1. Roca, Eduardo D & Selvanathan, E Antony, 2001. "Australia and the Three Little Dragons: Are Their Equity Markets Interdependent?," Applied Economics Letters, Taylor and Francis Journals, vol. 8(3), pages 203-07, March. [Downloadable!] (restricted)
2. King, Mervyn & Sentana, Enrique & Wadhwani, Sushil, 1994. "Volatility and Links between National Stock Markets," Econometrica, Econometric Society, vol. 62(4), pages 901-33, July. [Downloadable!] (restricted)
   Other versions:
   • Mervyn King & Enrique Sentana & Sushil Wadhwani, 1990. "Volatiltiy and Links Between National Stock Markets," NBER Working Papers 3357, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
3. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January. [Downloadable!] (restricted)
4. Lessard, Donald R, 1973. "International Portfolio Diversification: A Multivariate Analysis for a Group of Latin American Countries," Journal of Finance, American Finance Association, vol. 28(3), pages 619-33, June. [Downloadable!] (restricted)
5. Osterwald-Lenum, Michael, 1992. "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 461-72, August.
6. Baxter, Marianne & Jermann, Urban J, 1997. "The International Diversification Puzzle Is Worse Than You Think," American Economic Review, American Economic Association, vol. 87(1), pages 170-80, March. [Downloadable!] (restricted)
   Other versions:
   • Marianne Baxter & Urban J. Jermann, 1995. "The International Diversification Puzzle is Worse Than You Think," NBER Working Papers 5019, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
   • Baxter, M. & Jermann, U.J., 1993. "The International Diversification Puzzle is Worse than you Think," RCER Working Papers 350, University of Rochester - Center for Economic Research (RCER).
7. Lee, Tae-Hwy & Tse, Yiuman, 1996. "Cointegration tests with conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 73(2), pages 401-410, August. [Downloadable!] (restricted)
8. Allen, D E & MacDonald, G, 1995. "The Long-Run Gains from International Equity Diversification: Australian Evidence from Cointegration Tests," Applied Financial Economics, Taylor and Francis Journals, vol. 5(1), pages 33-42, February. [Downloadable!] (restricted)
9. James MacKinnon, 1990. "Critical Values for Cointegration Tests," University of California at San Diego, Economics Working Paper Series 90-4, Department of Economics, UC San Diego. [Downloadable!]
10. 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)
11. Roca, Eduardo D, 1999. "Short-Term and Long-Term Price Linkages between the Equity Markets of Australia and Its Major Trading Partners," Applied Financial Economics, Taylor and Francis Journals, vol. 9(5), pages 501-11, October. [Downloadable!] (restricted)
12. Gonzalo, Jesus & Lee, Tae-Hwy, 1998. "Pitfalls in testing for long run relationships," Journal of Econometrics, Elsevier, vol. 86(1), pages 129-154, June. [Downloadable!] (restricted)
    Other versions:
    • Gonzalo, J. & Lee, T.H., 1995. "Pitfalls in Testing for Long Run Relationships," Papers 38, Boston University - Department of Economics.
13. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July. [Downloadable!] (restricted)
14. Cheung, Yin-Wong & Lai, Kon S, 1993. "Finite-Sample Sizes of Johansen's Likelihood Ration Tests for Conintegration," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 55(3), pages 313-28, August.
15. Kasa, Kenneth, 1992. "Common stochastic trends in international stock markets," Journal of Monetary Economics, Elsevier, vol. 29(1), pages 95-124, February. [Downloadable!] (restricted)
16. Richards, Anthony J., 1995. "Comovements in national stock market returns: Evidence of predictability, but not cointegration," Journal of Monetary Economics, Elsevier, vol. 36(3), pages 631-654, December. [Downloadable!] (restricted)
    Other versions:
    • Anthony J. Richards, 1996. "Comovements in National Stock Market Returns: Evidence of Predictability but not Cointegration," IMF Working Papers 96/28, International Monetary Fund.
