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The effect of foreign ownership restrictions on stock price dynamics

  • G. Booth
  • Mustafa Chowdhury
  • Teppo Martikainen
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    File URL: http://hdl.handle.net/10.1007/BF02707534
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    Article provided by Springer in its journal Weltwirtschaftliches Archiv.

    Volume (Year): 130 (1994)
    Issue (Month): 4 (December)
    Pages: 730-746

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    Handle: RePEc:spr:weltar:v:130:y:1994:i:4:p:730-746
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    1. Errunza, Vihang & Losq, Etienne, 1985. " International Asset Pricing under Mild Segmentation: Theory and Test," Journal of Finance, American Finance Association, vol. 40(1), pages 105-24, March.
    2. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
    3. Schwert, G William, 2002. "Tests for Unit Roots: A Monte Carlo Investigation," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 5-17, January.
    4. Pekka T. Hietala, 1988. "Super premiums in the Finnish stock market : evidence on international asset pricing," Finnish Economic Papers, Finnish Economic Association, vol. 1(2), pages 148-171, Autumn.
    5. Peter C.B. Phillips, 1985. "Time Series Regression with a Unit Root," Cowles Foundation Discussion Papers 740R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1986.
    6. Granger, C. W. J., 1981. "Some properties of time series data and their use in econometric model specification," Journal of Econometrics, Elsevier, vol. 16(1), pages 121-130, May.
    7. Booth, G. Geoffrey & Mustafa, Chowdhury, 1991. "Long-run dynamics of black and official exchange rates," Journal of International Money and Finance, Elsevier, vol. 10(3), pages 392-405, September.
    8. Berglund, Tom & Liljeblom, Eva, 1988. " Market Serial Correlation on a Small Security Market: A Note," Journal of Finance, American Finance Association, vol. 43(5), pages 1265-74, December.
    9. Bossaerts, Peter, 1988. "Common nonstationary components of asset prices," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 347-364.
    10. Hsieh, David A, 1989. "Testing for Nonlinear Dependence in Daily Foreign Exchange Rates," The Journal of Business, University of Chicago Press, vol. 62(3), pages 339-68, July.
    11. Dornbusch, Rudiger, et al, 1983. "The Black Market for Dollars in Brazil," The Quarterly Journal of Economics, MIT Press, vol. 98(1), pages 25-40, February.
    12. Eun, Cheol S & Janakiramanan, S, 1986. " A Model of International Asset Pricing with a Constraint on the Foreign Equity Ownership," Journal of Finance, American Finance Association, vol. 41(4), pages 897-914, September.
    13. Virtanen, Ilkka & Yli-Olli, Paavo, 1987. "Forecasting stock market prices in a thin security market," Omega, Elsevier, vol. 15(2), pages 145-155.
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