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Citations for "Increasing convergence among European stock markets?: A recursive common stochastic trends analysis"

by Rangvid, Jesper

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  1. Brian M Lucey & Cal Muckley, 2011. "Robust Global Stock Market Interdependencies," The Institute for International Integration Studies Discussion Paper Series iiisdp353, IIIS.
  2. Hui, Eddie C.M. & Chen, Jia & Chan, Ka Kwan Kevin, 2016. "Are international securitized property markets converging or diverging?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 446(C), pages 1-10.
  3. Nicholas Apergis & Christina Christou & Stephen M. Miller, 2011. "Country and Industry Convergence of Equity Markets: International Evidence from Club Convergence and Clustering," Working Papers 1105, University of Nevada, Las Vegas , Department of Economics.
  4. Kutan, Ali M. & Zhou, Su, 2002. "Has the link between the spot and forward exchange rates broken down? Evidence from rolling cointegration tests," ZEI Working Papers B 08-2002, University of Bonn, ZEI - Center for European Integration Studies.
  5. Phengpis, Chanwit & Apilado, Vince P., 2004. "Economic interdependence and common stochastic trends: A comparative analysis between EMU and non-EMU stock markets," International Review of Financial Analysis, Elsevier, vol. 13(3), pages 245-263.
  6. R-P. Berben & W.J. Jansen, 2001. "Comovement in International Equity Markets: a Sectoral View," MEB Series (discontinued) 2001-11, Netherlands Central Bank, Monetary and Economic Policy Department.
  7. José A. Soares da Fonseca, 2009. "The performance of the European Stock Markets: a time-varying Sharpe ratio approach," GEMF Working Papers 2009-16, GEMF - Faculdade de Economia, Universidade de Coimbra.
  8. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2009. "Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience," Working Papers 0905, University of Nevada, Las Vegas , Department of Economics.
  9. Binswanger, Mathias, 2004. "Stock returns and real activity in the G-7 countries: did the relationship change during the 1980s?," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(2), pages 237-252, May.
  10. Renatas Kizys & Christian Pierdzioch, 2011. "The Financial Crisis and the Stock Markets of the CEE Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 61(2), pages 153-172, June.
  11. Papież, Monika & Śmiech, Sławomir, 2015. "Dynamic steam coal market integration: Evidence from rolling cointegration analysis," Energy Economics, Elsevier, vol. 51(C), pages 510-520.
  12. Ozer-Imer, Itir & Ozkan, Ibrahim, 2014. "An empirical analysis of currency volatilities during the recent global financial crisis," Economic Modelling, Elsevier, vol. 43(C), pages 394-406.
  13. Schindler, Felix & Voronkova, Svitlana, 2010. "Linkages between international securitized real estate markets: Further evidence from time-varying and stochastic cointegration," ZEW Discussion Papers 10-051, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  14. Marcel Aloy & Boutahar Mohamed & Karine Gente & Anne Peguin-Feissolle, 2011. "Long-run relationships between international stock prices: further evidence from fractional cointegration tests," Post-Print hal-00743767, HAL.
  15. Saifuzzaman Ibrahim, 2011. "The Progress of Financial Market Integration in East Asia," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), vol. 18(2), pages 458-470, December.
  16. Lucey, Brian M. & Steeley, James, 2006. "Measuring and assessing the effects and extent of international bond market integration," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(1), pages 1-3, February.
  17. M. Barari & Brian Lucey & S. Voronkova, 2008. "Reassessing co-movements among G7 equity markets: evidence from iShares," Applied Financial Economics, Taylor & Francis Journals, vol. 18(11), pages 863-877.
  18. Smith, Kenneth L. & Swanson, Peggy E., 2008. "The dynamics among G7 government bond and equity markets and the implications for international capital market diversification," Research in International Business and Finance, Elsevier, vol. 22(2), pages 222-245, June.
  19. Kim, Suk-Joong & Lucey, Brian M. & Wu, Eliza, 2006. "Dynamics of bond market integration between established and accession European Union countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(1), pages 41-56, February.
  20. Brian M Lucey & Suk-Joong Kim & Eliza Wu, 2005. "Dynamics of Bond Market Integration between Existing And Accession EU Countries," The Institute for International Integration Studies Discussion Paper Series iiisdp025, IIIS.
  21. Kearney, Colm & Lucey, Brian M., 2004. "International equity market integration: Theory, evidence and implications," International Review of Financial Analysis, Elsevier, vol. 13(5), pages 571-583.
  22. Erick Lahura, 2005. "El efecto traspaso de la tasa de interés y la política monetaria en el Perú: 1995-2004," Documentos de Trabajo / Working Papers 2005-244, Departamento de Economía - Pontificia Universidad Católica del Perú.
  23. Sartaj Rasool Rather & S. Raja Sethu Durai & M. Ramachandran, 2015. "Inflation and the Dispersion of Component Price Indices: A Case for Four Percent Solution," Working Papers 2015-134, Madras School of Economics,Chennai,India.
  24. Guglielmo Caporale & Luis Gil-Alana, 2014. "Fractional integration and cointegration in US financial time series data," Empirical Economics, Springer, vol. 47(4), pages 1389-1410, December.
  25. Bank for International Settlements, 2008. "Assessing the integration of Asia's equity and bond markets," BIS Papers chapters, in: Bank for International Settlements (ed.), Regional financial integration in Asia: present and future, volume 42, pages 1-37 Bank for International Settlements.
  26. Chien, Mei-Se & Lee, Chien-Chiang & Hu, Te-Chung & Hu, Hui-Ting, 2015. "Dynamic Asian stock market convergence: Evidence from dynamic cointegration analysis among China and ASEAN-5," Economic Modelling, Elsevier, vol. 51(C), pages 84-98.