17. Kanas, Angelos, 1998. "Linkages between the US and European Equity Markets: Further Evidence from Cointegration Tests," Applied Financial Economics, Taylor and Francis Journals, vol. 8(6), pages 607-14, December. [Downloadable!] (restricted)
    Other versions:
    • Angelos Kanas, . "Linkages between the US and European Equity Markets: Further Evidence from cointegration Tests," Working Papers 9804, University of Crete, Department of Economics.
18. Kenneth R. French & James M. Poterba, 1991. "Investor Diversification and International Equity Markets," NBER Working Papers 3609, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    • French, Kenneth R & Poterba, James M, 1991. "Investor Diversification and International Equity Markets," American Economic Review, American Economic Association, vol. 81(2), pages 222-26, May. [Downloadable!] (restricted)
19. Corhay, Albert & Rad, Alireza Tourani & Urbain, Jean-Pierre, 1995. "Long Run Behaviour of Pacific-Basin Stock Prices," Applied Financial Economics, Taylor and Francis Journals, vol. 5(1), pages 11-18, February. [Downloadable!] (restricted)
20. Engsted, Tom & Lund, Jesper, 1997. "Common Stochastic Trends in International Stock Prices and Dividends: An Example of Testing Overidentifying Restrictions on Multiple Cointegration Vectors," Applied Financial Economics, Taylor and Francis Journals, vol. 7(6), pages 659-65, December. [Downloadable!] (restricted)
21. 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)
22. Cooper, Ian & Kaplanis, Evi, 1994. "Home Bias in Equity Portfolios, Inflation Hedging, and International Capital Market Equilibrium," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 7(1), pages 45-60. [Downloadable!] (restricted)
23. Tesar, Linda L. & Werner, Ingrid M., 1995. "Home bias and high turnover," Journal of International Money and Finance, Elsevier, vol. 14(4), pages 467-492, August. [Downloadable!] (restricted)
24. Francis, Bill B. & Leachman, Lori L., 1998. "Superexogeneity and the dynamic linkages among international equity markets," Journal of International Money and Finance, Elsevier, vol. 17(3), pages 475-492, June. [Downloadable!] (restricted)
25. Masih, Abul M. M. & Masih, Rumi, 1999. "Are Asian stock market fluctuations due mainly to intra-regional contagion effects? Evidence based on Asian emerging stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 7(3-4), pages 251-282, August. [Downloadable!] (restricted)
26. Taylor, Mark P & Tonks, Ian, 1989. "The Internationalisation of Stock Markets and the Abolition of U.K. Exchange Control," The Review of Economics and Statistics, MIT Press, vol. 71(2), pages 332-36, May. [Downloadable!] (restricted)
27. Kanas, Angelos, 1999. "A Note on the Long-Run Benefits from International Equity Diversification for a UK Investor Diversifying in the US Equity Market," Applied Economics Letters, Taylor and Francis Journals, vol. 6(1), pages 49-53, January. [Downloadable!] (restricted)
28. Kang, Jun-Koo & Stulz, Rene M., 1997. "Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan," Journal of Financial Economics, Elsevier, vol. 46(1), pages 3-28, October. [Downloadable!] (restricted)
    Other versions:
    • Jun-Koo Kang & Rene M. Stulz, 1995. "Why Is There a Home Bias? An Analysis of Foreign Portfolio Equity Ownership in Japan," NBER Working Papers 5166, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
29. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254. [Downloadable!] (restricted)
30. Levy, Haim & Sarnat, Marshall, 1970. "International Diversification of Investment Portfolios," American Economic Review, American Economic Association, vol. 60(4), pages 668-75, September. [Downloadable!] (restricted)
31. Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996. "Impulse response analysis in nonlinear multivariate models," Journal of Econometrics, Elsevier, vol. 74(1), pages 119-147, September. [Downloadable!] (restricted)

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. Kathleen Goffey & Andrew Worthington, 2002. "Motor Vehicle Usage Patterns in Australia: A Comparative Analysis of Driver, Vehicle & Purpose Characteristics for Household & Freight Travel," School of Economics and Finance Discussion Papers and Working Papers Series 117, School of Economics and Finance, Queensland University of Technology. [Downloadable!]