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German, US and Central and Eastern European Stock Market Integration

  • Manolis Syllignakis

    ()

  • Georgios Kouretas

    ()

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File URL: http://hdl.handle.net/10.1007/s11079-009-9109-9
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Article provided by Springer in its journal Open Economies Review.

Volume (Year): 21 (2010)
Issue (Month): 4 (September)
Pages: 607-628

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Handle: RePEc:kap:openec:v:21:y:2010:i:4:p:607-628
Contact details of provider: Web page: http://www.springerlink.com/link.asp?id=100323

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  1. Bekaert, Geert & Harvey, Campbell R, 1995. " Time-Varying World Market Integration," Journal of Finance, American Finance Association, vol. 50(2), pages 403-44, June.
  2. Ratna Sahay & Gaston Gelos, 2000. "Financial Market Spillovers in Transition Economies," IMF Working Papers 00/71, International Monetary Fund.
  3. Kasa, Kenneth, 1992. "Common stochastic trends in international stock markets," Journal of Monetary Economics, Elsevier, vol. 29(1), pages 95-124, February.
  4. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-36, July.
  5. Geert Bekaert & Campbell R. Harvey, 1995. "Emerging Equity Market Volatility," NBER Working Papers 5307, National Bureau of Economic Research, Inc.
  6. Voronkova, Svitlana, 2004. "Equity market integration in Central European emerging markets: A cointegration analysis with shifting regimes," International Review of Financial Analysis, Elsevier, vol. 13(5), pages 633-647.
  7. Bekaert, Geert, 1995. "Market Integration and Investment Barriers in Emerging Equity Markets," World Bank Economic Review, World Bank Group, vol. 9(1), pages 75-107, January.
  8. Egert, Balazs & Kocenda, Evzen, 2007. "Interdependence between Eastern and Western European stock markets: Evidence from intraday data," Economic Systems, Elsevier, vol. 31(2), pages 184-203, June.
  9. Gilmore, Claire G. & Lucey, Brian M. & McManus, Ginette M., 2008. "The dynamics of Central European equity market comovements," The Quarterly Review of Economics and Finance, Elsevier, vol. 48(3), pages 605-622, August.
  10. Garcia Pascual, Antonio, 2003. "Assessing European stock markets (co)integration," Economics Letters, Elsevier, vol. 78(2), pages 197-203, February.
  11. Patricia Fraser & Oluwatobi Oyefeso, 2005. "US, UK and European Stock Market Integration," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 32(1-2), pages 161-181.
  12. Lucas, Robert Jr., 1982. "Interest rates and currency prices in a two-country world," Journal of Monetary Economics, Elsevier, vol. 10(3), pages 335-359.
  13. Elliott, Graham, 1999. "Efficient Tests for a Unit Root When the Initial Observation Is Drawn from Its Unconditional Distribution," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 40(3), pages 767-83, August.
  14. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501, March.
  15. Henrik Hansen & Søren Johansen, 1992. "Recursive Estimation in Cointegrated VAR-Models," Discussion Papers 92-13, University of Copenhagen. Department of Economics.
  16. Schotman, Peter C & Zalewska, Ania, 2005. "Non-synchronous Trading and Testing for Market Integration in Central European Emerging Markets," CEPR Discussion Papers 5352, C.E.P.R. Discussion Papers.
  17. Henrik Hansen & Søren Johansen, 1999. "Some tests for parameter constancy in cointegrated VAR-models," Econometrics Journal, Royal Economic Society, vol. 2(2), pages 306-333.
  18. Gilmore, Claire G. & McManus, Ginette M., 2002. "International portfolio diversification: US and Central European equity markets," Emerging Markets Review, Elsevier, vol. 3(1), pages 69-83, March.
  19. Sephton, Peter S. & Larsen, Hans K., 1991. "Tests of exchange market efficiency: fragile evidence from cointegration tests," Journal of International Money and Finance, Elsevier, vol. 10(4), pages 561-570, December.
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