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Common stochastic trends in pacific rim stock markets

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Cited by:

  1. 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.
  2. Alessia Naccarato & Andrea Pierini & Giovanna Ferraro, 2021. "Markowitz portfolio optimization through pairs trading cointegrated strategy in long-term investment," Annals of Operations Research, Springer, vol. 299(1), pages 81-99, April.
  3. Masih, Abul M. M. & Masih, Rumi, 1999. "Are Asian stock market fluctuations due mainly to intra-regional contagion effects? Evidence based on Asian emerging stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 7(3-4), pages 251-282, August.
  4. Masih, Rumi & Peters, Sanjay & De Mello, Lurion, 2011. "Oil price volatility and stock price fluctuations in an emerging market: Evidence from South Korea," Energy Economics, Elsevier, vol. 33(5), pages 975-986, September.
  5. Yoshiro Tsutsui & Kenjiro Hirayama, 2004. "Appropriate lag specification for daily responses of international stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 14(14), pages 1017-1025.
  6. Manu K. S. & Surekha Nayak & Rameesha Kalra, 2022. "Through the Lens of Recession 2.0: Diversification Dynamics Between the Leading Asian Stock Markets," Vision, , vol. 26(2), pages 181-192, June.
  7. Kenjiro Hirayama & Yoshiro Tsutsui, 2003. "Market Efficiency and International Linkage of Stock Prices: An Analysis with High Frequency Data," Discussion Papers in Economics and Business 03-04, Osaka University, Graduate School of Economics.
  8. P.R. Madhusoodanan & Hareesh V. Kumar, 2008. "An Empirical Verification of Cointegration and Causality in Indian Stock Markets," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, vol. 9(1), pages 159-172, June.
  9. Yoshiro Tsutsui & Kenjiro Hirayama, 2010. "How Fast Do Tokyo And New York Stock Exchanges Respond To Each Other? An Analysis With High‐Frequency Data," The Japanese Economic Review, Japanese Economic Association, vol. 61(2), pages 175-201, June.
  10. 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.
  11. Yuan, Xianghui & Jin, Liwei & Lian, Feng, 2021. "The lead–lag relationship between Chinese mainland and Hong Kong stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 574(C).
  12. Diamandis, Panayiotis F., 2009. "International stock market linkages: Evidence from Latin America," Global Finance Journal, Elsevier, vol. 20(1), pages 13-30.
  13. Masih, Rumi & Masih, Abul M. M., 2001. "Long and short term dynamic causal transmission amongst international stock markets," Journal of International Money and Finance, Elsevier, vol. 20(4), pages 563-587, August.
  14. 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.
  15. Yi Zheng & Heng Chen, 2011. "Who is More Important – a Leading Power or a Close Neighbor?," Chapters, in: Lilai Xu (ed.), China’s Economy in the Post-WTO Environment, chapter 1, Edward Elgar Publishing.
  16. Angeliki Skoura, 2019. "Detection of Lead-Lag Relationships Using Both Time Domain and Time-Frequency Domain; An Application to Wealth-To-Income Ratio," Economies, MDPI, vol. 7(2), pages 1-27, April.
  17. Nildag Basak Ceylan, 2006. "The Effects of G-7 Countries’ Stock Markets on the Istanbul Stock Exchange," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 8(32), pages 37-56.
  18. Kiviet Jan F., 2017. "Discriminating between (in)valid External Instruments and (in)valid Exclusion Restrictions," Journal of Econometric Methods, De Gruyter, vol. 6(1), pages 1-9, January.
  19. 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.
  20. Rui Menezes & Andreia Dioniso, 2011. "Globalization and long-run co-movements in the stock market for the G7: an application of VECM under structural breaks," Papers 1101.4093, arXiv.org.
  21. Michel Beine & Gunther Capelle-Blancard & Helene Raymond, 2008. "International nonlinear causality between stock markets," The European Journal of Finance, Taylor & Francis Journals, vol. 14(8), pages 663-686.
  22. 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.
  23. Mikio Ito & Akihiko Noda & Tatsuma Wada, 2014. "International stock market efficiency: a non-Bayesian time-varying model approach," Applied Economics, Taylor & Francis Journals, vol. 46(23), pages 2744-2754, August.
  24. Chan Leong, Su & Felmingham, Bruce, 2003. "The interdependence of share markets in the developed economies of East Asia," Pacific-Basin Finance Journal, Elsevier, vol. 11(2), pages 219-237, April.
  25. Paresh Kumar Narayan & Russell Smyth, 2004. "Modelling the linkages between the Australian and G7 stock markets: common stochastic trends and regime shifts," Applied Financial Economics, Taylor & Francis Journals, vol. 14(14), pages 991-1004.
  26. 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.
