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Citations for "Comovements in national stock market returns: Evidence of predictability, but not cointegration"

by Richards, Anthony J.

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  1. Bank for International Settlements, 2008. "Integration of India's stock market with global and major regional markets," BIS Papers chapters, in: Bank for International Settlements (ed.), Regional financial integration in Asia: present and future, volume 42, pages 202-236 Bank for International Settlements.
  2. Marcel Aloy & Mohamed Boutahar & Karine Gente & Anne Péguin-Feissolle, 2013. "Long-run relationships between international stock prices: further evidence from fractional cointegration tests," Applied Economics, Taylor & Francis Journals, vol. 45(7), pages 817-828, March.
  3. Claudia M. Buch & Elke Hanschel, 1999. "The Effectiveness of Capital Controls ; The Case of Slovenia," Kiel Working Papers 933, Kiel Institute for the World Economy.
  4. Yin-Wong Cheung & Frank Westermann, 2001. "Equity Price Dynamics Before and After the Introduction of the Euro: A Note," Multinational Finance Journal, Multinational Finance Journal, vol. 5(2), pages 113-128, June.
  5. 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.
  6. Shu-Ling Chen & Hyeongwoo Kim, 2011. "Nonlinear Mean Reversion across National Stock Markets: Evidence from Emerging Asian Markets," International Economic Journal, Taylor & Francis Journals, vol. 25(2), pages 239-250.
  7. Kenourgios, Dimitris & Samitas, Aristeidis, 2009. "Financial Market Dynamics in an Enlarged European Union," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 24, pages 197-221.
  8. Numan Ülkü, 2011. "Modeling Comovement among Emerging Stock Markets: The Case of Budapest and Istanbul," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 61(3), pages 277-304, July.
  9. Kühl, Michael, 2007. "Cointegration in the foreign exchange market and market efficiency since the introduction of the Euro: Evidence based on bivariate cointegration analyses," Center for European, Governance and Economic Development Research Discussion Papers 68, University of Goettingen, Department of Economics.
  10. 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.
  11. Kasilingam Lingaraja & Murugesan Selvam & Vinayagamoorthi Vasanth & Ramachandran Rajesh Ramkumar, 2015. "Long-run Overseas Portfolio Diversification Benefits and Opportunities of Asian Emerging Stock Markets and Developed Markets," International Journal of Economics and Financial Issues, Econjournals, vol. 5(2), pages 324-333.
  12. Georg Strasser, 2011. "The Efficiency of the Global Markets for Final Goods and Productive Capabilities," 2011 Meeting Papers 576, Society for Economic Dynamics.
  13. Mohamed El Hedi Arouri, 2010. "Time-varying characteristics of cross-market linkages with empirical application to Gulf stock markets," Managerial Finance, Emerald Group Publishing, vol. 36(1), pages 57-70, February.
  14. Paresh Kumar Narayan & Seema Narayan, 2011. "Has the structural break slowed down growth rates of stock markets?," Financial Econometics Series 2011_10, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  15. Mohamed El Hedi Arouri & Mondher Bellalah & Duc Khuong Nguyen, 2008. "The Comovements In International Stock Markets: New Evidence From Latin American Emerging Countries," Working Papers halshs-00202943, HAL.
  16. Nektarios Aslanidis & Denise R. Osborn & Marianne Sensier, 2008. "Comovements between US and UK stock prices: the roles of macroeconomic information and timevarying conditional correlations," The School of Economics Discussion Paper Series 0805, Economics, The University of Manchester.
  17. Stephanie E. Curcuru & Charles P. Thomas & Francis E. Warnock & Jon Wongswan, 2011. "U.S. international equity investment and past prospective returns," International Finance Discussion Papers 1016, Board of Governors of the Federal Reserve System (U.S.).
  18. Sousa, Ricardo M., 2010. "Consumption, (dis)aggregate wealth, and asset returns," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 606-622, September.
  19. Stephanie E. Curcuru & Charles P. Thomas & Francis E. Warnock & Jon Wongswan, 2014. "Uncovered Equity Parity and Rebalancing in International Portfolios," NBER Working Papers 19963, National Bureau of Economic Research, Inc.
