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International equality of stock market returns

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Author Info
Heejoon Kang
Michele Fratianni

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Abstract

Real returns, excess returns, and nominal returns from stock markets in 11 developed countries are compared for the difference in their means and variances by using a new procedure to test their equality and to determine if one stock market dominates another. The sample period from January 1973 to September 1989 is divided into three subperiods. Results show that stock markets in the United States and Germany dominate those in the other countries in early sub-periods, but not in a recent sub-period, to indicate an increasing capital market integration. Integration with Germany has increased more than with the United States, due possibly to the European Monetary System. Copyright Kluwer Academic Publishers 1993

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File URL: http://hdl.handle.net/10.1007/BF01011137
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Publisher Info
Article provided by Springer in its journal Open Economies Review.

Volume (Year): 4 (1993)
Issue (Month): 4 (December)
Pages: 381-401
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Handle: RePEc:kap:openec:v:4:y:1993:i:4:p:381-401

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Web page: http://www.springerlink.com/link.asp?id=100323

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Related research
Keywords: dominance; European Monetary System; excess returns; exchange rates; mean-variance analysis; nominal returns; real returns;

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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.:
  1. Eun, Cheol S & Resnick, Bruce G, 1984. " Estimating the Correlation Structure of International Share Prices," Journal of Finance, American Finance Association, vol. 39(5), pages 1311-24, December. [Downloadable!] (restricted)
  2. Madura, Jeff, 1985. "International portfolio construction," Journal of Business Research, Elsevier, vol. 13(1), pages 87-95, February. [Downloadable!] (restricted)
  3. Frederic S. Mishkin, 1984. "The Real Interest Rate: A Multi-Country Empirical Study," Canadian Journal of Economics, Canadian Economics Association, vol. 17(2), pages 283-311, May. [Downloadable!] (restricted)
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  4. Kang, Heejoon, 1989. "The optimal lag selection and transfer function analysis in Granger causality tests," Journal of Economic Dynamics and Control, Elsevier, vol. 13(2), pages 151-169, April. [Downloadable!] (restricted)
  5. 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, vol. 20(1989-1), pages 125-180. [Downloadable!]
  6. Jorion, Philippe & Schwartz, Eduardo, 1986. " Integration vs. Segmentation in the Canadian Stock Market," Journal of Finance, American Finance Association, vol. 41(3), pages 603-14, July. [Downloadable!] (restricted)
  7. Roll, Richard, 1992. " Industrial Structure and the Comparative Behavior of International Stock Market Indices," Journal of Finance, American Finance Association, vol. 47(1), pages 3-41, March. [Downloadable!] (restricted)
  8. Hali J. Edison, 1990. "Foreign currency operations: an annotated bibliography," International Finance Discussion Papers 380, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  9. Fratianni, Michele & von Hagen, Juergen, 1990. "The European Monetary System ten years after," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 32(1), pages 173-241, January. [Downloadable!] (restricted)
  10. Mark, Nelson C., 1985. "Some evidence on the international inequality of real interest rates," Journal of International Money and Finance, Elsevier, vol. 4(2), pages 189-208, June. [Downloadable!] (restricted)
  11. Cho, D Chinhyung & Eun, Cheol S & Senbet, Lemma W, 1986. " International Arbitrage Pricing Theory: An Empirical Investigation," Journal of Finance, American Finance Association, vol. 41(2), pages 313-29, June. [Downloadable!] (restricted)
  12. Gerald P. Dwyer, Jr. & R.W. Hafer, 1988. "Are national stock markets linked?," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 3-14. [Downloadable!]
  13. Nelson, Charles R & Startz, Richard, 1990. "Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator," Econometrica, Econometric Society, vol. 58(4), pages 967-76, July. [Downloadable!] (restricted)
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Cited by:
(explanations, 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.)

  1. Lawrence Goldberg & James Lothian & John Okunev, 2003. "Has International Financial Integration Increased?," Open Economies Review, Springer, vol. 14(3), pages 299-317, July. [Downloadable!] (restricted)
    Other versions:
  2. Nicolaas Groenewold & Mohamed Ariff, 1998. "The Effects Of De-Regulation On Share-Market Efficiency In The Asia-Pacific," International Economic Journal, Korean International Economic Association, vol. 12(4), pages 23-47, December. [Downloadable!] (restricted)
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