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Article provided by Lille Graduate School of Management in its journal Frontiers in Finance and Economics.

Volume (Year): 3 (2006)
Issue (Month): 2 (December)
Pages: 55-69
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Handle: RePEc:ffe:journl:v:3:y:2006:i:2:p:55-69

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Related research

Keywords: Asian crisis; cointegration; unit root;

Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

References listed on IDEAS
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1. Fujii, Eiji, 2005. "Intra and inter-regional causal linkages of emerging stock markets: evidence from Asia and Latin America in and out of crises," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(4), pages 315-342, October. [Downloadable!] (restricted)
2. Cheung, Yin-Wong & Lai, Kon S, 1999. "Macroeconomic Determinants of Long-Term Stock Market Comovements among Major EMS Countries," Applied Financial Economics, Taylor and Francis Journals, vol. 9(1), pages 73-85, February. [Downloadable!] (restricted)
3. Choudhry, Taufiq, 1996. "Interdependence of Stock Markets: Evidence from Europe during the 1920s and 1930s," Applied Financial Economics, Taylor and Francis Journals, vol. 6(3), pages 243-49, June. [Downloadable!] (restricted)
4. Chan Leong, Su & Felmingham, Bruce, 2003. "The interdependence of share markets in the developed economies of East Asia," Pacific-Basin Finance Journal, Elsevier, vol. 11(2), pages 219-237, April. [Downloadable!] (restricted)
5. Mancuso, Anthony J. & Goodwin, Barry K. & Grennes, Thomas J., 2003. "Nonlinear aspects of capital market integration and real interest rate equalization," International Review of Economics & Finance, Elsevier, vol. 12(3), pages 283-303. [Downloadable!] (restricted)
6. Pan, Ming-Shiun & Liu, Y. Angela & Roth, Herbert J., 1999. "Common stochastic trends and volatility in Asian-Pacific equity markets," Global Finance Journal, Elsevier, vol. 10(2), pages 161-172. [Downloadable!] (restricted)
7. Darrat, Ali F. & Zhong, Maosen, 2005. "Equity market linkage and multinational trade accords: The case of NAFTA," Journal of International Money and Finance, Elsevier, vol. 24(5), pages 793-817, September. [Downloadable!] (restricted)
8. Anoruo, Emmanuel & Ramchander, Sanjay & Thiewes, Harold F., 2002. "International linkage of interest rates: Evidence from the emerging economies of Asia," Global Finance Journal, Elsevier, vol. 13(2), pages 217-235. [Downloadable!] (restricted)
9. Robin L. Lumsdaine & Eswar S. Prasad, 2003. "Identifying the Common Component of International Economic Fluctuations: A New Approach," Economic Journal, Royal Economic Society, vol. 113(484), pages 101-127, January. [Downloadable!] (restricted)
   Other versions:
   • Eswar Prasad & Robin L. Lumsdaine, 1999. "Identifying the Common Component in International Economic Fluctuations - A New Approach," IMF Working Papers 99/154, International Monetary Fund.
   • Lumsdaine, Robin L. & Prasad, Eswar S., 2002. "Identifying the Common Component of International Economic Fluctuations: A New Approach," IZA Discussion Papers 487, Institute for the Study of Labor (IZA). [Downloadable!]
10. Ratanapakorn, Orawan & Sharma, Subhash C., 2002. "Interrelationships among regional stock indices," Review of Financial Economics, Elsevier, vol. 11(2), pages 91-108. [Downloadable!] (restricted)

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