Advanced Search
MyIDEAS: Login to save this article or follow this journal

Cointegration, forecasting and international stock prices

Contents:

Author Info

  • Crowder, William J.
  • Wohar, Mark E.

Abstract

No abstract is available for this item.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.sciencedirect.com/science/article/B6W4F-45NP3HM-11/2/dad940d184c28f7781080845e4e49791
Download Restriction: Full text for ScienceDirect subscribers only

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Elsevier in its journal Global Finance Journal.

Volume (Year): 9 (1998)
Issue (Month): 2 ()
Pages: 181-204

as in new window
Handle: RePEc:eee:glofin:v:9:y:1998:i:2:p:181-204

Contact details of provider:
Web page: http://www.elsevier.com/locate/inca/620162

Related research

Keywords:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Hakkio, Craig S. & Rush, Mark, 1991. "Cointegration: how short is the long run?," Journal of International Money and Finance, Elsevier, Elsevier, vol. 10(4), pages 571-581, December.
  2. Gonzalo, Jesus & Granger, Clive W J, 1995. "Estimation of Common Long-Memory Components in Cointegrated Systems," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 13(1), pages 27-35, January.
  3. Anthony J. Richards, 1996. "Comovements in National Stock Market Returns," IMF Working Papers, International Monetary Fund 96/28, International Monetary Fund.
  4. Campbell, John & Perron, Pierre, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," Scholarly Articles 3374863, Harvard University Department of Economics.
  5. Campbell, John Y & Shiller, Robert J, 1987. "Cointegration and Tests of Present Value Models," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 95(5), pages 1062-88, October.
  6. Aoki, Masanao, 1988. "On alternative state space representations of time series models," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 12(2-3), pages 595-607.
  7. DeFusco, Richard A & Geppert, John M & Tsetsekos, George P, 1996. "Long-Run Diversification Potential in Emerging Stock Markets," The Financial Review, Eastern Finance Association, Eastern Finance Association, vol. 31(2), pages 343-63, May.
  8. Lee Bong-Soo & Jeon Bang Nam, 1995. "Common Stochastic Trends and Predictability of International Stock Prices," Journal of the Japanese and International Economies, Elsevier, Elsevier, vol. 9(3), pages 245-277, September.
  9. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 12(2-3), pages 231-254.
  10. Sephton, Peter S. & Larsen, Hans K., 1991. "Tests of exchange market efficiency: fragile evidence from cointegration tests," Journal of International Money and Finance, Elsevier, Elsevier, vol. 10(4), pages 561-570, December.
  11. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, Econometric Society, vol. 55(2), pages 251-76, March.
  12. John Y. Campbell, Robert J. Shiller, 1988. "The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 1(3), pages 195-228.
  13. Hassan, M. Kabir & Naka, Atsuyuki, 1996. "Short-run and long-run dynamic linkages among international stock markets," International Review of Economics & Finance, Elsevier, Elsevier, vol. 5(4), pages 387-405.
  14. Shiller, Robert J. & Perron, Pierre, 1985. "Testing the random walk hypothesis : Power versus frequency of observation," Economics Letters, Elsevier, Elsevier, vol. 18(4), pages 381-386.
  15. Gonzalo, Jesus, 1994. "Five alternative methods of estimating long-run equilibrium relationships," Journal of Econometrics, Elsevier, Elsevier, vol. 60(1-2), pages 203-233.
  16. Gregory, Allan W, 1994. "Testing for Cointegration in Linear Quadratic Models," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 12(3), pages 347-60, July.
  17. Cheung, Yin-Wong & He, Jia & Ng, Lilian K, 1997. "Common Predictable Components in Regional Stock Markets," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 15(1), pages 35-42, January.
  18. Arshanapalli, Bala & Doukas, John, 1993. "International stock market linkages: Evidence from the pre- and post-October 1987 period," Journal of Banking & Finance, Elsevier, Elsevier, vol. 17(1), pages 193-208, February.
  19. Robert G. King & Charles I. Plosser & James H. Stock & Mark W. Watson, 1991. "Stochastic trends and economic fluctuations," Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago 91-4, Federal Reserve Bank of Chicago.
  20. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
  21. Engle, Robert F. & Yoo, Byung Sam, 1987. "Forecasting and testing in co-integrated systems," Journal of Econometrics, Elsevier, Elsevier, vol. 35(1), pages 143-159, May.
  22. Chan, Kam C & Gup, Benton E & Pan, Ming-Shiun, 1992. "An Empirical Analysis of Stock Prices in Major Asian Markets and the United States," The Financial Review, Eastern Finance Association, Eastern Finance Association, vol. 27(2), pages 289-307, May.
  23. Hall, S G, 1991. "The Effect of Varying Length VAR Models on the Maximum Likelihood Estimates of Cointegrating Vectors," Scottish Journal of Political Economy, Scottish Economic Society, Scottish Economic Society, vol. 38(4), pages 317-23, November.
