-
1
-
-
0033463842
-
Volatility in emerging stock markets
-
Aggarwal, R., Inclan, C. and Leal, R. (1999) Volatility in emerging stock markets, Journal of Financial and Quantitative Analysis, 34(1), 33-55.
-
(1999)
Journal of Financial and Quantitative Analysis
, vol.34
, Issue.1
, pp. 33-55
-
-
Aggarwal, R.1
Inclan, C.2
Leal, R.3
-
2
-
-
0031256305
-
Integration of international capital markets: Further evidence from EMS and non-EMS membership
-
Alexakis, P., Apergis, N. and Xanthakis, E. (1997) Integration of international capital markets: further evidence from EMS and non-EMS membership, Journal of International Financial Markets, Institutions and Money, 7, 277-87.
-
(1997)
Journal of International Financial Markets, Institutions and Money
, vol.7
, pp. 277-287
-
-
Alexakis, P.1
Apergis, N.2
Xanthakis, E.3
-
4
-
-
0041652877
-
Pacific basin stock market linkages
-
Arshanapalli, B. and Doukas, J. (1996) Pacific basin stock market linkages, Research in International Business and Finance (Supplement), 1, 101-9.
-
(1996)
Research in International Business and Finance
, vol.1
, Issue.SUPPL.
, pp. 101-109
-
-
Arshanapalli, B.1
Doukas, J.2
-
5
-
-
0001909582
-
Pre-and post-October 1987 stock market linkages between US and Asian markets
-
Arshanapalli, B., Doukas, J. and Lang, L. H. P. (1995) Pre-and post-October 1987 stock market linkages between US and Asian markets, Pacific-Basin Finance Journal, 3, 57-73.
-
(1995)
Pacific-Basin Finance Journal
, vol.3
, pp. 57-73
-
-
Arshanapalli, B.1
Doukas, J.2
Lang, L.H.P.3
-
6
-
-
0037377159
-
The structure of interdependence in international stock markets
-
Bessler, D. A. and Yang, J. (2003) The structure of interdependence in international stock markets, Journal of International Money and Finance, 22, 261-87.
-
(2003)
Journal of International Money and Finance
, vol.22
, pp. 261-287
-
-
Bessler, D.A.1
Yang, J.2
-
7
-
-
0031161635
-
Price and volatility spillovers in Scandinavian stock markets
-
Booth, G. G., Martikainen, T. and Tse, Y. (1997) Price and volatility spillovers in Scandinavian stock markets, Journal of Banking and Finance, 21, 811-23.
-
(1997)
Journal of Banking and Finance
, vol.21
, pp. 811-823
-
-
Booth, G.G.1
Martikainen, T.2
Tse, Y.3
-
8
-
-
47749126040
-
-
Bratislava Stock Exchange www.bsse.sk
-
Bratislava Stock Exchange (2003) Fact Book, www.bsse.sk.
-
(2003)
Fact Book
-
-
-
9
-
-
0001577859
-
Evidence on adjustments in major national stock market linkages over the 1980s
-
Brocato, J. (1994) Evidence on adjustments in major national stock market linkages over the 1980s, Journal of Business Finance and Accounting, 21, 643-67.
-
(1994)
Journal of Business Finance and Accounting
, vol.21
, pp. 643-667
-
-
Brocato, J.1
-
11
-
-
47749126040
-
-
Budapest Stock Exchange www.bse.hu
-
Budapest Stock Exchange (2003) Fact Book, www.bse.hu.
-
(2003)
Fact Book
-
-
-
12
-
-
0003963721
-
-
Princeton University Press, Princeton, NJ
-
Campbell, J. Y., Lo, A .W. and MacKinley, A. C. (1997) The Econometrics of Financial Markets, Princeton University Press, Princeton, NJ.
-
(1997)
The Econometrics of Financial Markets
-
-
Campbell, J.Y.1
Lo, A.W.2
MacKinley, A.C.3
-
13
-
-
9444286115
-
Do international stock markets linkages change across bulls and bears?
-
www.crereg.univ.fr Discussion Paper
-
Capelle-Blancard, G. and Raymond, H. (2002) Do international stock markets linkages change across bulls and bears?, Discussion Paper, www.crereg.univ.fr.
-
(2002)
-
-
Capelle-Blancard, G.1
Raymond, H.2
-
14
-
-
9444243551
-
Cointegration and predictability of asset prices
-
Discussion Paper, No 08-98, Centre for Economic Forecasting, London Business School
-
Caporale, G. M. and Pittis, N. (1998) Cointegration and predictability of asset prices, Discussion Paper, No 08-98, Centre for Economic Forecasting, London Business School.
-
(1998)
-
-
Caporale, G.M.1
Pittis, N.2
-
15
-
-
84987492218
-
An empirical analysis of stock prices in major Asian markets and the United States
-
Chan, K. C., Gup, B. E. and Pan, M. S. (1992) An empirical analysis of stock prices in major Asian markets and the United States, The Financial Review, 27, 89-107.
-
(1992)
The Financial Review
, vol.27
, pp. 89-107
-
-
Chan, K.C.1
Gup, B.E.2
Pan, M.S.3
-
16
-
-
0000428793
-
International stock market efficiency and integration: A study of eighteen nations
-
July, 22-38
-
Chan, K. C., Gup, B. E. and Pan, M. S. (1997) International stock market efficiency and integration: a study of eighteen nations, Journal of Business Finance and Accounting, July, 22-38.
