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Propagative causal price transmission among international stock markets: evidence from the pre- and postglobalization period

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  • Masih, A. Mansur M.
  • Masih, Rumi

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Article provided by Elsevier in its journal Global Finance Journal.

Volume (Year): 13 (2002)
Issue (Month): 1 ()
Pages: 63-91

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Handle: RePEc:eee:glofin:v:13:y:2002:i:1:p:63-91

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Web page: http://www.elsevier.com/locate/inca/620162

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References

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Citations

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Cited by:
  1. Hooi Hooi Lean & B. N. Ghosh, 2010. "Economic Integration in Asia: Quo Vadis Malaysia?," International Economic Journal, Taylor & Francis Journals, Taylor & Francis Journals, vol. 24(2), pages 237-248.
  2. M. Barari & Brian Lucey & S. Voronkova, 2008. "Reassessing co-movements among G7 equity markets: evidence from iShares," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 18(11), pages 863-877.
  3. Paresh Kumar Narayan & Russell Smyth, 2004. "Modelling the linkages between the Australian and G7 stock markets: common stochastic trends and regime shifts," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 14(14), pages 991-1004.
  4. Pui Sun Tam & Pui I Tam, 2012. "Rethinking stock market integration: Globalization, valuation and convergence," SFB 649 Discussion Papers, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany SFB649DP2012-052, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  5. Kenourgios, Dimitris & Samitas, Aristeidis, 2011. "Equity market integration in emerging Balkan markets," Research in International Business and Finance, Elsevier, Elsevier, vol. 25(3), pages 296-307, September.
  6. Oh, Swee-Ling & Lau, Evan & Puah, Chin-Hong & Abu Mansor, Shazali, 2010. "Volatility Co-movement of ASEAN-5 Equity Markets," MPRA Paper 22244, University Library of Munich, Germany.
  7. Choudhry, Taufiq & Lu, Lin & Peng, Ke, 2007. "Common stochastic trends among Far East stock prices: Effects of the Asian financial crisis," International Review of Financial Analysis, Elsevier, Elsevier, vol. 16(3), pages 242-261.
  8. Menezes, Rui & Dionísio, Andreia & Hassani, Hossein, 2012. "On the globalization of stock markets: An application of Vector Error Correction Model, Mutual Information and Singular Spectrum Analysis to the G7 countries," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 52(4), pages 369-384.
  9. Hock-Ann Lee & Kian-Ping Lim & Venus Khim-Sen Liew, 2009. "Is There Any International Diversification Benefits in ASEAN Stock Markets?," Economics Bulletin, AccessEcon, vol. 29(1), pages 392-406.
  10. Claus, Edda & Lucey, Brian M., 2012. "Equity market integration in the Asia Pacific region: Evidence from discount factors," Research in International Business and Finance, Elsevier, Elsevier, vol. 26(2), pages 137-163.
  11. Maslyuk, Svetlana & Smyth, Russell, 2009. "Cointegration between oil spot and future prices of the same and different grades in the presence of structural change," Energy Policy, Elsevier, Elsevier, vol. 37(5), pages 1687-1693, May.
  12. Rui Menezes & Andreia Dioniso, 2011. "Globalization and long-run co-movements in the stock market for the G7: an application of VECM under structural breaks," Papers, arXiv.org 1101.4093, arXiv.org.
  13. Zheng Yi & Chen Heng & Wing-Keung Wong, 2009. "China’s Stock Market Integration with a Leading Power and a Close Neighbor," Journal of Risk and Financial Management, MDPI, Open Access Journal, MDPI, Open Access Journal, vol. 2(1), pages 38-74, December.
  14. Fernandez-Izquierdo, Angeles & Lafuente, Juan Angel, 2004. "International transmission of stock exchange volatility: Empirical evidence from the Asian crisis," Global Finance Journal, Elsevier, Elsevier, vol. 15(2), pages 125-137, August.

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