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A system of stock prices in world stock exchanges: Common stochastic trends for 1975-1990

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  • Jeon, Bang Nam
  • Chiang, Thomas C.

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  • Jeon, Bang Nam & Chiang, Thomas C., 1991. "A system of stock prices in world stock exchanges: Common stochastic trends for 1975-1990," Journal of Economics and Business, Elsevier, vol. 43(4), pages 329-338, November.
  • Handle: RePEc:eee:jebusi:v:43:y:1991:i:4:p:329-338
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    Cited by:

    1. Anatoly A. Peresetsky & Ruslan I. Yakubov, 2017. "Autocorrelation in an unobservable global trend: does it help to forecast market returns?," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 7(1/2), pages 152-169.
    2. repec:gam:jijfss:v:4:y:2016:i:2:p:10:d:70201 is not listed on IDEAS
    3. Yoshiro Tsutsui & Kenjiro Hirayama, 2010. "How Fast Do Tokyo And New York Stock Exchanges Respond To Each Other? An Analysis With High-Frequency Data," The Japanese Economic Review, Japanese Economic Association, vol. 61(2), pages 175-201.
    4. Kenjiro Hirayama & Yoshiro Tsutsui, 2003. "Market Efficiency and International Linkage of Stock Prices: An Analysis with High Frequency Data," Discussion Papers in Economics and Business 03-04, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP).
    5. Mikio Ito & Akihiko Noda & Tatsuma Wada, 2014. "International stock market efficiency: a non-Bayesian time-varying model approach," Applied Economics, Taylor & Francis Journals, vol. 46(23), pages 2744-2754, August.
    6. 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.
    7. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2008. "Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience," Working papers 2008-49, University of Connecticut, Department of Economics.
    8. Alexandra Horobet & Sorin Dumitrescu, 2011. "Time-varying Diversification Benefits: The Impact of Capital Market Integration on European Portfolio Holdings," Chapters,in: The Economic Crisis and European Integration, chapter 13 Edward Elgar Publishing.
    9. Mobeen Ur Rehman & Syed Muhammad Amir Shah, 2016. "Does Bilateral Market and Financial Integration Explains International Co-Movement Patterns 1," International Journal of Financial Studies, MDPI, Open Access Journal, vol. 4(2), pages 1-13, May.
    10. Anil Sharma & Neha Seth, 2012. "Literature review of stock market integration: a global perspective," Qualitative Research in Financial Markets, Emerald Group Publishing, vol. 4(1), pages 84-122, April.
    11. Zdravkovski, Aleksandar, 2016. "Stock market integration and diversification possibilities during financial crises: Evidence from Balkan countries," MPRA Paper 72182, University Library of Munich, Germany.
    12. repec:eee:ecosta:v:5:y:2018:i:c:p:67-82 is not listed on IDEAS
    13. Wim Meeusen (ed.), 2011. "The Economic Crisis and European Integration," Books, Edward Elgar Publishing, number 14130.
    14. Sowmya Dhanaraj & Arun Kumar Gopalaswamy & Suresh Babu M, 2013. "Dynamic interdependence between US and Asian markets: an empirical study," Journal of Financial Economic Policy, Emerald Group Publishing, vol. 5(2), pages 220-237, April.
    15. Jawadi, Fredj & Leoni, Patrick, 2009. "Threshold cointegration relationships between oil and stock markets," Discussion Papers of Business and Economics 3/2009, University of Southern Denmark, Department of Business and Economics.
    16. Grigoryeva, Lyudmila & Ortega, Juan-Pablo & Peresetsky, Anatoly, 2018. "Volatility forecasting using global stochastic financial trends extracted from non-synchronous data," Econometrics and Statistics, Elsevier, vol. 5(C), pages 67-82.

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