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A system of stock prices in world stock exchanges: Common stochastic trends for 1975-1990

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  • Jeon, Bang Nam
  • Chiang, Thomas C.

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File URL: http://www.sciencedirect.com/science/article/B6V7T-47DCX3K-23/2/c8858430d90022f5a426b940d0d092e6
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Bibliographic Info

Article provided by Elsevier in its journal Journal of Economics and Business.

Volume (Year): 43 (1991)
Issue (Month): 4 (November)
Pages: 329-338

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Handle: RePEc:eee:jebusi:v:43:y:1991:i:4:p:329-338

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Web page: http://www.elsevier.com/locate/jeconbus

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Cited by:
  1. Kenjiro Hirayama & Yoshiro Tsutsui, 2003. "Market Efficiency and International Linkage of Stock Prices: An Analysis with High Frequency Data," Discussion Papers in Economics and Business 03-04, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP).
  2. Yoshiro Tsutsui & Kenjiro Hirayama, 2010. "How Fast Do Tokyo And New York Stock Exchanges Respond To Each Other? An Analysis With High-Frequency Data," The Japanese Economic Review, Japanese Economic Association, vol. 61(2), pages 175-201.
  3. Jawadi, Fredj & Leoni, Patrick, 2009. "Threshold cointegration relationships between oil and stock markets," Discussion Papers of Business and Economics 3/2009, Department of Business and Economics, University of Southern Denmark.
  4. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2008. "Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience," Working papers 2008-49, University of Connecticut, Department of Economics.
  5. Jeon, Bang Nam & Jang, Beom-Sik, 2004. "The linkage between the US and Korean stock markets: the case of NASDAQ, KOSDAQ, and the semiconductor stocks," Research in International Business and Finance, Elsevier, vol. 18(3), pages 319-340, September.
  6. Mikio Ito & Akihiko Noda & Tatsuma Wada, 2012. "International Stock Market Efficiency: A Non-Bayesian Time-Varying Model Approach," Papers 1203.5176, arXiv.org, revised May 2014.

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