-
(1997)
Journal of Business Finance and Accounting
-
-
Chan, K.C.1
Gup, B.E.2
Pan, M.S.3
-
17
-
-
44049114170
-
Information, trading and stock returns: Lessons from dually-traded securities
-
Chan, K. C., Karolyi, G. A. and Stulz, R. M. (1992) Information, trading and stock returns: lessons from dually-traded securities, Journal of Financial Economics, 32, 137-67.
-
(1992)
Journal of Financial Economics
, vol.32
, pp. 137-167
-
-
Chan, K.C.1
Karolyi, G.A.2
Stulz, R.M.3
-
18
-
-
9444282334
-
International portfolio diversification in the African emerging equity markets: A cointegration analysis
-
Chatterjee, A., Ayadi, F. O. and Dufrene, U. B. (1998) International portfolio diversification in the African emerging equity markets: a cointegration analysis, Journal of Emerging Markets, 3(2), 49-60.
-
(1998)
Journal of Emerging Markets
, vol.3
, Issue.2
, pp. 49-60
-
-
Chatterjee, A.1
Ayadi, F.O.2
Dufrene, U.B.3
-
19
-
-
0030760189
-
Stock returns in emerging markets: A common trend analysis
-
Chaudhuri, K. (1996) Stock returns in emerging markets: a common trend analysis, Applied Economics Letters, 4, 105-8.
-
(1996)
Applied Economics Letters
, vol.4
, pp. 105-108
-
-
Chaudhuri, K.1
-
20
-
-
0037375007
-
Random walk versus breaking trend in stock prices: Evidence from emerging markets
-
Chaudhuri, K. and Wu, Y. (2003) Random walk versus breaking trend in stock prices: evidence from emerging markets, Journal of Banking and Finance, 27, 575-92.
-
(2003)
Journal of Banking and Finance
, vol.27
, pp. 575-592
-
-
Chaudhuri, K.1
Wu, Y.2
-
21
-
-
0036241575
-
Stock market linkages: Evidence from Latin America
-
Chen, G., Firth, M. and Rui, O. (2002) Stock market linkages: evidence from Latin America, Journal of Banking and Finance, 26, 1113-41.
-
(2002)
Journal of Banking and Finance
, vol.26
, pp. 1113-1141
-
-
Chen, G.1
Firth, M.2
Rui, O.3
-
22
-
-
0001044507
-
The UK stock market and economic factors: A new approach
-
Cheung, A. C. S. (1995) The UK stock market and economic factors: a new approach, Journal of Business Finance and Accounting, 22(1), 129-42.
-
(1995)
Journal of Business Finance and Accounting
, vol.22
, Issue.1
, pp. 129-142
-
-
Cheung, A.C.S.1
-
23
-
-
0031542845
-
Common predictable components in regional stock markets
-
Cheung, Y. W., He, J. and Ng, L. K. (1997) Common predictable components in regional stock markets, Journal of Business and Economic Statistics, 15(1), 35-42.
-
(1997)
Journal of Business and Economic Statistics
, vol.15
, Issue.1
, pp. 35-42
-
-
Cheung, Y.W.1
He, J.2
Ng, L.K.3
-
24
-
-
84963254704
-
Stochastic trends and stock prices: An international inquiry
-
Choudhry, T. (1994) Stochastic trends and stock prices: an international inquiry, Applied Financial Economics, 4, 383-90.
-
(1994)
Applied Financial Economics
, vol.4
, pp. 383-390
-
-
Choudhry, T.1
-
25
-
-
0001724135
-
Interdependence of stock markets: Evidence from Europe during the 1920s and the 1930s
-
Choudhry, T. (1996) Interdependence of stock markets: evidence from Europe during the 1920s and the 1930s, Applied Financial Economics, 6, 243-9.
-
(1996)
Applied Financial Economics
, vol.6
, pp. 243-249
-
-
Choudhry, T.1
-
26
-
-
0031530709
-
Stochastic trends in stock prices: Evidence from Latin American markets
-
Choudhry, T. (1997) Stochastic trends in stock prices: evidence from Latin American markets, Journal of Macroeconomics, 19, 285-304.
-
(1997)
Journal of Macroeconomics
, vol.19
, pp. 285-304
-
-
Choudhry, T.1
-
27
-
-
0000028584
-
Common stochastic trends in Pacific Rim stock markets
-
Chung, P. J. and Liu, D. J. (1994) Common stochastic trends in Pacific Rim stock markets, Quarterly Review of Economics and Finance, 34(3), 241-59.
-
(1994)
Quarterly Review of Economics and Finance
, vol.34
, Issue.3
, pp. 241-259
-
-
Chung, P.J.1
Liu, D.J.2
-
28
-
-
38249006793
-
Common stochastic trends in European stock markets
-
Corhay, A., Rad, A. T. and Urbain, J. P. (1993) Common stochastic trends in European stock markets, Economics Letters, 42, 385-90.
