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Capital market information transfer and integration: The case of securities dualtraded in the U.S. and Canada

  • Ip, Yiu Keung
  • Brooks, LeRoy D.
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    File URL: http://www.sciencedirect.com/science/article/B6W4F-45FYDNN-5/2/49278d2c2e923af30010eb030aab8260
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    Article provided by Elsevier in its journal Global Finance Journal.

    Volume (Year): 7 (1996)
    Issue (Month): 1 ()
    Pages: 53-65

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    Handle: RePEc:eee:glofin:v:7:y:1996:i:1:p:53-65
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620162

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    1. Ripley, Duncan M, 1973. "Systematic Elements in the Linkage of National Stock Market Indices," The Review of Economics and Statistics, MIT Press, vol. 55(3), pages 356-61, August.
    2. 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.
    3. Solnik, B H, 1974. "The International Pricing of Risk: An Empirical Investigation of the World Capital Market Structure," Journal of Finance, American Finance Association, vol. 29(2), pages 365-78, May.
    4. Levy, Haim & Sarnat, Marshall, 1970. "International Diversification of Investment Portfolios," American Economic Review, American Economic Association, vol. 60(4), pages 668-75, September.
    5. Grubel, Herbert G & Fadner, Kenneth, 1971. "The Interdependence of International Equity Markets," Journal of Finance, American Finance Association, vol. 26(1), pages 89-94, March.
    6. Mittoo, Usha R, 1992. " Additional Evidence on Integration in the Canadian Stock Market," Journal of Finance, American Finance Association, vol. 47(5), pages 2035-54, December.
    7. Stehle, Richard E, 1977. "An Empirical Test of the Alternative Hypotheses of National and International Pricing of Risky Assets," Journal of Finance, American Finance Association, vol. 32(2), pages 493-502, May.
    8. Ripley, Duncan M, 1975. "Capital Control Policies and Foreign Share Prices," Journal of Finance, American Finance Association, vol. 30(3), pages 865-68, June.
    9. 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.
    10. Agmon, Tamir, 1973. "Country Risk: The Significance of the Country Factor for Share-Price Movements in the United Kingdom, Germany, and Japan," The Journal of Business, University of Chicago Press, vol. 46(1), pages 24-32, January.
    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.
    12. Hirotugu Akaike, 1969. "Fitting autoregressive models for prediction," Annals of the Institute of Statistical Mathematics, Springer, vol. 21(1), pages 243-247, December.
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