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Finding Evidence of Stock Market Integration Applying a CAPM or Testing for Common Stochastic Trends. Is there a Connection?

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Michael PEDERSEN

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Paper provided by European University Institute in its series Economics Working Papers with number ECO2002/17.

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Date of creation: 2002
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Handle: RePEc:eui:euiwps:eco2002/17

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  1. Pagano, Marco, 1993. "Financial markets and growth: An overview," European Economic Review, Elsevier, vol. 37(2-3), pages 613-622, April. [Downloadable!] (restricted)
  2. 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, vol. 52(2), pages 169-210, May.
  3. Bekaert, Geert & Harvey, Campbell R, 1995. " Time-Varying World Market Integration," Journal of Finance, American Finance Association, vol. 50(2), pages 403-44, June. [Downloadable!] (restricted)
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  4. Corhay, A. & Tourani Rad, A. & Urbain, J. -P., 1993. "Common stochastic trends in European stock markets," Economics Letters, Elsevier, vol. 42(4), pages 385-390. [Downloadable!] (restricted)
  5. Obstfeld, Maurice, 1998. "The Global Capital Market: Benefactor or Menace?," Journal of Economic Perspectives, American Economic Association, vol. 12(4), pages 9-30, Fall. [Downloadable!] (restricted)
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  6. Chen, Zhiwu & Knez, Peter J, 1995. "Measurement of Market Integration and Arbitrage," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 8(2), pages 287-325. [Downloadable!] (restricted)
  7. 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)
  8. Hardouvelis, Gikas A & Malliaropoulos, Dimitrios & Priestley, Richard, 1999. "EMU and European Stock Market Integration," CEPR Discussion Papers 2124, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  9. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November. [Downloadable!] (restricted)
  10. Maurice Obstfeld, 1989. "How Integrated are World Capital Markets? Some New Tests," NBER Working Papers 2075, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  11. Wheatley, Simon, 1988. "Some tests of the consumption-based asset pricing model," Journal of Monetary Economics, Elsevier, vol. 22(2), pages 193-215, September. [Downloadable!] (restricted)
  12. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254. [Downloadable!] (restricted)
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