Time-varying inter-market linkage of international stock markets

References

• Andersen , TM and Herbertsson , TT . 2005 . Quantifying globalization . Applied Economics , 37 : 1089 – 98 .
   Web of Science ®Google Scholar
• Azman-Saini , WNW , Azali , M , Habibullah , MS and Matthews , KG . 2002 . Financial integration and the ASEAN-5 equity markets . Applied Economics , 34 : 2283 – 8 .
   Web of Science ®Google Scholar
• Caporale , GM and Pittis , N . 1995 . Interest rate linkages within the European Monetary System: an alternative interpretation . Applied Economics Letters , 2 : 45 – 7 .
   Web of Science ®Google Scholar
• Chen , N , Roll , R and Ross , SA . 1986 . Economic forces and the stock market . Journal of Business , 59 : 383 – 403 .
   Web of Science ®Google Scholar
• Cheng , ACS . 1996 . Economic factors and stock markets: empirical evidence from the UK and the US . International Journal of Finance and Economics , 1 : 287 – 302 .
   Google Scholar
• Fama , E and MacBeth , JD . 1973 . Risk, return, and equilibrium: empirical tests . Journal of Political Economy , 81 : 607 – 36 .
   Web of Science ®Google Scholar
• Fama , E and MacBeth , JD . 1974 . Long-term growth in a short-term market . Journal of Finance , 29 : 857 – 85 .
   Google Scholar
• Frazer , P and Taylor , MP . 1990 . Some efficient tests of international real interest rate parity . Applied Economics , 22 : 1083 – 92 .
   Google Scholar
• Geweke , J . 1982 . Measurement of linear dependence and feedback between multiple time series . Journal of the American Statistical Association , 77 : 323 – 4 .
   Google Scholar
• Hu , YP and Chou , RJ . 2004 . On the Peña–Box model . Journal of Time Series Analysis , 25 : 811 – 30 .
   Web of Science ®Google Scholar
• Hu , YP and Chou , RJ . 2003 . A dynamic factor model . Journal of Time Series Analysis , 24 : 529 – 38 .
   Google Scholar
• James , C , Koreisha , S and Partch , M . 1985 . A VARMA analysis of the causal relations among stock returns, real output, and nominal interest rates . Journal of Finance , 40 : 1375 – 84 .
   Web of Science ®Google Scholar
• Lee , HU and Wu , JL . 2004 . Convergence of interest rates around the Pacific Rim . Applied Economics , 36 : 1281 – 8 .
   Web of Science ®Google Scholar
• Makridakis , SG and Wheelwright , SC . 1974 . An analysis of the interrelationships among the major world stock exchanges . Journal of Business Finance and Accounting , 1 : 195 – 215 .
   Google Scholar
• Nellis , JG . 1982 . A principal components analysis of international financial integration under fixed and floating exchange rate regimes . Applied Economics , 14 : 339 – 54 .
   Web of Science ®Google Scholar
• Östermark , R . 1999 . Structural modeling of global capital asset pricing . International Journal of Systems Science , 30 : 601 – 10 .
   Web of Science ®Google Scholar
• Peña , D and Box , GEP . 1987 . Identifying a simplifying structure in time series . Journal of the American Statistical Association , 82 : 836 – 44 .
   Web of Science ®Google Scholar
• Pentecost , EJ and Holmes , MJ . 1995 . Changes in the extent of financial integration within the European Community between the 1970s and 1980s . Applied Economics Letters , 2 : 184 – 7 .
   Web of Science ®Google Scholar
• Piesse , J and Hearn , B . 2002 . Equity market integration versus segmentation in three dominant markets of the Southern African Customs Union: co-integration and causality tests . Applied Economics , 14 : 1711 – 22 .
   Google Scholar
• Roca , ED and Selvanathan , EA . 2001 . Australia and the three little dragons: are their equity markets interdependent? . Applied Economics Letters , 8 : 203 – 7 .
   Web of Science ®Google Scholar
• Seabra , F . 2001 . A cointegration analysis between Mercosur and international stock markets . Applied Economics Letters , 8 : 475 – 8 .
   Web of Science ®Google Scholar
• Tiao , GC and Tsay , RS . 1989 . Model specification in multivariate time series . Journal of The Royal Statistical Society, Series B (Methodological) , 51 : 157 – 213 .
   Google Scholar
• Wang , Z , Yang , J and Bessler , DA . 2003 . Financial crisis and African stock market integration . Applied Economics Letters , 10 : 527 – 33 .
   Web of Science ®Google Scholar