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The relationship between international bond markets and international stock markets

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  • Lim, Edward S.
  • Gallo, John G.
  • Swanson, Peggy E.
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    File URL: http://www.sciencedirect.com/science/article/B6W4W-3YF47KT-D/2/13698902e811f8ba17d2a76b70893de2
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    Bibliographic Info

    Article provided by Elsevier in its journal International Review of Financial Analysis.

    Volume (Year): 7 (1998)
    Issue (Month): 2 ()
    Pages: 181-190

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    Handle: RePEc:eee:finana:v:7:y:1998:i:2:p:181-190

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    Web page: http://www.elsevier.com/locate/inca/620166

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    1. Arshanapalli, Bala & Doukas, John, 1993. "International stock market linkages: Evidence from the pre- and post-October 1987 period," Journal of Banking & Finance, Elsevier, vol. 17(1), pages 193-208, February.
    2. Paul Bennett & Jeanette Kelleher, 1988. "The international transmission of stock prices disruption in October 1987," Quarterly Review, Federal Reserve Bank of New York, issue Sum, pages 17-33.
    3. Eli M. Remolona, 1991. "Do international reactions of stock and bond markets reflect macroeconomic fundamentals?," Quarterly Review, Federal Reserve Bank of New York, issue Aut, pages 1-13.
    4. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
    5. Lin, Antsong & Swanson, Peggy E., 1993. "Measuring global money market interrelationships: An investigation of five major world currencies," Journal of Banking & Finance, Elsevier, vol. 17(4), pages 609-628, June.
    6. Gallo, John G. & Lockwood, Larry J. & Swanson, Peggy E., 1997. "The performance of international bond funds," International Review of Economics & Finance, Elsevier, vol. 6(1), pages 17-35.
    7. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
    8. Hirotugu Akaike, 1969. "Fitting autoregressive models for prediction," Annals of the Institute of Statistical Mathematics, Springer, vol. 21(1), pages 243-247, December.
    9. Robert R. Grauer and Nils H. Hakansson., 1987. "Gains from International Diversification: l968-85 Returns on Portfolios of Stocks and Bonds," Research Program in Finance Working Papers 168, University of California at Berkeley.
    10. Engle, Robert F. & Yoo, Byung Sam, 1987. "Forecasting and testing in co-integrated systems," Journal of Econometrics, Elsevier, vol. 35(1), pages 143-159, May.
    11. Ammer, John & Mei, Jianping, 1996. " Measuring International Economic Linkages with Stock Market Data," Journal of Finance, American Finance Association, vol. 51(5), pages 1743-63, December.
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    Cited by:
    1. Mihaela NICOLAU, 2010. "Financial Markets Interactions between Economic Theory and Practice," Economics and Applied Informatics, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, issue 2, pages 27-36.
    2. Nicolau, Mihaela, 2010. "Practitioners' tools in analysing financial markets evolution," MPRA Paper 25646, University Library of Munich, Germany.
    3. Johansson, Anders C., 2010. "Stock and Bond Relationships in Asia," Working Paper Series 2010-14, China Economic Research Center, Stockholm School of Economics.

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