  24. Shiller, Robert & Campbell, John, 1988. "Interpreting Cointegrated Models," Scholarly Articles 3221492, Harvard University Department of Economics.
  25. Kasa, Kenneth, 1992. "Common stochastic trends in international stock markets," Journal of Monetary Economics, Elsevier, Elsevier, vol. 29(1), pages 95-124, February.
  26. Osterwald-Lenum, Michael, 1992. "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, Department of Economics, University of Oxford, vol. 54(3), pages 461-72, August.
  27. James G. MacKinnon, 1992. "Approximate Asymptotic Distribution Functions for Unit Roots and Cointegration Tests," Working Papers, Queen's University, Department of Economics 861, Queen's University, Department of Economics.
  28. Gerald P. Dwyer, Jr. & R.W. Hafer, 1988. "Are national stock markets linked?," Review, Federal Reserve Bank of St. Louis, Federal Reserve Bank of St. Louis, issue Nov, pages 3-14.
  29. Hamao, Yasushi & Masulis, Ronald W & Ng, Victor, 1990. "Correlations in Price Changes and Volatility across International Stock Markets," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 3(2), pages 281-307.
  30. Cerchi, Marlene & Havenner, Arthur, 1988. "Cointegration and stock prices : The random walk on wall street revisited," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 12(2-3), pages 333-346.
  31. Dwyer, Gerald Jr. & Wallace, Myles S., 1992. "Cointegration and market efficiency," Journal of International Money and Finance, Elsevier, Elsevier, vol. 11(4), pages 318-327, August.
  32. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, Econometric Society, vol. 59(6), pages 1551-80, November.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Diamandis, Panayiotis F., 2009. "International stock market linkages: Evidence from Latin America," Global Finance Journal, Elsevier, Elsevier, vol. 20(1), pages 13-30.
  2. Bank for International Settlements, 2008. "Integration of India's stock market with global and major regional markets," BIS Papers chapters, Bank for International Settlements, in: Bank for International Settlements (ed.), Regional financial integration in Asia: present and future, volume 42, pages 202-236 Bank for International Settlements.
  3. Hammoudeh, Shawkat & Choi, Kyongwook, 2006. "Behavior of GCC stock markets and impacts of US oil and financial markets," Research in International Business and Finance, Elsevier, Elsevier, vol. 20(1), pages 22-44, March.
  4. Nafeesa Yunus & J. Hansz & Paul Kennedy, 2012. "Dynamic Interactions Between Private and Public Real Estate Markets: Some International Evidence," The Journal of Real Estate Finance and Economics, Springer, Springer, vol. 45(4), pages 1021-1040, November.
  5. Eleni Constantinou & Avo Kazandjian & George Kouretas & Vera Tahmazian, 2005. "Common Stochastic Trends among the Cyprus Stock Exchange and the ASE, LSE and NYSE," Working Papers, University of Crete, Department of Economics 0520, University of Crete, Department of Economics.
  6. Bank for International Settlements & Hong Kong Institute for Monetary Research, 2008. "Regional financial integration in Asia: present and future," BIS Papers, Bank for International Settlements, Bank for International Settlements, number 42, 8.
  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. Phengpis, Chanwit, 2006. "Market efficiency and cointegration of spot exchange rates during periods of economic turmoil: Another look at European and Asian currency crises," Journal of Economics and Business, Elsevier, Elsevier, vol. 58(4), pages 323-342.
  9. Hammoudeh, Shawkat & Dibooglu, Sel & Aleisa, Eisa, 2004. "Relationships among U.S. oil prices and oil industry equity indices," International Review of Economics & Finance, Elsevier, Elsevier, vol. 13(4), pages 427-453.
  10. Phengpis, Chanwit & Apilado, Vince P., 2004. "Economic interdependence and common stochastic trends: A comparative analysis between EMU and non-EMU stock markets," International Review of Financial Analysis, Elsevier, Elsevier, vol. 13(3), pages 245-263.
  11. Aleksandra Matuszewska-Janica, 2011. "Long-run Relationships between Selected Central European Indexes," International Advances in Economic Research, Springer, Springer, vol. 17(2), pages 157-168, May.
  12. repec:diw:diwfin:diwfin01014 is not listed on IDEAS
  13. Yunus, Nafeesa & Swanson, Peggy E., 2012. "Changing integration of EMU public property markets," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 22(1), pages 194-208.
  14. Chris Higson & Sean Holly & Ivan Petrella, 2009. "The Financial Integration of the European Union: Common and Idiosyncratic Drivers," Working Paper / FINESS, DIW Berlin, German Institute for Economic Research 1.1d, DIW Berlin, German Institute for Economic Research.
  15. Hammoudeh, Shawkat & Li, Huimin, 2005. "Oil sensitivity and systematic risk in oil-sensitive stock indices," Journal of Economics and Business, Elsevier, Elsevier, vol. 57(1), pages 1-21.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:eee:glofin:v:9:y:1998:i:2:p:181-204. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.