  20. Lence, Sergio & Falk, Barry, 2005. "Cointegration, market integration, and market efficiency," Journal of International Money and Finance, Elsevier, vol. 24(6), pages 873-890, October.
  21. Jose Soares da Fonseca, 2010. "The performance of the European stock markets: a time-varying Sharpe ratio approach," The European Journal of Finance, Taylor & Francis Journals, vol. 16(7), pages 727-741.
  22. Simon Stevenson, 2002. "Momentum Effects and Mean Reversion in Real Estate Securities," Journal of Real Estate Research, American Real Estate Society, vol. 23(1/2), pages 47-64.
  23. Kolluri, Bharat & Wahab, Susan & Wahab, Mahmoud, 2015. "An examination of co-movements of India's stock and government bond markets," Journal of Asian Economics, Elsevier, vol. 41(C), pages 39-56.
  24. Eberts, Elke, 2003. "The Connection of Stock Markets Between Germany and the USA: New Evidence From a Co-integration Study," ZEW Discussion Papers 03-36, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  25. 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.
  26. Luis A. Gil-Alana & Guglielmo Maria Caporale, 2012. "Fractional Integration and Cointegration in US Financial Time Series Data," Faculty Working Papers 12/12, School of Economics and Business Administration, University of Navarra.
  27. Frank Westermann, 2002. "Stochastic Trends and Cycles in National Stock Market Indices: Evidence from the U.S., the U.K. and Switzerland," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 138(III), pages 317-328, September.
  28. Ricardo M. Sousa, 2007. "Expectations, Shocks, and Asset Returns," NIPE Working Papers 29/2007, NIPE - Universidade do Minho.
  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. repec:kap:iaecre:v:3:y:1997:i:2:p:142-153 is not listed on IDEAS
  31. Masih, A. Mansur M. & Masih, Rumi, 2002. "Propagative causal price transmission among international stock markets: evidence from the pre- and postglobalization period," Global Finance Journal, Elsevier, vol. 13(1), pages 63-91.
  32. Sanidas, Elias & Jayanthakumaran, Kankesu, 2006. "The Consequences of Trade Liberalisation on the Australian Passenger Motor Vehicle Industry," Economics Working Papers wp06-01, School of Economics, University of Wollongong, NSW, Australia.
  33. Martins, Luis F. & Gabriel, Vasco J., 2014. "Modelling long run comovements in equity markets: A flexible approach," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 288-295.
  34. T Lorde & B Francis & A Greene, 2009. "Testing for Long-Run Comovement, Common Features and Efficiency in Emerging Stock Markets: Evidence from the Caribbean," Economic Issues Journal Articles, Economic Issues, vol. 14(2), pages 55-80, September.
  35. Shahzad, Syed Jawad Hussain & Ahmed, Tanveer & Rehman, Mobeen Ur & Zakaria, Muhammad, 2014. "Relationship between Developed, Emerging and South Asian Equity Markets: Empirical Evidence with a Multivariate Framework Analysis," MPRA Paper 60398, University Library of Munich, Germany.
  36. 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.
  37. Bartram, Sohnke M. & Taylor, Stephen J. & Wang, Yaw-Huei, 2007. "The Euro and European financial market dependence," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1461-1481, May.
  38. Paparas, Dimitrios & Stoian, Andreea, 2016. "The validity of Wagner’s Law in Romania during 1995-2015," MPRA Paper 74378, University Library of Munich, Germany.
  39. 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.
  40. James E. Payne, 2006. "Further evidence on the transmission of shocks across REIT markets: an examination of REIT sub-sectors," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(3), pages 141-146, May.
  41. Thomas Nitschka, 2005. "The U.S. consumption-wealth ratio and foreign stock markets: International evidence for return predictability," Money Macro and Finance (MMF) Research Group Conference 2005 22, Money Macro and Finance Research Group.
  42. Phengpis, Chanwit, 2006. "Market efficiency and cointegration of spot exchange rates during periods of economic turmoil: Another look at European and Asian currency crises," Journal of Economics and Business, Elsevier, vol. 58(4), pages 323-342.
  43. Hiremath, Gourishankar S & Bandi, Kamaiah, 2010. "Some Further Evidence on the Behaviour of Stock Returns in India," MPRA Paper 48518, University Library of Munich, Germany.
  44. Söehnke Bartram & Stephen Taylor & Yaw-Huei Wang, 2004. "The Euro and European Financial Market Integration," Money Macro and Finance (MMF) Research Group Conference 2004 49, Money Macro and Finance Research Group, revised 13 Oct 2004.
  45. Flad, Michael & Jung, Robert C., 2008. "A common factor analysis for the US and the German stock markets during overlapping trading hours," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(5), pages 498-512, December.
  46. Siv Heng Taing & Andrew C. Worthington, 2002. "Comovements among European equity sectors: Selected evidence from the consumer discretionary, consumer staples, financial, industrial and materials sectors," School of Economics and Finance Discussion Papers and Working Papers Series 116, School of Economics and Finance, Queensland University of Technology.
  47. Focker, Fulvia & Triacca, Umberto, 2006. "Interpreting the concept of joint unpredictability of asset returns: A distance approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 369(2), pages 765-770.
  48. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2008. "Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience," Working papers 2008-49, University of Connecticut, Department of Economics.
  49. Olienyk, John P. & Schwebach, Robert G. & Kenton Zumwalt, J., 1999. "WEBS, SPDRs, and country funds: an analysis of international cointegration," Journal of Multinational Financial Management, Elsevier, vol. 9(3-4), pages 217-232, November.
  50. Peresetsky, Anatoly & Ivanter, Alexander, 2000. "Interaction of the Russian Financial Markets," Economic Change and Restructuring, Springer, vol. 33(1-2), pages 103-140.
  51. Chancharat,Surachai & Valadkhani, Abbas, 2007. "An Empirical Analysis of the Thai and Major International Stock Markets," Economics Working Papers wp07-13, School of Economics, University of Wollongong, NSW, Australia.
  52. Paul Gallimore & J. Andrew Hansz & Wikrom Prombutr & Ying Zhang, 2014. "Long-term Cointegrative and Short-term Causal Relations among U.S. Real Estate Sectors," International Real Estate Review, Asian Real Estate Society, vol. 17(3), pages 359-394.
  53. 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.
  54. Guidi, Francesco, 2008. "Volatility and Long Term Relations in Equity Markets: Empirical Evidence from Germany, Switzerland, and the UK," MPRA Paper 11535, University Library of Munich, Germany.
  55. Eleni Constantinou & Avo Kazandjian & George Kouretas & Vera Tahmazian, 2005. "Common Stochastic Trends among the Cyprus Stock Exchange and the ASE, LSE and NYSE," Working Papers 0520, University of Crete, Department of Economics.
  56. Fredj Jawadi & Nicolas Million & Mohamed El Hedi Arouri, 2009. "Stock market integration in the Latin American markets: further evidence from nonlinear modeling," Post-Print hal-00387110, HAL.
  57. repec:wyi:journl:002183 is not listed on IDEAS
  58. Raphael Markellos & Costas Siriopoulos, 1997. "Diversification benefits in the smaller European stock markets," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 3(2), pages 142-153, May.
  59. Guglielmo Maria Caporale & Nicola Spagnolo, 2011. "Stock Market Integration between Three CEECs, Russia, and the UK," Review of International Economics, Wiley Blackwell, vol. 19(1), pages 158-169, 02.
  60. José Soares da Fonseca, 2012. "The International Integration of the Eastern Europe and two Middle East Stock Markets," GEMF Working Papers 2013-01, GEMF, Faculty of Economics, University of Coimbra.
  61. Klaus Grobys, 2011. "Are Different National Stock Markets Driven by the Same Stochastic Hidden Variable?," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 3(1), pages 021-030, June.
  62. C. Worthington, Andrew & Higgs, Helen, 2010. "Assessing Financial Integration in the European Union Equity Markets: Panel Unit Root and Multivariate Cointegration and Causality Evidence," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 25, pages 457-479.
  63. Narayan, Paresh Kumar & Liu, Ruipeng & Westerlund, Joakim, 2016. "A GARCH model for testing market efficiency," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 41(C), pages 121-138.
  64. Apte, Prakash & Sercu, Piet & Uppal, Raman, 2004. "The exchange rate and purchasing power parity: extending the theory and tests," Journal of International Money and Finance, Elsevier, vol. 23(4), pages 553-571, June.
  65. Crowder, William J. & Wohar, Mark E., 1998. "Cointegration, forecasting and international stock prices," Global Finance Journal, Elsevier, vol. 9(2), pages 181-204.
  66. Hyeongwoo Kim & Deockhyun Ryu, 2015. "Measuring the Speed of Convergence of Stock Prices: A Nonparametric and Nonlinear Approach," Auburn Economics Working Paper Series auwp2015-08, Department of Economics, Auburn University.
  67. Pan, Li & Tang, Ya & Xu, Jianguo, 2013. "Weekly momentum by return interval ranking," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 1191-1208.
  68. Siv Taing & Andrew Worthington, 2005. "Return relationships among European equity sectors: A comparative analysis across selected sectors in small and large economies," Journal of Applied Economics, Universidad del CEMA, vol. 8, pages 371-388, November.
  69. Guglielmo Maria Caporale & Luis A. Gil-Alana & C. James Orlando, 2015. "Linkages between the US and European Stock Markets: A Fractional Cointegration Approach," Discussion Papers of DIW Berlin 1505, DIW Berlin, German Institute for Economic Research.
  70. Phylaktis, Kate & Ravazzolo, Fabiola, 2005. "Stock market linkages in emerging markets: implications for international portfolio diversification," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(2), pages 91-106, April.
  71. Stephanie E. Curcuru & Charles P. Thomas & Francis E. Warnock & Jon Wongswan, 2011. "US International Equity Investment and Past and Prospective Returns," American Economic Review, American Economic Association, vol. 101(7), pages 3440-3455, December.
  72. Robert T. Kleiman & James E. Payne & Anandi P. Sahu, 2002. "Random Walks and Market Efficiency: Evidence from International Real Estate Markets," Journal of Real Estate Research, American Real Estate Society, vol. 24(3), pages 279-298.
  73. Ceylan Onay & Gözde Ünal, 2012. "Cointegration and Extreme Value Analyses of Bovespa and the Istanbul Stock Exchange," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(1), pages 66-90, February.
  74. Chetverikov Viktor, 2000. "Arbitrage Possibilities in Russian Spot and Future Markets," EERC Working Paper Series 98-057e, EERC Research Network, Russia and CIS.
  75. Eleni Constantinou & Avo Kazandjian & George Kouretas & Vera Tahmazian, 2005. "Cointegration, causality and domestic portfolio diversification in the Cyprus Stock Exchange," Working Papers 0522, University of Crete, Department of Economics.
  76. Aslanidis, Nektarios & Osborn, Denise R. & Sensier, Marianne, 2008. "Co-movements between US and UK stock prices: the roles of macroeconomic information and time-series varying conditional correlations," Working Papers 2072/8950, Universitat Rovira i Virgili, Department of Economics.
  77. 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.
  78. Paresh Kumar Narayan & Russell Smyth, 2005. "Are OECD stock prices characterized by a random walk? Evidence from sequential trend break and panel data models," Applied Financial Economics, Taylor & Francis Journals, vol. 15(8), pages 547-556.
  79. Nils Holinski & Robert Vermeulen, 2010. "The International Wealth Channel: A Global Error-Correcting Analysis," CREA Discussion Paper Series 10-04, Center for Research in Economic Analysis, University of Luxembourg.
  80. Dorota Witkowska & Krzysztof Kompa & Aleksandra Matuszewska-Janica, 2012. "Analysis of Linkages between Central and Eastern European Capital Markets," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 12, pages 19-34.
  81. Dimpfl, Thomas, 2014. "A note on cointegration of international stock market indices," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 10-16.
  82. Thomas Nitschka, 2007. "International evidence for return predictability and the implications for long-run covariation of the G7 stock markets," IEW - Working Papers 338, Institute for Empirical Research in Economics - University of Zurich.
