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Common factors in international stock prices: Evidence from a cointegration study

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  • Bachman, Daniel
  • Choi, Jongmoo Jay
  • Jeon, Bang Nan
  • Kopecky, Kenneth J.

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  • 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.
  • Handle: RePEc:eee:finana:v:5:y:1996:i:1:p:39-53
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    References listed on IDEAS

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    1. Eaker, Mark & Grant, Dwight & Woodard, Nelson, 1991. "International diversification and hedging: A Japanese and U.S. perspective," Journal of Economics and Business, Elsevier, vol. 43(4), pages 363-374, November.
    2. Kasa, Kenneth, 1992. "Common stochastic trends in international stock markets," Journal of Monetary Economics, Elsevier, vol. 29(1), pages 95-124, February.
    3. Baillie, Richard T & Bollerslev, Tim, 1989. " Common Stochastic Trends in a System of Exchange Rates," Journal of Finance, American Finance Association, vol. 44(1), pages 167-181, March.
    4. Solnik, Bruno H., 1974. "An equilibrium model of the international capital market," Journal of Economic Theory, Elsevier, vol. 8(4), pages 500-524, August.
    5. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
    6. Eun, Cheol S. & Shim, Sangdal, 1989. "International Transmission of Stock Market Movements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(02), pages 241-256, June.
    7. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    8. 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 461-472, August.
    9. Arshanapalli, Bala & Doukas, John, 1993. "International stock market linkages: Evidence from the pre- and post-October 1987 period," Journal of Banking & Finance, Elsevier, vol. 17(1), pages 193-208, February.
    10. 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(1), pages 125-180.
    11. Choi, Jongmoo Jay, 1984. "Consumption Basket, Exchange Risk, and Asset Demand," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 19(03), pages 287-298, September.
    12. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
    13. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    14. Lee, Tae-Hwy & Tse, Yiuman, 1996. "Cointegration tests with conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 73(2), pages 401-410, August.
    15. Hamao, Yasushi & Masulis, Ronald W & Ng, Victor, 1990. "Correlations in Price Changes and Volatility across International Stock Markets," Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 281-307.
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    Cited by:

    1. M. Barari & Brian Lucey & S. Voronkova, 2008. "Reassessing co-movements among G7 equity markets: evidence from iShares," Applied Financial Economics, Taylor & Francis Journals, vol. 18(11), pages 863-877.
    2. Vo, Xuan Vinh, 2009. "International financial integration in Asian bond markets," Research in International Business and Finance, Elsevier, vol. 23(1), pages 90-106, January.
    3. Klaus Grobys, 2011. "Are Different National Stock Markets Driven by the Same Stochastic Hidden Variable?," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 3(1), pages 021-030, June.
    4. repec:eco:journ1:2017-03-89 is not listed on IDEAS
    5. repec:eee:ecmode:v:64:y:2017:i:c:p:384-398 is not listed on IDEAS
    6. Schindler, Felix & Voronkova, Svitlana, 2010. "Linkages between international securitized real estate markets: Further evidence from time-varying and stochastic cointegration," ZEW Discussion Papers 10-051, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
    7. Richard A. Ajayi & Seyed Mehdian & Mark J. Perry, 2004. "The Day-of-the-Week Effect in Stock Returns : Further Evidence from Eastern European Emerging Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 40(4), pages 53-62, July.
    8. Bank for International Settlements, 2008. "Integration of India's stock market with global and major regional markets," BIS Papers chapters,in: Bank for International Settlements (ed.), Regional financial integration in Asia: present and future, volume 42, pages 202-236 Bank for International Settlements.
    9. Ariss, Rima Turk & Rezvanian, Rasoul & Mehdian, Seyed M., 2011. "Calendar anomalies in the Gulf Cooperation Council stock markets," Emerging Markets Review, Elsevier, vol. 12(3), pages 293-307, September.
    10. Gilmore, Claire G. & McManus, Ginette M. & Tezel, Ahmet, 2005. "Portfolio allocations and the emerging equity markets of Central Europe," Journal of Multinational Financial Management, Elsevier, vol. 15(3), pages 287-300, July.
    11. Jeon, Bang Nam & Jang, Beom-Sik, 2004. "The linkage between the US and Korean stock markets: the case of NASDAQ, KOSDAQ, and the semiconductor stocks," Research in International Business and Finance, Elsevier, vol. 18(3), pages 319-340, September.
    12. Bakri Abdul Karim & M. Shabri Abd. Majid, 2010. "Does trade matter for stock market integration?," Studies in Economics and Finance, Emerald Group Publishing, vol. 27(1), pages 47-66, March.
    13. Bracker, Kevin & Koch, Paul D., 1999. "Economic determinants of the correlation structure across international equity markets," Journal of Economics and Business, Elsevier, vol. 51(6), pages 443-471.
    14. Thomas Lagoarde-Segot & Brian M. Lucey, 2006. "Portfolio allocations in the Middle East and North Africa," The Institute for International Integration Studies Discussion Paper Series iiisdp141, IIIS.
    15. Phengpis, Chanwit & Apilado, Vince P., 2004. "Economic interdependence and common stochastic trends: A comparative analysis between EMU and non-EMU stock markets," International Review of Financial Analysis, Elsevier, vol. 13(3), pages 245-263.
    16. Bank for International Settlements & Hong Kong Institute for Monetary Research, 2008. "Regional financial integration in Asia: present and future," BIS Papers, Bank for International Settlements, number 42.
    17. Richard A. Ajayi & Seyed Mehdian & Mark J. Perry, 2004. "The Day-of-the-Week Effect in Stock Returns : Further Evidence from Eastern European Emerging Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 40(4), pages 53-62, July.
    18. Abdul Karim, Zulkefly & Abdul Karim, Bakri, 2008. "Stock market integration: Malaysia and its major trading partners," MPRA Paper 26976, University Library of Munich, Germany, revised Jun 2009.
    19. Bailey, Warren & Choi, J. Jay, 2003. "International market linkages," Journal of Economics and Business, Elsevier, vol. 55(5-6), pages 399-404.
    20. Kearney, Colm & Lucey, Brian M., 2004. "International equity market integration: Theory, evidence and implications," International Review of Financial Analysis, Elsevier, vol. 13(5), pages 571-583.

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