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Co-movements of major European community stock markets: A vector autoregression analysis

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  • Friedman, Joseph
  • Shachmurove, Yochanan

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Bibliographic Info

Article provided by Elsevier in its journal Global Finance Journal.

Volume (Year): 8 (1997)
Issue (Month): 2 ()
Pages: 257-277

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Handle: RePEc:eee:glofin:v:8:y:1997:i:2:p:257-277

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

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References

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  1. Robert F. Engle & Takatoshi Ito & Wen-Ling Lin, 1988. "Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market," NBER Working Papers 2609, National Bureau of Economic Research, Inc.
  2. Levy, Haim & Sarnat, Marshall, 1970. "International Diversification of Investment Portfolios," American Economic Review, American Economic Association, American Economic Association, vol. 60(4), pages 668-75, September.
  3. Ito, Takatoshi & Engle, Robert F. & Lin, Wen-Ling, 1992. "Where does the meteor shower come from? : The role of stochastic policy coordination," Journal of International Economics, Elsevier, Elsevier, vol. 32(3-4), pages 221-240, May.
  4. Malliaris, A. G. & Urrutia, Jorge L., 1992. "The International Crash of October 1987: Causality Tests," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 27(03), pages 353-364, September.
  5. Sims, Christopher A, 1972. "Money, Income, and Causality," American Economic Review, American Economic Association, American Economic Association, vol. 62(4), pages 540-52, September.
  6. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, Econometric Society, vol. 48(1), pages 1-48, January.
  7. Sims, Christopher A., 1988. "Bayesian skepticism on unit root econometrics," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 12(2-3), pages 463-474.
  8. Grubel, Herbert G & Fadner, Kenneth, 1971. "The Interdependence of International Equity Markets," Journal of Finance, American Finance Association, American Finance Association, vol. 26(1), pages 89-94, March.
  9. Eun, Cheol S. & Shim, Sangdal, 1989. "International Transmission of Stock Market Movements," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 24(02), pages 241-256, June.
  10. Meric, Ilhan & Meric, Gulser, 1989. "Potential gains from international portfolio diversification and inter-temporal stability and seasonality in international stock market relationships," Journal of Banking & Finance, Elsevier, Elsevier, vol. 13(4-5), pages 627-640, September.
  11. George M. von Furstenberg & Bang Nam Jeon, 1989. "International Stock Price Movements: Links and Messages," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, Economic Studies Program, The Brookings Institution, vol. 20(1), pages 125-180.
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Citations

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Cited by:
  1. Yochanan Shachmurove & Reuel Shinnar (Deceased), 2012. "Do Chemical Reactors Hold the Solution for Global Economic Crises?," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania 12-010, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  2. Nistor, Costel & Dumitriu, Ramona & Stefanescu, Razvan, 2012. "Impact of the global crisis on the linkages between CAC 40 and indexes from CEE countries," MPRA Paper 42511, University Library of Munich, Germany, revised 18 Sep 2012.
  3. Joseph Friedman & Yochanan Shachmurove, 2005. "European Stock Market Dynamics Before and After the Introduction of the Euro," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania 05-028, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  4. Huyghebaert, Nancy & Wang, Lihong, 2010. "The co-movement of stock markets in East Asia: Did the 1997-1998 Asian financial crisis really strengthen stock market integration?," China Economic Review, Elsevier, Elsevier, vol. 21(1), pages 98-112, March.
  5. Yochanan Shachmurove, 2001. "Dynamic Co-movements of Stock Indices: The Emerging Middle Eastern and the United States Markets," Penn CARESS Working Papers, Penn Economics Department ddffc4204cf90a8523fb64134, Penn Economics Department.
  6. Yochanan Shachmurove, . "Portfolio Analysis of Latin American Stock Markets," Penn CARESS Working Papers, Penn Economics Department 33820afad90814b2158b0366c, Penn Economics Department.
  7. Shachmurove, Yochanan, 1999. "The Premium in Black Foreign Exchange Markets: Evidence from Developing Economies," Journal of Policy Modeling, Elsevier, Elsevier, vol. 21(1), pages 1-39, January.
  8. Siv Taing & Andrew Worthington, 2005. "Return relationships among European equity sectors: A comparative analysis across selected sectors in small and large economies," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 371-388, November.
  9. Siv Heng Taing & Andrew C. Worthington, 2002. "Comovements among European equity sectors: Selected evidence from the consumer discretionary, consumer staples, financial, industrial and materials sectors," School of Economics and Finance Discussion Papers and Working Papers Series, School of Economics and Finance, Queensland University of Technology 116, School of Economics and Finance, Queensland University of Technology.
  10. Tomer Shachmurove & Yochanan Shachmurove, 2007. "In the Same Boat: Exchange Rate Interdependence in the Asia-Pacific Region," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania 07-019, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.

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