-
(1993)
Economics Letters
, vol.42
, pp. 385-390
-
-
Corhay, A.1
Rad, A.T.2
Urbain, J.P.3
-
29
-
-
0002581357
-
Long run behaviour of Pacific-Basin stock prices
-
Corhay, A., Rad, A. T. and Urbain, J. P. (1995) Long run behaviour of Pacific-Basin stock prices, Applied Financial Economics, 5, 11-18.
-
(1995)
Applied Financial Economics
, vol.5
, pp. 11-18
-
-
Corhay, A.1
Rad, A.T.2
Urbain, J.P.3
-
30
-
-
0000142440
-
Foreign exchange market efficiency and common stochastic trends
-
Crowder, W. J. (1994) Foreign exchange market efficiency and common stochastic trends, Journal of International Money and Finance, 13, 551-64.
-
(1994)
Journal of International Money and Finance
, vol.13
, pp. 551-564
-
-
Crowder, W.J.1
-
31
-
-
0030210087
-
A note on cointegration and international capital market efficiency: A reply
-
Crowder, W. J. (1996) A note on cointegration and international capital market efficiency: a reply, Journal of International Money and Finance, 15, 661-4.
-
(1996)
Journal of International Money and Finance
, vol.15
, pp. 661-664
-
-
Crowder, W.J.1
-
32
-
-
9444242370
-
Long-run diversification potential in emerging stock markets
-
Defusco, R. A., Geppert, J. M. and Tsetsekos, G. P. (1996) Long-run diversification potential in emerging stock markets, The Financial Review, 27(2), 289-95.
-
(1996)
The Financial Review
, vol.27
, Issue.2
, pp. 289-295
-
-
Defusco, R.A.1
Geppert, J.M.2
Tsetsekos, G.P.3
-
33
-
-
0041702411
-
Equity market in the Asia Pacific region: A comparison of the orthogonalized and generalized VAR approaches
-
Dekker, A. K., Sen, K. and Young, M. (2001) Equity market in the Asia Pacific region: a comparison of the orthogonalized and generalized VAR approaches, Global Finance Journal, 12, 1057-72.
-
(2001)
Global Finance Journal
, vol.12
, pp. 1057-1072
-
-
Dekker, A.K.1
Sen, K.2
Young, M.3
-
34
-
-
85036258669
-
Distribution of the estimators for autoregressive time series with a unit root
-
Dickey, D. A. and Fuller, W. A. (1979) Distribution of the estimators for autoregressive time series with a unit root, Journal of the American Statistical Association, 74, 427-31.
-
(1979)
Journal of the American Statistical Association
, vol.74
, pp. 427-431
-
-
Dickey, D.A.1
Fuller, W.A.2
-
35
-
-
0000472488
-
Likelihood ratio statistics for autoregressive time series with a unit root
-
Dickey, D. A. and Fuller, W. A. (1981) Likelihood ratio statistics for autoregressive time series with a unit root, Econometrica, 49(4), 1057-72.
-
(1981)
Econometrica
, vol.49
, Issue.4
, pp. 1057-1072
-
-
Dickey, D.A.1
Fuller, W.A.2
-
36
-
-
0001800397
-
A primer on cointegration with an application to money and income
-
Dickey, D. A., Jansen, D. and Thornton, D. (1991) A primer on cointegration with an application to money and income, Review, Federal Reserve Bank of St. Louis, 73, 58-78.
-
(1991)
Review, Federal Reserve Bank of St. Louis
, vol.73
, pp. 58-78
-
-
Dickey, D.A.1
Jansen, D.2
Thornton, D.3
-
37
-
-
0033947014
-
Stock market integration and macro-economic fundamentals: An empirical analysis
-
Dickinson, D. G. (2000) Stock market integration and macro-economic fundamentals: an empirical analysis, Applied Financial Economics, 10, 261-76.
-
(2000)
Applied Financial Economics
, vol.10
, pp. 261-276
-
-
Dickinson, D.G.1
-
39
-
-
9444235872
-
Co-movement of European equity markets after euro
-
Discussion Paper, 8th Annual Global Finance Conference, Los Angeles, CA
-
Ejara, D. D. (2001) Co-movement of European equity markets after euro, Discussion Paper, 8th Annual Global Finance Conference, Los Angeles, CA.
-
(2001)
-
-
Ejara, D.D.1
-
42
-
-
0030210596
-
A note on cointegration and international capital market efficiency
-
Engel, C. (1996) A note on cointegration and international capital market efficiency, Journal of International Money and Finance, 15, 657-60.
-
(1996)
Journal of International Money and Finance
, vol.15
, pp. 657-660
-
-
Engel, C.1
-
43
-
-
0000013567
-
Co-integration and error correction: Representation, estimation and testing
-
Engle, R. F. and Granger, C. W. (1987) Co-integration and error correction: representation, estimation and testing, Econometrica, 55, 251-76.
-
(1987)
Econometrica
, vol.55
, pp. 251-276
-
-
Engle, R.F.1
Granger, C.W.2
-
45
-
-
41449107779
-
An empirical study of cointegration and causality in the Asia-Pacific stock market
-
Working Paper, Yale University
-
Fan, W. (2001) An empirical study of cointegration and causality in the Asia-Pacific stock market, Working Paper, Yale University.
-
(2001)
-
-
Fan, W.1
-
46
-
-
8744244622
-
Dynamic linkages between the US and Japanese stock markets
-
Working Paper, California State University, Los Angeles, CA
-
Fang, H., Lai, K. and Lai, M. (1991) Dynamic linkages between the US and Japanese stock markets, Working Paper, California State University, Los Angeles, CA.