  27. Grigoryeva, Lyudmila & Ortega, Juan-Pablo & Peresetsky, Anatoly, 2018. "Volatility forecasting using global stochastic financial trends extracted from non-synchronous data," Econometrics and Statistics, Elsevier, vol. 5(C), pages 67-82.
  28. Rui Menezes, 2013. "Globalization and Granger Causality in International Stock Markets," International Journal of Finance, Insurance and Risk Management, International Journal of Finance, Insurance and Risk Management, vol. 3(1), pages 413-413.
  29. Abul Masih & Rumi Masih, 1997. "A comparative analysis of the propagation of stock market fluctuations in alternative models of dynamic causal linkages," Applied Financial Economics, Taylor & Francis Journals, vol. 7(1), pages 59-74.
  30. Cristiana Tudor, 2011. "Changes in Stock Markets Interdependencies as a Result of the Global Financial Crisis: Empirical Investigation on the CEE Region," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 58(4), pages 525-543, December.
  31. Biplab Bhattacharjee & Muhammad Shafi & Animesh Acharjee, 2017. "Investigating the Evolution of Linkage Dynamics among Equity Markets Using Network Models and Measures: The Case of Asian Equity Market Integration," Data, MDPI, vol. 2(4), pages 1-28, December.
  32. Sangita Choudhary & Shelly Singhal, 0. "International linkages of Indian equity market: evidence from panel co-integration approach," Journal of Asset Management, Palgrave Macmillan, vol. 0, pages 1-9.
  33. Umirah, Fatin & Masih, Mansur, 2017. "Should the Malaysian Islamic stock market investors invest in regional and international equity market to gain portfolio diversification benefits ?," MPRA Paper 79762, University Library of Munich, Germany.
  34. Jan F. Kiviet & Zhenxi Chen, 2018. "A Critical Appraisal of Studies Analyzing Co-movement of International Stock Markets," Annals of Economics and Finance, Society for AEF, vol. 19(1), pages 151-196, May.
  35. Nicholas Tay & Zhen Zhu, 2000. "Correlations in Returns and Volatilities in Pacific-Rim Stock Markets," Open Economies Review, Springer, vol. 11(1), pages 27-47, January.
  36. Lee, Hyunchul & Cho, Seung Mo, 2017. "What drives dynamic comovements of stock markets in the Pacific Basin region?: A quantile regression approach," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 314-327.
  37. Walid Bakry & Audil Rashid & Somar Al-Mohamad & Nasser El-Kanj, 2021. "Bitcoin and Portfolio Diversification: A Portfolio Optimization Approach," JRFM, MDPI, vol. 14(7), pages 1-24, June.
  38. Sangita Choudhary & Shelly Singhal, 2020. "International linkages of Indian equity market: evidence from panel co-integration approach," Journal of Asset Management, Palgrave Macmillan, vol. 21(4), pages 333-341, July.
  39. Huyghebaert, Nancy & Wang, Lihong, 2010. "The co-movement of stock markets in East Asia: Did the 1997-1998 Asian financial crisis really strengthen stock market integration?," China Economic Review, Elsevier, vol. 21(1), pages 98-112, March.
  40. 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.
  41. Theodore Syriopoulos, 2004. "International portfolio diversification to Central European stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 14(17), pages 1253-1268.
  42. Tsutsui, Yoshiro & Hirayama, Kenjiro, 2005. "Estimation of the common and country-specific shock to stock prices," Journal of the Japanese and International Economies, Elsevier, vol. 19(3), pages 322-337, September.
  43. Melike E. Bildirici & Mehmet Salman, 2006. "Measuring Default Risk in Turkey: Econometric Approach," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 8(32), pages 11-36.
  44. 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.
  45. Morelli, David, 2010. "European capital market integration: An empirical study based on a European asset pricing model," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(4), pages 363-375, October.
  46. Chelley-Steeley, Patricia, 2004. "Equity market integration in the Asia-Pacific region: A smooth transition analysis," International Review of Financial Analysis, Elsevier, vol. 13(5), pages 621-632.
  47. Rumi Masih & A. Mansur & M. Masih, 2004. "Common stochastic trends and the dynamic linkages driving european stock markets: evidence from pre- and post-october 1987 crash eras," The European Journal of Finance, Taylor & Francis Journals, vol. 10(1), pages 81-104.
  48. 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.
  49. Andy Wui-Wing Cheng & Nikolai Sheung-Chi Chow & David Kam-Hung Chui & Wing-Keung Wong, 2019. "The Three Musketeers Relationships between Hong Kong, Shanghai and Shenzhen Before and After Shanghai–Hong Kong Stock Connect," Sustainability, MDPI, vol. 11(14), pages 1-20, July.
