). “The World Price of Foreign Exchange Risk”, Journal of Finance, Vol 50(2), pp. 445-79.
    • (1995) Journal of Finance , vol.50 , Issue.2 , pp. 445-479
    • Dumas, B.1    Solnik, B.2
  • 7
    • 0000013567 scopus 로고
    • Co-integration and Error Correction: Representation, Estimation and Testing
    • Engle, R.F, Granger, C.W. (1987). “Co-integration and Error Correction: Representation, Estimation and Testing”, Econometrica, Vol. 55, pp. 251-276.
    • (1987) Econometrica , vol.55 , pp. 251-276
    • Engle, R.F.1    Granger, C.W.2
  • 8
    • 0003168194 scopus 로고
    • Forecasting International Equity Correlations
    • Nov.-Dec.
    • Erb, C, Campbell H, Viskanta T.(1994). “Forecasting International Equity Correlations”, Financial Analyst Journal, Nov.-Dec., pp. 32-45.
    • (1994) Financial Analyst Journal , pp. 32-45
    • Erb, C.1    Campbell, H.2    Viskanta, T.3
  • 10
    • 34250890715 scopus 로고
    • Business Conditions and the Expected Returns on Stocks and Bonds
    • Fama, E, French, K. (1989). “Business Conditions and the Expected Returns on Stocks and Bonds”, Journal of Financial Economics, Vol. 25, pp. 23-50
    • (1989) Journal of Financial Economics , vol.25 , pp. 23-50
    • Fama, E.1    French, K.2
  • 11
    • 84934453931 scopus 로고
    • The Variation of Economic Risk Premiums
    • Ferson, W, Harvey, C. (1991). “The Variation of Economic Risk Premiums”, Journal of Political Economy, Vol.99, pp. 385-415.
    • (1991) Journal of Political Economy , vol.99 , pp. 385-415
    • Ferson, W.1    Harvey, C.2
  • 12
    • 85051483847 scopus 로고
    • The Internationalization of Equity Markets
    • Frankel, J. (1994). “The Internationalization of Equity Markets,” NBER Working Papers 4590.
    • (1994) NBER Working Papers 4590
    • Frankel, J.1
  • 13
    • 1342329833 scopus 로고    scopus 로고
    • Financial Market Integration in Europe: On the Effects of EMU on Stock Markets
    • Fratzscher, M. (2001). “Financial Market Integration in Europe: on the Effects of EMU on Stock Markets”, ECB Working Paper no. 48.
    • (2001) ECB Working Paper No. 48
    • Fratzscher, M.1
  • 14
    • 84993088482 scopus 로고    scopus 로고
    • Bilateral and Multilateral Cointegration Properties between the German and Central European Equity Markets
    • Gilmore, C. G, McManus, G.M. (2003). “Bilateral and Multilateral Cointegration Properties between the German and Central European Equity Markets”, Studies in Economics and Finance, Vol. 21, pp. 40-53.
    • (2003) Studies in Economics and Finance , vol.21 , pp. 40-53
    • Gilmore, C.G.1    McManus, G.M.2
  • 18
    • 0010962742 scopus 로고    scopus 로고
    • The Conditional CAPM and the Cross-Section of Expected Returns
    • Jagannathan, R., Wang, Z. (1996). “The Conditional CAPM and the Cross-Section of Expected Returns”, Journal of Finance, Vol. 51, pp. 3-53.
    • (1996) Journal of Finance , vol.51 , pp. 3-53
    • Jagannathan, R.1    Wang, Z.2
  • 19
    • 0345510809 scopus 로고
    • Statistical Analysis of Cointegration Vectors
    • Johansen, S. (1988). “Statistical Analysis of Cointegration Vectors”, Journal of Economic Dynamics and Control, Vol.12, pp. 231-254.
    • (1988) Journal of Economic Dynamics and Control , vol.12 , pp. 231-254
    • Johansen, S.1
  • 20
    • 0003151378 scopus 로고
    • Transmission of Volatility between Stock Markets
    • King, M., Wadhwani, S. (1990). “Transmission of Volatility between Stock Markets”, Review of Financial Studies, Vol. 3, pp. 5-33.
    • (1990) Review of Financial Studies , vol.3 , pp. 5-33
    • King, M.1    Wadhwani, S.2
  • 22
    • 77952067741 scopus 로고
    • A Measure of Stock Market Integration for Developed and Emerging Markets
    • World Bank
    • Korajczyk, R. (1995). “A Measure of Stock Market Integration for Developed and Emerging Markets”, Policy Research Working Paper 1482, World Bank
    • (1995) Policy Research Working Paper 1482
    • Korajczyk, R.1
  • 23
    • 8844279231 scopus 로고    scopus 로고
    • The integration of the Central and Eastern European equity markets into the international capital markets: A cointegration analysis
    • Linne, T. (1998). “The integration of the Central and Eastern European equity markets into the international capital markets: A cointegration analysis”, Institut für Wirtschaftsforschung, Halle, Working paper, 1/1998
    • (1998) Institut für Wirtschaftsforschung, Halle, Working Paper, 1/1998
    • Linne, T.1
  • 24
    • 77956888124 scopus 로고
    • Testing for a Unit Root in Time Series Regression
    • Phillips, P.C.B, Perron, P. (1987). “Testing for a Unit Root in Time Series Regression”, Biometrica, Vol. 75, pp. 335-346.
    • (1987) Biometrica , vol.75 , pp. 335-346
    • Phillips, P.1    Perron, P.2
  • 26
    • 0000923251 scopus 로고
    • Comovements in National Stock Market Returns: Evidence of Predictability but not Cointegration
    • Richards, A.J. (1995). “Comovements in National Stock Market Returns: Evidence of Predictability but not Cointegration”, Journal of Monetary Economics, Vol. 36(3), pp. 631-654.
    • (1995) Journal of Monetary Economics , vol.36 , Issue.3 , pp. 631-654
    • Richards, A.J.1
  • 27
    • 34249040702 scopus 로고    scopus 로고
    • What Role do Banks play in Monetary Policy Transmission in EU New Member Countries?
    • Central Bank of Hungary
    • Schmitz, B. (2004). “What Role do Banks play in Monetary Policy Transmission in EU New Member Countries?”, in 3rd Macroeconomic Policy Research Workshop, Central Bank of Hungary.
    • (2004) 3Rd Macroeconomic Policy Research Workshop
    • Schmitz, B.1
  • 28
    • 8844254731 scopus 로고    scopus 로고
    • Equity Market Integration in Central European Emerging Markets: A Cointegration Analysis with Shifting Regimes
    • Voronkova, S. (2004). “Equity Market Integration in Central European Emerging Markets: A Cointegration Analysis with Shifting Regimes”, International Review of Financial Analysis, Vol.13, pp. 633-647.
    • (2004) International Review of Financial Analysis , vol.13 , pp. 633-647
    • Voronkova, S.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.