-
(1991)
-
-
Fang, H.1
Lai, K.2
Lai, M.3
-
48
-
-
0032090713
-
Superexogeneity and the dynamic linkages among international equity markets
-
Francis, B. and Leachman, L. (1998) Superexogeneity and the dynamic linkages among international equity markets, Journal of International Money and Finance, 17, 475-92.
-
(1998)
Journal of International Money and Finance
, vol.17
, pp. 475-492
-
-
Francis, B.1
Leachman, L.2
-
50
-
-
0011308214
-
Interdependencies among the Irish, British and German stock markets
-
Gallagher, L. (1995) Interdependencies among the Irish, British and German stock markets, Economic and Social Review, 26(2), 131-47.
-
(1995)
Economic and Social Review
, vol.26
, Issue.2
, pp. 131-147
-
-
Gallagher, L.1
-
51
-
-
0003931213
-
Financial market spillovers in transition economies
-
Working Paper, International Monetary Fund
-
Gelos, G. and Sahay, R. (2000) Financial market spillovers in transition economies, Working Paper, International Monetary Fund.
-
(2000)
-
-
Gelos, G.1
Sahay, R.2
-
52
-
-
0038936656
-
Short- and long-term links among European and US stock markets
-
Gerrits, R. J. and Yuce, A. (1999) Short- and long-term links among European and US stock markets, Applied Financial Economics, 9, 1-9.
-
(1999)
Applied Financial Economics
, vol.9
, pp. 1-9
-
-
Gerrits, R.J.1
Yuce, A.2
-
53
-
-
85040428425
-
Who moves the Asia-Pacific stock markets - US or Japan? Empirical evidence based on the theory of cointegration
-
Ghosh, A., Saidi, R. and Johnson, K. H. (1999) Who moves the Asia-Pacific stock markets - US or Japan? Empirical evidence based on the theory of cointegration, The Financial Review, 34, 159-70.
-
(1999)
The Financial Review
, vol.34
, pp. 159-170
-
-
Ghosh, A.1
Saidi, R.2
Johnson, K.H.3
-
54
-
-
0036509725
-
International portfolio diversification: US and Central European equity markets
-
Gilmore, C. G. and McManus, G. M. (2002) International portfolio diversification: US and Central European equity markets, Emerging Markets Review, 3, 69-83.
-
(2002)
Emerging, Markets Review
, vol.3
, pp. 69-83
-
-
Gilmore, C.G.1
McManus, G.M.2
-
55
-
-
0001698432
-
Correlations in price changes and volatility across international stock markets
-
Hamao, Y., Masulis, R. W. and Ng, V. (1990) Correlations in price changes and volatility across international stock markets, Review of Financial Studies, 3(2), 281-307.
-
(1990)
Review of Financial Studies
, vol.3
, Issue.2
, pp. 281-307
-
-
Hamao, Y.1
Masulis, R.W.2
Ng, V.3
-
56
-
-
0001919954
-
The effect of the 1987 stock crash on international financial integration
-
(Eds) W. Ziemba, W. Bailey and Y. Hamao, Elsevier, Amsterdam
-
Hamao, Y., Masulis, R. W. and Ng, V. (1991) The effect of the 1987 stock crash on international financial integration, in Japanese Financial Market Research (Eds) W. Ziemba, W. Bailey and Y. Hamao, Elsevier, Amsterdam, pp. 483-502.
-
(1991)
Japanese Financial Market Research
, pp. 483-502
-
-
Hamao, Y.1
Masulis, R.W.2
Ng, V.3
-
57
-
-
0003410290
-
-
Princeton University Press, Princeton, NJ
-
Hamilton, J. D. (1994) Time Series Analysis, Princeton University Press, Princeton, NJ.
-
(1994)
Time Series Analysis
-
-
Hamilton, J.D.1
-
58
-
-
0033664627
-
The relationship between economic factors and equity markets in Central Europe
-
Hanousek, K. and Filer, R. K. (2000) The relationship between economic factors and equity markets in Central Europe, Economics of Transition, 8, 99-126.
-
(2000)
Economics of Transition
, vol.8
, pp. 99-126
-
-
Hanousek, K.1
Filer, R.K.2
-
60
-
-
4644333574
-
Transition countries in 2003: Reforms and restructuring keep the global economic slowdown at bay
-
Working Paper, Vienna Institute for International Economic Studies
-
Havlik, P. (2003) Transition countries in 2003: reforms and restructuring keep the global economic slowdown at bay, Working Paper, Vienna Institute for International Economic Studies.
-
(2003)
-
-
Havlik, P.1
-
61
-
-
20444480052
-
Regional integration of national stock markets
-
Heaney, R., Hooper, V. and Jaugietis, M. (2000) Regional integration of national stock markets, Asian Review of Accounting, 8, 150-64.
-
(2000)
Asian Review of Accounting
, vol.8
, pp. 150-164
-
-
Heaney, R.1
Hooper, V.2
Jaugietis, M.3
-
62
-
-
9444243550
-
Regional integration of stock markets in Latin America
-
Working Paper, University of New South Wales, Australia
-
Heaney, R., Hooper, V. and Jaugietis, M. (2001) Regional integration of stock markets in Latin America, Working Paper, University of New South Wales, Australia.
-
(2001)
-
-
Heaney, R.1
Hooper, V.2
Jaugietis, M.3
-
64
-
-
0005482588
-
Causality and cointegration of stock markets among the United States, Japan and the South China Growth Triangle
-
Huang, B. N., Yang, C. W. and Hu, J. W. S. (2000) Causality and cointegration of stock markets among the United States, Japan and the South China Growth Triangle, International Review of Financial Analysis, 9(3), 281-97.
-
(2000)
International Review of Financial Analysis
, vol.9
, Issue.3
, pp. 281-297
-
-
Huang, B.N.1
Yang, C.W.2
Hu, J.W.S.3
-
65
-
-
85015364053
-
Interdependence of Asian emerging equity markets
-
Hung, B. W. S. and Cheung, Y. L. (1995) Interdependence of Asian emerging equity markets, Journal of Business Finance and Accounting, 22(2), 281-8.
-
(1995)
Journal of Business Finance and Accounting
, vol.22
, Issue.2
, pp. 281-288
-
-
Hung, B.W.S.1
Cheung, Y.L.2
-
66
-
-
0001288045
-
An empirical examination of linkages between Pacific-Basin stock markets
-
Janakiramanan, S. and Lamba, A. S. (1998) An empirical examination of linkages between Pacific-Basin stock markets, Journal of International Financial Markets, Institutions and Money, 8, 155-73.
-
(1998)
Journal of International Financial Markets, Institutions and Money
, vol.8
, pp. 155-173
-
-
Janakiramanan, S.1
Lamba, A.S.2
-
67
-
-
0003185664
-
A system of stock prices in world stock exchanges: Common stochastic trends for 1975-1990?
-
Jeon, B. N. and Chiang, T. C. (1991) A system of stock prices in world stock exchanges: common stochastic trends for 1975-1990?, Journal of Economics and Business, 43, 329-38.
-
(1991)
Journal of Economics and Business
, vol.43
, pp. 329-338
-
-
Jeon, B.N.1
Chiang, T.C.2
-
69
-
-
0033442761
-
A long-run relationship between Eastern European stock markets? Cointegration and the 1997/98 crisis in emerging markets
-
Jochum, C., Kirchgasser, G. and Platek, M. (1999) A long-run relationship between Eastern European stock markets? Cointegration and the 1997/98 crisis in emerging markets, Weltwirtschaftliches Archiv, 135, 455-79.
-
(1999)
Weltwirtschaftliches Archiv
, vol.135
, pp. 455-479
-
-
Jochum, C.1
Kirchgasser, G.2
Platek, M.3
-
70
-
-
0345510809
-
Statistical analysis of cointegration vectors
-
Johansen, S. (1988) Statistical analysis of cointegration vectors, Journal of Economic Dynamics and Control, 12(2), 231-54.
-
(1988)
Journal of Economic Dynamics and Control
, vol.12
, Issue.2
, pp. 231-254
-
-
Johansen, S.1
-
71
-
-
0000158117
-
Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models
-
Johansen, S. (1991) Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models, Econometrica, 59(6), 1551-80.
-
(1991)
Econometrica
, vol.59
, Issue.6
, pp. 1551-1580
-
-
Johansen, S.1
-
72
-
-
84981621724
-
Determination of cointegration rank in the presence of a linear trend
-
Johansen, S. (1992) Determination of cointegration rank in the presence of a linear trend, Oxford Bulletin of Economics and Statistics, 54(3), 383-97.
-
(1992)
Oxford Bulletin of Economics and Statistics
, vol.54
, Issue.3
, pp. 383-397
-
-
Johansen, S.1
-
74
-
-
84981579311
-
Maximum likelihood estimation and inference on cointegration with application to the demand for money
-
Johansen, S. and Juselius, K. (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
-
75
-
-
44049117018
-
Testing structural hypotheses in a multivariate cointegration analysis of the PPP and UIP for UK
-
Johansen, S. and Juselius, K. (1992) Testing structural hypotheses in a multivariate cointegration analysis of the PPP and UIP for UK, Journal of Econometrics, 53, 211-44.
-
(1992)
Journal of Econometrics
, vol.53
, pp. 211-244
-
-
Johansen, S.1
Juselius, K.2
-
76
-
-
43949150447
-
Identification of the long-run and the short-run structure: An application to the ISLM model
-
Johansen, S. and Juselius, K. (1994) Identification of the long-run and the short-run structure: An application to the ISLM model, Journal of Econometrics, 63, 7-36.
-
(1994)
Journal of Econometrics
, vol.63
, pp. 7-36
-
-
Johansen, S.1
Juselius, K.2
-
77
-
-
0002653201
-
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
-
78
-
-
0033110664
-
Local and global price memory of international stock markets
-
Knif, J. and Pynnonen, S. (1999) Local and global price memory of international stock markets, Journal of International Financial Markets, Institutions and Money, 9, 129-47.
-
(1999)
Journal of International Financial Markets, Institutions and Money
, vol.9
, pp. 129-147
-
-
Knif, J.1
Pynnonen, S.2
-
79
-
-
0001486314
-
Evolution of dynamic linkages across daily national stock indexes
-
Koch, P. and Koch, T. (1991) Evolution of dynamic linkages across daily national stock indexes, Journal of International Money and Finance, 10, 231-51.
