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International portfolio diversification: A study of linkages among the U.S., European and Japanese equity markets

  • Rezayat, Fahimeh
  • Yavas, Burhan F.
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    File URL: http://www.sciencedirect.com/science/article/B6VGV-4HR72GN-1/2/4ed1b556ae5508421c0b9445542e4cea
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    Article provided by Elsevier in its journal Journal of Multinational Financial Management.

    Volume (Year): 16 (2006)
    Issue (Month): 4 (October)
    Pages: 440-458

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    Handle: RePEc:eee:mulfin:v:16:y:2006:i:4:p:440-458
    Contact details of provider: Web page: http://www.elsevier.com/locate/mulfin

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    1. Jean-Claude Cosset & Jean-Marc Suret, 1995. "Political Risk and the Benefits of International Portfolio Diversification," Journal of International Business Studies, Palgrave Macmillan, vol. 26(2), pages 301-318, June.
    2. Ball, Clifford A. & Torous, Walter N., 2000. "Stochastic correlation across international stock markets," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 373-388, November.
    3. Ball, Clifford A. & Torous, Walter N., 2000. "Stochastic Correlation Across International Stock Markets," University of California at Los Angeles, Anderson Graduate School of Management qt6vn9q79w, Anderson Graduate School of Management, UCLA.
    4. Aggarwal, Raj & Park, Young S., 1994. "The relationship between daily U.S. and Japanese equity prices: Evidence from spot versus futures markets," Journal of Banking & Finance, Elsevier, vol. 18(4), pages 757-773, September.
    5. Kristin Forbes & Roberto Rigobon, 1999. "No Contagion, Only Interdependence: Measuring Stock Market Co-movements," NBER Working Papers 7267, National Bureau of Economic Research, Inc.
    6. 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.
    7. Steven J Cochran & Iqbal Mansur, 1991. "The Interrelationships Between U.S. and Foreign Equity Market Yields: Tests of Granger Causality," Journal of International Business Studies, Palgrave Macmillan, vol. 22(4), pages 723-736, December.
    8. 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.
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