  50. Menezes, Rui & Dionísio, Andreia & Hassani, Hossein, 2012. "On the globalization of stock markets: An application of Vector Error Correction Model, Mutual Information and Singular Spectrum Analysis to the G7 countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(4), pages 369-384.
  51. Wang, Lihong, 2014. "Who moves East Asian stock markets? The role of the 2007–2009 global financial crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 28(C), pages 182-203.
  52. Christos Floros, 2005. "Price Linkages Between the US, Japan and UK Stock Markets," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 19(2), pages 169-178, August.
  53. Ijaz Younis & Cheng Longsheng & Muhammad Farhan Basheer & Ahmed Shafique Joyo, 2020. "Stock market comovements among Asian emerging economies: A wavelet-based approach," PLOS ONE, Public Library of Science, vol. 15(10), pages 1-23, October.
  54. Y. Liu & Ming-Shiun Pan & Joseph Shieh, 1998. "International transmission of stock price movements: Evidence from the U.S. and five Asian-Pacific markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 22(1), pages 59-69, March.
  55. Neaime, Simon, 2012. "The global financial crisis, financial linkages and correlations in returns and volatilities in emerging MENA stock markets," Emerging Markets Review, Elsevier, vol. 13(3), pages 268-282.
  56. Aggarwal, Raj & Kyaw, NyoNyo A., 2005. "Equity market integration in the NAFTA region: Evidence from unit root and cointegration tests," International Review of Financial Analysis, Elsevier, vol. 14(4), pages 393-406.
  57. 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.
  58. Saadet Kirbas Kasman, 2006. "The Relationship Between Macroeconomic Volatility and Stock Market Volatility," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 8(32), pages 1-10.
  59. Heejoon Kang, 1999. "The Applied Cointegration Analysis for the Open Economy: A Critical Review," Open Economies Review, Springer, vol. 10(3), pages 325-346, July.
  60. Ahmed, Walid M.A., 2011. "Comovements and Causality of Sector Price Indices: Evidence from the Egyptian Stock Exchange," MPRA Paper 28127, University Library of Munich, Germany.
  61. Gregory Koutmos & Reza Saidi, 2001. "Positive feedback trading in emerging capital markets," Applied Financial Economics, Taylor & Francis Journals, vol. 11(3), pages 291-297.
  62. Tsutsui, Yoshiro & Hirayama, Kenjiro, 2004. "Are international portfolio adjustments a cause of comovements in stock prices?," Pacific-Basin Finance Journal, Elsevier, vol. 12(4), pages 463-478, September.
  63. Jan F. Kiviet & Zhenxi Chen, 2016. "A critical appraisal of studies analyzing co-movement of international stock markets with a focus on East-Asian indices," Economic Growth Centre Working Paper Series 1606, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
  64. 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.
  65. Muhammad Usman Khurram & Kashif Hamid & Rana Shahid Imdad Akash, 2019. "Market Efficiency, Financial Integration, And Shock Transmission (Empirical Evidence From D-8 Economies)," Baltic Journal of Economic Studies, Publishing house "Baltija Publishing", vol. 5(4).
  66. Loh, Lixia, 2013. "Co-movement of Asia-Pacific with European and US stock market returns: A cross-time-frequency analysis," Research in International Business and Finance, Elsevier, vol. 29(C), pages 1-13.
  67. Ajaya Kumar Panda & Swagatika Nanda, 2017. "Short-term and long-term Interconnectedness of stock returns in Western Europe and the global market," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 3(1), pages 1-24, December.
  68. Zheng Yi & Chen Heng & Wing-Keung Wong, 2009. "China’s Stock Market Integration with a Leading Power and a Close Neighbor," JRFM, MDPI, vol. 2(1), pages 1-37, December.
  69. Abdul Karim, Zulkefly & Abdul Karim, Bakri, 2008. "Stock market integration: Malaysia and its major trading partners," MPRA Paper 26976, University Library of Munich, Germany, revised Jun 2009.
  70. Heng Chen & Russell Smyth & Wing-Keung Wong, 2008. "Is being a super-power more important than being your close neighbour? A study of what moves the Australian stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 18(9), pages 733-747.
  71. Mahesh Kumar Tambi, 2005. "A test of Integration between Emerging and Developed Nation’s Stock Markets," International Finance 0506004, University Library of Munich, Germany.
  72. Mann, Steven V. & Moore, William T. & Ramanlal, Pradipkumar, 1995. "International transmission of monthly changes in equity values," International Review of Economics & Finance, Elsevier, vol. 4(4), pages 373-385.
  73. W. N. W. Azman-Saini & M. Azali & M. S. Habibullah & K. G. Matthews, 2002. "Financial integration and the ASEAN-5 equity markets," Applied Economics, Taylor & Francis Journals, vol. 34(18), pages 2283-2288.
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