-
(1991)
Journal of International Money and Finance
, vol.10
, pp. 231-251
-
-
Koch, P.1
Koch, T.2
-
80
-
-
8644275853
-
The prospects of capital markets in Central and Eastern Europe
-
Working Paper, No. 02-57, Centre for European Economic Research
-
Koke, J. and Schroder, M. (2002) The prospects of capital markets in Central and Eastern Europe, Working Paper, No. 02-57, Centre for European Economic Research.
-
(2002)
-
-
Koke, J.1
Schroder, M.2
-
81
-
-
0000035903
-
Modeling the dynamic interdependence of major European stock markets
-
Koutmos, G. (1996) Modeling the dynamic interdependence of major European stock markets, Journal of Business Finance and Accounting, 23(7), 975-88.
-
(1996)
Journal of Business Finance and Accounting
, vol.23
, Issue.7
, pp. 975-988
-
-
Koutmos, G.1
-
82
-
-
0009095220
-
The causal relationships between equity indices on world exchanges
-
Kwan, A. C. C., Sim, A. B. and Cotsomitis, J. A. (1995) The causal relationships between equity indices on world exchanges, Applied Economics, 27(1), 33-7.
-
(1995)
Applied Economics
, vol.27
, Issue.1
, pp. 33-37
-
-
Kwan, A.C.C.1
Sim, A.B.2
Cotsomitis, J.A.3
-
83
-
-
0002710746
-
Dynamic linkages between the New York and Tokyo stock markets: A vector error correction analysis
-
Lai, M., Lai, K. S. and Fang, H. (1993) Dynamic linkages between the New York and Tokyo stock markets: a vector error correction analysis, Journal of International Financial Markets, Institutions and Money, 3(2), 73-96.
-
(1993)
Journal of International Financial Markets, Institutions and Money
, vol.3
, Issue.2
, pp. 73-96
-
-
Lai, M.1
Lai, K.S.2
Fang, H.3
-
84
-
-
21844516375
-
Long-run relations among the G-5 and G-7 equity markets: Evidence on the Plaza and Louvre Accords
-
Leachman, L. L. and Francis, B. (1995) Long-run relations among the G-5 and G-7 equity markets: evidence on the Plaza and Louvre Accords, Journal of Macroeconomics, 17, 551-77.
-
(1995)
Journal of Macroeconomics
, vol.17
, pp. 551-577
-
-
Leachman, L.L.1
Francis, B.2
-
85
-
-
0000264314
-
Do bulls and bears move across borders? International transmission of stock returns and volatility
-
Lin, W., Engle, R. F. and Ito, T. (1994) Do bulls and bears move across borders? International transmission of stock returns and volatility, Review of Financial Studies, 7(3), 507-38.
-
(1994)
Review of Financial Studies
, vol.7
, Issue.3
, pp. 507-538
-
-
Lin, W.1
Engle, R.F.2
Ito, T.3
-
86
-
-
8844279231
-
The integration of the Central and Eastern European equity markets into the international capital markets: A cointegration analysis
-
Working Paper, Institut fur Wirtschaftsforschung Halle
-
Linne, T. (1998) The integration of the Central and Eastern European equity markets into the international capital markets: a cointegration analysis, Working Paper, Institut fur Wirtschaftsforschung Halle.
-
(1998)
-
-
Linne, T.1
-
88
-
-
8844249457
-
Transformation of external shocks and capital market integration
-
in The New Capital Markets in Central and Eastern Europe (Ed.) M. Schroder, Springer Verlag
-
MacDonald, R. (2001) Transformation of external shocks and capital market integration, in The New Capital Markets in Central and Eastern Europe (Ed.) M. Schroder, The Centre for European Economic Research, Springer Verlag, pp. 210-45.
-
(2001)
The Centre for European Economic Research
, pp. 210-245
-
-
MacDonald, R.1
-
89
-
-
0002378331
-
Critical values for cointegration tests
-
(Eds) R. F. Engle and C. W. J. Granger, Oxford University Press, Oxford
-
MacKinnon, J. G. (1991) Critical values for cointegration tests, in Long-run Economic Relationships: Readings in Cointegration (Eds) R. F. Engle and C. W. J. Granger, Oxford University Press, Oxford, pp. 267-76.
-
(1991)
Long-run Economic Relationships: Readings in Cointegration
, pp. 267-276
-
-
MacKinnon, J.G.1
-
91
-
-
21144464955
-
The international crash of October 1987: Causality tests
-
Malliaris, A. G. and Urrutia, J. L. (1992) The international crash of October 1987: causality tests, Journal of Financial and Quantitative Analysis, 27(3), 353-64.
-
(1992)
Journal of Financial and Quantitative Analysis
, vol.27
, Issue.3
, pp. 353-364
-
-
Malliaris, A.G.1
Urrutia, J.L.2
-
92
-
-
0036194286
-
Common trends and convergence? South East Asian equity markets, 1998-1999
-
Manning, N. (2002) Common trends and convergence? South East Asian equity markets, 1998-1999, Journal of International Money and Finance, 21, 183-202.
