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Economic interdependence and common stochastic trends: A comparative analysis between EMU and non-EMU stock markets

  • Phengpis, Chanwit
  • Apilado, Vince P.
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    File URL: http://www.sciencedirect.com/science/article/B6W4W-4BYWSM0-6/2/6fbac2543f507827894a6b57d431d886
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    Article provided by Elsevier in its journal International Review of Financial Analysis.

    Volume (Year): 13 (2004)
    Issue (Month): 3 ()
    Pages: 245-263

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    Handle: RePEc:eee:finana:v:13:y:2004:i:3:p:245-263
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620166

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    20. Allan W. Gregory, 1991. "Testing for Cointegration in Linear Quadratic Models," Working Papers 811, Queen's University, Department of Economics.
    21. Johansen, S., 1991. "Determination of Cointegration Rank in the Presence of a Linear Trend," Papers 76a, Helsinki - Department of Economics.
    22. Ewing, Bradley T. & Payne, James E. & Sowell, Clifford, 1999. "NAFTA and North American stock market linkages: an empirical note," The North American Journal of Economics and Finance, Elsevier, vol. 10(2), pages 443-451.
    23. Bachman, Daniel & Choi, Jongmoo Jay & Jeon, Bang Nan & Kopecky, Kenneth J., 1996. "Common factors in international stock prices: Evidence from a cointegration study," International Review of Financial Analysis, Elsevier, vol. 5(1), pages 39-53.
    24. Masih, Rumi & Masih, Abul M. M., 2001. "Long and short term dynamic causal transmission amongst international stock markets," Journal of International Money and Finance, Elsevier, vol. 20(4), pages 563-587, August.
    25. Park, Jinwoo & Fatemi, Ali M., 1993. "The linkages between the equity markets of pacific-basin countries and those of the U.S., U.K., and Japan: A vector autoregression analysis," Global Finance Journal, Elsevier, vol. 4(1), pages 49-64.
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