References
References
- Adler , M and Dumas , B . 1983 . International portfolio choice and corporation finance: a synthesis . Journal of Finance , 38 : 925 – 84 .
- Bertero , E and Mayer , C . 1990 . Structure and performance: global interdependence of stock markets around the crash of 1987 . European Economic Review , 34 : 1155 – 80 .
- Campbell , J and Hamao , Y . 1992 . Predictable stock returns in the United States and Japan: a study of long-term capital market integration . Journal of Finance , 47 : 43 – 70 .
- Campbell J Lo A MacKinlay A 1997 The Econometrics of Financial Markets, Princeton University Press Princeton NJ
- Cochrane JH 2001 Asset Pricing, Princeton University Press Princeton NJ
- De Santis , G and Gerard , B . 1997 . International asset pricing and portfolio diversification with time-varying risk . Journal of Finance , 52 : 1881 – 912 .
- Erb C Harvey C Viskanta T 1994 Forecasting international equity correlations Financial Analysts Journal November/December 32 45
- Hansen , LP and Jagannathan , R . 1991 . Implications of security market data for models of dynamic economies . Journal of Political Economy , 99 : 225 – 62 .
- Kasa , K . 1995 . Comovements among national stock markets . FRBSF Economic Review , 1 : 14 – 20 .
- Mehra , R and Prescott , EC . 1985 . The equity premium: a puzzle . Journal of Monetary Economics , 15 : 145 – 61 .
- Mittoo , U . 1992 . Additional evidence on integration in the Canadian stock market . Journal of Finance , 47 : 2035 – 54 .
- Obstfeld , M . 1994 . Risk-taking, global diversification, and growth . American Economic Review , 84 : 1310 – 29 .
- Ragunathan , V , Faff , R and Brooks , R . 1999 . Correlations, business cycles and integration . