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Dynamic Co-movements of Stock Indices: The Emerging Middle Eastern and the United States Markets

  • Yochanan Shachmurove

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File URL: http://www.econ.upenn.edu/Centers/CARESS/CARESSpdf/01-18.pdf
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Paper provided by Penn Economics Department in its series Penn CARESS Working Papers with number ddffc4204cf90a8523fb64134126f2da.

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Date of creation: 2001
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Handle: RePEc:cla:penntw:ddffc4204cf90a8523fb64134126f2da
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  1. Pagano, Marco, 1993. "Financial markets and growth: An overview," European Economic Review, Elsevier, vol. 37(2-3), pages 613-622, April.
  2. El-Ashkar, Hmad Abdel Fattah, 1995. "Towards An Islamic Stock Exchange In A Transitional Stage," Islamic Economic Studies, The Islamic Research and Training Institute (IRTI), vol. 3, pages 79-112.
  3. Litterman, Robert B, 1986. "Forecasting with Bayesian Vector Autoregressions-Five Years of Experience," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(1), pages 25-38, January.
  4. Raghuram G. Rajan & Luigi Zingales, . "Financial Dependence and Growth," CRSP working papers 344, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  5. Greenwood, J. & Jovanovic, B., 1988. "Financial Development, Growth, And The Distribution Of Income," RCER Working Papers 131, University of Rochester - Center for Economic Research (RCER).
  6. Ray C. Fair, 1978. "An Analysis of the Accuracy of Four Macroeconometric Models," Cowles Foundation Discussion Papers 492, Cowles Foundation for Research in Economics, Yale University.
  7. French, Kenneth R & Poterba, James M, 1991. "Investor Diversification and International Equity Markets," American Economic Review, American Economic Association, vol. 81(2), pages 222-26, May.
  8. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
  9. Robert F. Engle & Takatoshi Ito & Wen-Ling Lin, 1988. "Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market," NBER Working Papers 2609, National Bureau of Economic Research, Inc.
  10. Levine, Ross & Zervos, Sara, 1996. "Stock markets, banks, and economic growth," Policy Research Working Paper Series 1690, The World Bank.
  11. Ito, Takatoshi & Engle, Robert F. & Lin, Wen-Ling, 1992. "Where does the meteor shower come from? : The role of stochastic policy coordination," Journal of International Economics, Elsevier, vol. 32(3-4), pages 221-240, May.
  12. George M. von Furstenberg & Bang Nam Jeon, 1989. "International Stock Price Movements: Links and Messages," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 20(1), pages 125-180.
  13. Atje, Raymond & Jovanovic, Boyan, 1993. "Stock markets and development," European Economic Review, Elsevier, vol. 37(2-3), pages 632-640, April.
  14. Roll, Richard, 1992. " Industrial Structure and the Comparative Behavior of International Stock Market Indices," Journal of Finance, American Finance Association, vol. 47(1), pages 3-41, March.
  15. H. Askari & Z. Iqbal, 1995. "Opportunities in emerging Islamic financial markets," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 48(194), pages 255-282.
  16. Eun, Cheol S. & Shim, Sangdal, 1989. "International Transmission of Stock Market Movements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(02), pages 241-256, June.
  17. Diebold, Francis X. & Nason, James A., 1990. "Nonparametric exchange rate prediction?," Journal of International Economics, Elsevier, vol. 28(3-4), pages 315-332, May.
  18. Christopher A. Sims, 1988. "Bayesian skepticism on unit root econometrics," Discussion Paper / Institute for Empirical Macroeconomics 3, Federal Reserve Bank of Minneapolis.
  19. Robert B. Litterman, 1984. "Forecasting and policy analysis with Bayesian vector autoregression models," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall.
  20. 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.
  21. Yochanan Shachmurove, . "Portfolio Analysis of Latin American Stock Markets," Penn CARESS Working Papers 33820afad90814b2158b0366c, Penn Economics Department.
  22. Yochanan Shachmurove, 1998. "Portfolio analysis of South American stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 8(3), pages 315-327.
  23. Sims, Christopher A, 1972. "Money, Income, and Causality," American Economic Review, American Economic Association, vol. 62(4), pages 540-52, September.
  24. Hilliard, Jimmy E, 1979. "The Relationship between Equity Indices on World Exchanges," Journal of Finance, American Finance Association, vol. 34(1), pages 103-14, March.
  25. Friedman, Joseph & Shachmurove, Yochanan, 1997. "Co-movements of major European community stock markets: A vector autoregression analysis," Global Finance Journal, Elsevier, vol. 8(2), pages 257-277.
  26. Bertoneche, Marc L., 1979. "Spectral analysis of stock market prices," Journal of Banking & Finance, Elsevier, vol. 3(2), pages 201-208, July.
  27. Robert B. Litterman, 1984. "Above-average national growth in 1985 and 1986," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall.
  28. Shiller, Robert J, 1973. "A Distributed Lag Estimator Derived from Smoothness Priors," Econometrica, Econometric Society, vol. 41(4), pages 775-88, July.
  29. Ahmed, Abdul Rahman Yousri, 1995. "Islamic Securities In Muslim Countries' Stock Markets And An Assessment Of The Need For An Islamic Secondary Market," Islamic Economic Studies, The Islamic Research and Training Institute (IRTI), vol. 3, pages 1-37.
  30. Chan, Kam C & Gup, Benton E & Pan, Ming-Shiun, 1992. "An Empirical Analysis of Stock Prices in Major Asian Markets and the United States," The Financial Review, Eastern Finance Association, vol. 27(2), pages 289-307, May.
  31. Levy, Haim & Sarnat, Marshall, 1970. "International Diversification of Investment Portfolios," American Economic Review, American Economic Association, vol. 60(4), pages 668-75, September.
  32. Hamao, Yasushi & Masulis, Ronald W & Ng, Victor, 1990. "Correlations in Price Changes and Volatility across International Stock Markets," Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 281-307.
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