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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. 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.
  2. Yochanan Shachmurove, . ""Portfolio Analysis of Latin American Stock Markets''," CARESS Working Papres 97-08, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences.
  3. 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.
  4. Levy, Haim & Sarnat, Marshall, 1970. "International Diversification of Investment Portfolios," American Economic Review, American Economic Association, vol. 60(4), pages 668-75, September.
  5. Robert B. Litterman, 1984. "Above-average national growth in 1985 and 1986," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall.
  6. Francis X. Diebold & James M. Nason, 1989. "Nonparametric exchange rate prediction?," Finance and Economics Discussion Series 81, Board of Governors of the Federal Reserve System (U.S.).
  7. repec:imf:imfpdp:9811 is not listed on IDEAS
  8. 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).
  9. Levine, Ross & Zervos, Sara, 1998. "Stock Markets, Banks, and Economic Growth," American Economic Review, American Economic Association, vol. 88(3), pages 537-58, June.
  10. 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.
  11. 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.
  12. Shiller, Robert J, 1973. "A Distributed Lag Estimator Derived from Smoothness Priors," Econometrica, Econometric Society, vol. 41(4), pages 775-88, July.
  13. Bertoneche, Marc L., 1979. "Spectral analysis of stock market prices," Journal of Banking & Finance, Elsevier, vol. 3(2), pages 201-208, July.
  14. Pagano, Marco, 1993. "Financial markets and growth: An overview," European Economic Review, Elsevier, vol. 37(2-3), pages 613-622, April.
  15. Yochanan Shachmurove, 1998. "Portfolio analysis of South American stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 8(3), pages 315-327.
  16. Sims, Christopher A, 1972. "Money, Income, and Causality," American Economic Review, American Economic Association, vol. 62(4), pages 540-52, September.
  17. 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.
  18. 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.
  19. 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.
  20. El-Ashkar, Hmad Abdel Fattah, 1995. "Towards An Islamic Stock Exchange In A Transitional Stage," Journal of Islamic Economic Studies, The Islamic Research and Training Institute (IRTI), vol. 3, pages 79-112.
  21. 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.
  22. 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.
  23. Robert B. Litterman, 1984. "Forecasting and policy analysis with Bayesian vector autoregression models," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall.
  24. 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.
  25. 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.
  26. Ahmed, Abdul Rahman Yousri, 1995. "Islamic Securities In Muslim Countries' Stock Markets And An Assessment Of The Need For An Islamic Secondary Market," Journal of Islamic Economic Studies, The Islamic Research and Training Institute (IRTI), vol. 3, pages 1-37.
  27. 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.
  28. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
  29. Christopher A. Sims, 1988. "Bayesian skepticism on unit root econometrics," Discussion Paper / Institute for Empirical Macroeconomics 3, Federal Reserve Bank of Minneapolis.
  30. 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.
  31. H. Askari & Z. Iqbal, 1995. "Opportunities in emerging Islamic financial markets," BNL Quarterly Review, Banca Nazionale del Lavoro, vol. 48(194), pages 255-282.
  32. 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.
  33. Atje, Raymond & Jovanovic, Boyan, 1993. "Stock markets and development," European Economic Review, Elsevier, vol. 37(2-3), pages 632-640, April.
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