  27. Raj Aggarwal & Brian M. Lucey & Cal Muckley, 2004. "Dynamics of Equity Market Integration in Europe: Evidence of Changes over time and with events," The Institute for International Integration Studies Discussion Paper Series iiisdp019, IIIS.
  28. Laopodis, Nikiforos T., 2011. "Equity prices and macroeconomic fundamentals: International evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(2), pages 247-276, April.
  29. José Soares Da Fonseca, 2016. "Euro area stock markets performance comparison and its dependence on macroeconomic variables," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 9(3), pages 245-266.
  30. Brian M. Lucey & Edel Tully, 2006. "The evolving relationship between gold and silver 1978--2002: evidence from a dynamic cointegration analysis: a note," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(1), pages 47-53, January.
  31. Fuinhas, José Alberto & Marques, António Cardoso & Nogueira, David Coito, 2014. "Análise VAR dos índices bolsistas SP500, FTSE100, PSI20, HSI e IBOVESPA
    [Integration of the indexes SP500, FTSE100, PSI20, HSI and IBOVESPA: A VAR approach]
    ," MPRA Paper 62092, University Library of Munich, Germany, revised 10 Feb 2015.
  32. Yunus, Nafeesa & Swanson, Peggy E., 2012. "Changing integration of EMU public property markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(1), pages 194-208.
  33. Hu, Ou, 2006. "Common and country-specific components in national stock prices," Journal of Multinational Financial Management, Elsevier, vol. 16(5), pages 509-519, December.
  34. Anatoly A. Peresetsky & Ruslan I. Yakubov, 2017. "Autocorrelation in an unobservable global trend: does it help to forecast market returns?," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 7(1/2), pages 152-169.
  35. Yang, Lixiong & Lee, Chingnun & Shie, Fu Shuen, 2014. "How close a relationship does a capital market have with other markets? A reexamination based on the equal variance test," Pacific-Basin Finance Journal, Elsevier, vol. 26(C), pages 198-226.
  36. Paulo Rogério Faustino Matos & Christiano Modesto Penna & Ana Balbina Gomes Silva, 2015. "Mutual Investments Funds in Shares in Brazil: Incentives, Management and Convergence," Brazilian Business Review, Fucape Business School, vol. 12(2), pages 110-144, March.
  37. Chris Higson & Sean Holly & Ivan Petrella, 2009. "The Financial Integration of the European Union: Common and Idiosyncratic Drivers," Working Paper / FINESS 1.1d, DIW Berlin, German Institute for Economic Research.
  38. Garcia Pascual, Antonio, 2003. "Assessing European stock markets (co)integration," Economics Letters, Elsevier, vol. 78(2), pages 197-203, February.
  39. Eleni Constantinou & Avo Kazandjian & Georgios P. Kouretas & Vera Tahmazian, 2008. "Common Stochastic Trends Among The Cyprus Stock Exchange And The Ase, Lse And Nyse," Bulletin of Economic Research, Wiley Blackwell, vol. 60(4), pages 327-349, October.
  40. Mahfuzul Haque & Hannarong Shamsub, 2015. "Do Markets Cointegrate after Financial Crises? Evidence from G-20 Stock Markets," International Journal of Financial Studies, MDPI, Open Access Journal, vol. 3(4), pages 557, December.
  41. David McMillan & Isabel Ruiz & Alan Speight, 2010. "Correlations and spillovers among three euro rates: evidence using realised variance," The European Journal of Finance, Taylor & Francis Journals, vol. 16(8), pages 753-767.
  42. José Soares da Fonseca, 2012. "The International Integration of the Eastern Europe and two Middle East Stock Markets," GEMF Working Papers 2013-01, GEMF - Faculdade de Economia, Universidade de Coimbra.
  43. Martin Petri & Tahsin Saadi-Sedik, 2006. "The Jordanian Stock Market—Should You Invest in It for Risk Diversification or Performance?," IMF Working Papers 06/187, International Monetary Fund.
  44. Twm Evans & David G. McMillan, 2009. "Financial co-movement and correlation: evidence from 33 international stock market indices," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, vol. 1(3), pages 215-241.
  45. Aktham Maghyereh & Hiatham Al-Zuobi, 2005. "Free trade agreements and equity market integration: the case of the US and Jordan," Applied Financial Economics, Taylor & Francis Journals, vol. 15(14), pages 995-1005.
  46. Nafeesa Yunus, 2009. "Increasing Convergence Between U.S. and International Securitized Property Markets: Evidence Based on Cointegration Tests," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 37(3), pages 383-411.
  47. Sylvia Gottschalk, 2016. "Entropy and credit risk in highly correlated markets," Papers 1604.07042, arXiv.org.
  48. Brian Lucey & Raj Aggarwal, 2010. "Dynamics of Equity Market Integration in Europe: Impact of Political Economy Events," Journal of Common Market Studies, Wiley Blackwell, vol. 48, pages 641-660, 06.
  49. Mylonidis, Nikolaos & Kollias, Christos, 2010. "Dynamic European stock market convergence: Evidence from rolling cointegration analysis in the first euro-decade," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2056-2064, September.
  50. David G. McMillan & Isabel Ruiz, 2009. "Volatility dynamics in three euro exchange rates: correlations, spillovers and commonality," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 1(1), pages 64-74.
  51. Click, Reid W. & Plummer, Michael G., 2005. "Stock market integration in ASEAN after the Asian financial crisis," Journal of Asian Economics, Elsevier, vol. 16(1), pages 5-28, February.
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