-
(2002)
Journal of International Money and Finance
, vol.21
, pp. 183-202
-
-
Manning, N.1
-
93
-
-
0031446533
-
Dynamic linkages and the propagation mechanic driving major international markets: An analysis of the pre- and post- crash era
-
Masih, A. M. M. and Masih, P. (1997) Dynamic linkages and the propagation mechanic driving major international markets: an analysis of the pre- and post- crash era, Quarterly Review of Economics and Finance, 37(4), 859-85.
-
(1997)
Quarterly Review of Economics and Finance
, vol.37
, Issue.4
, pp. 859-885
-
-
Masih, A.M.M.1
Masih, P.2
-
94
-
-
0000706085
-
A simple positive definite, heteroskedasticity and autocorrelation consistent covariance matrix
-
Newey, W. K. and West, K. D. (1987) A simple positive definite, heteroskedasticity and autocorrelation consistent covariance matrix, Econometrica, 55, 703-8.
-
(1987)
Econometrica
, vol.55
, pp. 703-708
-
-
Newey, W.K.1
West, K.D.2
-
95
-
-
0033772026
-
Central and Eastern Europe and the new financial architecture
-
Nord, R. (2000) Central and Eastern Europe and the new financial architecture, IMF Finance and Development, 37(3), 1-7.
-
(2000)
IMF Finance and Development
, vol.37
, Issue.3
, pp. 1-7
-
-
Nord, R.1
-
96
-
-
0000631178
-
A note with quartiles as the asymptotic distribution of the maximum likelihood cointegration rank test statistics
-
Osterwald-Lenum, M. (1992) A note with quartiles as the asymptotic distribution of the maximum likelihood cointegration rank test statistics, Oxford Bulletin of Economics and Statistics, 54(3), 461-72.
-
(1992)
Oxford Bulletin of Economics and Statistics
, vol.54
, Issue.3
, pp. 461-472
-
-
Osterwald-Lenum, M.1
-
97
-
-
0141599044
-
Corporate governance and stock market performance in Central and Eastern Europe: A study of nine countries, 1994-2001
-
Working Paper, Stockholm School of Economics
-
Pajuste, A. (2001) Corporate governance and stock market performance in Central and Eastern Europe: a study of nine countries, 1994-2001. Working Paper, Stockholm School of Economics.
-
(2001)
-
-
Pajuste, A.1
-
98
-
-
0000230830
-
An examination of ASEAN stock markets: A cointegration approach
-
Palac-McMiken, E. D. (1997) An examination of ASEAN stock markets: a cointegration approach, ASEAN Economic Bulletin, 13(3), 299-311.
-
(1997)
ASEAN Economic Bulletin
, vol.13
, Issue.3
, pp. 299-311
-
-
Palac-McMiken, E.D.1
-
99
-
-
27644580196
-
Trends and random walks in macroeconomic time series: Further evidence from a new approach
-
Perron, P. (1988) Trends and random walks in macroeconomic time series: further evidence from a new approach, Journal of Economic Dynamics and Control, 12(2), 297-332.
-
(1988)
Journal of Economic Dynamics and Control
, vol.12
, Issue.2
, pp. 297-332
-
-
Perron, P.1
-
100
-
-
0000308535
-
Time series regressions with a unit root
-
Phillips, P. (1987) Time series regressions with a unit root, Econometrica, 55, 277-301.
-
(1987)
Econometrica
, vol.55
, pp. 277-301
-
-
Phillips, P.1
-
101
-
-
77956888124
-
Testing for a unit root in time series regression
-
Phillips, P. and Perron, P. (1988) Testing for a unit root in time series regression, Biometrica, 75, 335-46.
-
(1988)
Biometrica
, vol.75
, pp. 335-346
-
-
Phillips, P.1
Perron, P.2
-
102
-
-
9444258304
-
Stock market linkages in emerging markets: Implications for international portfolio diversification
-
Working Paper, City University Business School
-
Phylaktis, K. and Ravazzolo, F. (2001) Stock market linkages in emerging markets: implications for international portfolio diversification, Working Paper, City University Business School.
-
(2001)
-
-
Phylaktis, K.1
Ravazzolo, F.2
-
103
-
-
47749126040
-
-
Prague Stock Exchange www.pse.cz
-
Prague Stock Exchange (2003) Fact Book, www.pse.cz.
-
(2003)
Fact Book
-
-
-
104
-
-
0009044001
-
Common long-term and short-term price memory in two Scandinavian markets
-
Pynnonen, S. and Knif, J. (1998) Common long-term and short-term price memory in two Scandinavian markets, Applied Financial Economics, 8, 257-65.
-
(1998)
Applied Financial Economics
, vol.8
, pp. 257-265
-
-
Pynnonen, S.1
Knif, J.2
-
106
-
-
0000923251
-
Co-movements in national stock market returns: Evidence of predictability, but not cointegration
-
Richards, A. (1995) Co-movements in national stock market returns: evidence of predictability, but not cointegration, Journal of Monetary Economics, 36, 455-79.
-
(1995)
Journal of Monetary Economics
, vol.36
, pp. 455-479
-
-
Richards, A.1
-
107
-
-
0000465522
-
Are the ASEAN equity markets interdependent?
-
Roca, E. D., Selvanathan, E. A. and Shepherd, W. F. (1998) Are the ASEAN equity markets interdependent?, ASEAN Economic Bulletin, 15(2), 109-20.