  83. Kim, Hyeongwoo, 2009. "On the usefulness of the contrarian strategy across national stock markets: A grid bootstrap analysis," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 734-744, December.
  84. Masih, Abul M. M. & Masih, Rumi, 1997. "Dynamic linkages and the propagation mechanism driving major international stock markets: An analysis of the pre- and post-crash eras," The Quarterly Review of Economics and Finance, Elsevier, vol. 37(4), pages 859-885.
  85. Richard Fu & Marco Pagani, 2012. "On the cointegration of international stock indices," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 36(2), pages 463-480, April.
  86. Bank for International Settlements & Hong Kong Institute for Monetary Research, 2008. "Regional financial integration in Asia: present and future," BIS Papers, Bank for International Settlements, number 42.
  87. Michael E. Drew & Leonard Chong, 2002. "Stock Market Interdependence: Evidence from Australia," School of Economics and Finance Discussion Papers and Working Papers Series 106, School of Economics and Finance, Queensland University of Technology.
  88. Cajueiro, Daniel O. & Tabak, Benjamin M., 2006. "Testing for predictability in equity returns for European transition markets," Economic Systems, Elsevier, vol. 30(1), pages 56-78, March.
  89. John Sarich, 2006. "What do we know about the real exchange rate? A classical cost of production story," Review of Political Economy, Taylor & Francis Journals, vol. 18(4), pages 469-496.
  90. Christian Jochum & Gebhard Kirchgässner & Mariusz Platek, 1999. "A long-run relationship between Eastern European stock markets? Cointegration and the 1997/98 crisis in emerging markets," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 135(3), pages 454-479, September.
  91. Krämer, Walter, 1997. "Kointegration von Aktienkursen," Technical Reports 1997,11, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  92. Abul M.M. Masih & Rumi Masih, 1998. "A Fractional Cointegration Approach to Testing Mean Reversion Between Spot and Forward Exchange Rates: A Case of High Frequency Data with Low Frequency Dynamics," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 25(7&8), pages 987-1003.
  93. Davies, Andrew, 2006. "Testing for international equity market integration using regime switching cointegration techniques," Review of Financial Economics, Elsevier, vol. 15(4), pages 305-321.
  94. Chanwit Phengpis, 2006. "Are emerging stock market price indices really stationary?," Applied Financial Economics, Taylor & Francis Journals, vol. 16(13), pages 931-939.
  95. Garcia Pascual, Antonio, 2003. "Assessing European stock markets (co)integration," Economics Letters, Elsevier, vol. 78(2), pages 197-203, February.
  96. 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.
  97. Bonga-Bonga, Lumengo & Mabe, Queen Magadi, 2016. "How financially integrated are trading blocs in Africa?," MPRA Paper 75716, University Library of Munich, Germany.
  98. John Hatgioannides & Spiros Mesomeris, 2005. "Mean Reversion in Equity Prices: the G-7 Evidence," Money Macro and Finance (MMF) Research Group Conference 2005 64, Money Macro and Finance Research Group.
  99. Dimitris Georgoutsos & George Kouretas, 2001. "Common Stochastic Trends In International Stock Markets: Testing In An Integrated Framework," Working Papers 0104, University of Crete, Department of Economics.
  100. José Soares Fonseca, 2006. "L’intégration des marchés financiers," GEMF Working Papers 2006-06, GEMF, Faculty of Economics, University of Coimbra.
  101. 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.
  102. Chakrabarti, Rajesh & Roll, Richard, 2002. "East Asia and Europe during the 1997 Asian collapse: a clinical study of a financial crisis," Journal of Financial Markets, Elsevier, vol. 5(1), pages 1-30, January.
  103. 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.
  104. Lasfer, M. Ameziane & Melnik, Arie & Thomas, Dylan C., 2003. "Short-term reaction of stock markets in stressful circumstances," Journal of Banking & Finance, Elsevier, vol. 27(10), pages 1959-1977, October.
  105. He, Hui & Locke, Peter, 2011. "Global trends in real risk free rates," Research in International Business and Finance, Elsevier, vol. 25(1), pages 53-63, January.
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