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Common Stochastic Trends and Predictability of International Stock Prices

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  • Lee Bong-Soo
  • Jeon Bang Nam

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Bibliographic Info

Article provided by Elsevier in its journal Journal of the Japanese and International Economies.

Volume (Year): 9 (1995)
Issue (Month): 3 (September)
Pages: 245-277

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Handle: RePEc:eee:jjieco:v:9:y:1995:i:3:p:245-277

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Web page: http://www.elsevier.com/locate/inca/622903

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Cited by:
  1. Tsangyao Chang & Yang-Cheng Lu, 2006. "Equity Diversification in Two Chinese Share Markets: Old Wine and New Bottle," Economics Bulletin, AccessEcon, vol. 7(4), pages 1-7.
  2. Tsutsui, Yoshiro & Hirayama, Kenjiro, 2004. "Are international portfolio adjustments a cause of comovements in stock prices?," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 12(4), pages 463-478, September.
  3. Sarno, Lucio & Giorgio Valente, 2002. "Modelling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers," Royal Economic Society Annual Conference 2002, Royal Economic Society 160, Royal Economic Society.
  4. Masih, A. Mansur M. & Masih, Rumi, 2002. "Propagative causal price transmission among international stock markets: evidence from the pre- and postglobalization period," Global Finance Journal, Elsevier, vol. 13(1), pages 63-91.
  5. Jang, Hoyoon & Sul, Wonsik, 2002. "The Asian financial crisis and the co-movement of Asian stock markets," Journal of Asian Economics, Elsevier, Elsevier, vol. 13(1), pages 94-104.
  6. 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.
  7. repec:ebl:ecbull:v:7:y:2006:i:4:p:1-7 is not listed on IDEAS
  8. 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, Elsevier, vol. 18(3), pages 319-340, September.
  9. Focker, Fulvia & Triacca, Umberto, 2006. "Interpreting the concept of joint unpredictability of asset returns: A distance approach," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 369(2), pages 765-770.
  10. Su, Chi-Wei, 2011. "Non-linear causality between the stock and real estate markets of Western European countries: Evidence from rank tests," Economic Modelling, Elsevier, Elsevier, vol. 28(3), pages 845-851, May.
  11. Jeon, Bang Nam & Ji, Philip & Zhang, Hongfang, 2012. "International linkages of Japanese bond markets: an empirical analysis," MPRA Paper 36929, University Library of Munich, Germany, revised 01 Jan 2012.
  12. Chang, Tsangyao & Caudill, Steven B., 2006. "A note on the long-run benefits from international equity diversification for a Taiwan investor diversifying in the US equity market," International Review of Financial Analysis, Elsevier, Elsevier, vol. 15(1), pages 57-67.
  13. Lee, Bong-Soo & Rui, Oliver M., 2002. "The dynamic relationship between stock returns and trading volume: Domestic and cross-country evidence," Journal of Banking & Finance, Elsevier, Elsevier, vol. 26(1), pages 51-78, January.
  14. Zhong, Ming & Chang,Tsangyao & Tzeng, Han-Wen, 2014. "International Equity Diversification Between the United States and Brics Countries," Journal for Economic Forecasting, Institute for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 123-138, March.
  15. Crowder, William J. & Wohar, Mark E., 1998. "Cointegration, forecasting and international stock prices," Global Finance Journal, Elsevier, vol. 9(2), pages 181-204.

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