-
(1998)
ASEAN Economic Bulletin
, vol.15
, Issue.2
, pp. 109-120
-
-
Roca, E.D.1
Selvanathan, E.A.2
Shepherd, W.F.3
-
108
-
-
1142305864
-
The co-movements of stock markets in Hungary, Poland and the Czech Republic
-
Scheicher, M. (2001) The co-movements of stock markets in Hungary, Poland and the Czech Republic, International Journal of Finance and Economics, 6, 27-39.
-
(2001)
International Journal of Finance and Economics
, vol.6
, pp. 27-39
-
-
Scheicher, M.1
-
109
-
-
0002130916
-
Common stochastic trends and convergence of European Union stock markets
-
Serletis, A. and King, M. (1997) Common stochastic trends and convergence of European Union stock markets, The Manchester School, 65(1), 44-57.
-
(1997)
The Manchester School
, vol.65
, Issue.1
, pp. 44-57
-
-
Serletis, A.1
King, M.2
-
110
-
-
0037411147
-
Integration and interdependence of stock and foreign exchange markets: An Australian perspective
-
Shamsuddin, A. F. M. and Kim, J. H. (2003) Integration and interdependence of stock and foreign exchange markets: an Australian perspective, International Financial Markets, Institutions and Money, 13, 237-54.
-
(2003)
International Financial Markets, Institutions and Money
, vol.13
, pp. 237-254
-
-
Shamsuddin, A.F.M.1
Kim, J.H.2
-
111
-
-
0036426178
-
Long term trends and cycles in ASEAN stock markets
-
Sharma, S. C. and Wongbangpo, P. (2002) Long term trends and cycles in ASEAN stock markets, Review of Financial Economics, 111, 299-315.
-
(2002)
Review of Financial Economics
, vol.111
, pp. 299-315
-
-
Sharma, S.C.1
Wongbangpo, P.2
-
112
-
-
0000997472
-
Macroeconomics and reality
-
Sims, C. A. (1980) Macroeconomics and reality, Econometrica, 48, 1-48.
-
(1980)
Econometrica
, vol.48
, pp. 1-48
-
-
Sims, C.A.1
-
113
-
-
0033409708
-
Changes in the co-movement of European equity markets
-
July
-
Steely, P. L. and Steely, J. M. (1999) Changes in the co-movement of European equity markets, Economic Inquiry, July, 473-81.
-
(1999)
Economic Inquiry
, pp. 473-481
-
-
Steely, P.L.1
Steely, J.M.2
-
115
-
-
0038579513
-
The interrelatedness of global equity markets, money markets, and foreign exchange markets
-
Swanson, P. E. (2003) The interrelatedness of global equity markets, money markets, and foreign exchange markets, International Review of Financial Analysis, 12, 135-55.
-
(2003)
International Review of Financial Analysis
, vol.12
, pp. 135-155
-
-
Swanson, P.E.1
-
116
-
-
0001451477
-
The internationalization of stock markets and the abolition of UK exchange control
-
Taylor, M. P. and Tonks, I. (1989) The internationalization of stock markets and the abolition of UK exchange control, Review of Economics and Statistics, 71, 332-6.
-
(1989)
Review of Economics and Statistics
, vol.71
, pp. 332-336
-
-
Taylor, M.P.1
Tonks, I.2
-
117
-
-
9444298145
-
Potential for portfolio diversification across Eastern European stock markets
-
Dissertation for MA in Economics, National University Kiev-Mohyla Academy
-
Verchenko, O. (2000) Potential for portfolio diversification across Eastern European stock markets, Dissertation for MA in Economics, National University Kiev-Mohyla Academy.
-
(2000)
-
-
Verchenko, O.1
-
118
-
-
9444276277
-
Instability in the long-run relationships: Evidence from the Central European emerging stock markets
-
Discussion Paper, Symposium on International Equity Market Integration, Institute for International Integration Studies, Dublin
-
Voronkova, S. (2003) Instability in the long-run relationships: evidence from the Central European emerging stock markets, Discussion Paper, Symposium on International Equity Market Integration, Institute for International Integration Studies, Dublin.
-
(2003)
-
-
Voronkova, S.1
-
119
-
-
47749126040
-
-
Warsaw Stock Exchange www.wse.com.pl
-
Warsaw Stock Exchange (2003) Fact Book, www.wse.com.pl.
-
(2003)
Fact Book
-
-
-
120
-
-
0042816486
-
Stock market integration and financial crises: The case of Asia
-
Yang, J. J., Kolari, J. W. and Min, I. (2003) Stock market integration and financial crises: the case of Asia, Applied Financial Economics, 13(7), 477-86.
-
(2003)
Applied Financial Economics
, vol.13
, Issue.7
, pp. 477-486
-
-
Yang, J.J.1
Kolari, J.W.2
Min, I.3
-
121
-
-
0242368289
-
European stock market integration: Does EMU matter?
-
Yang, J. J., Min, I. and Li, Q. (2003) European stock market integration: does EMU matter?, Journal of Business Finance and Accounting, 30, 1253-76.
-
(2003)
Journal of Business Finance and Accounting
, vol.30
, pp. 1253-1276
-
-
Yang, J.J.1
Min, I.2
Li, Q.3
|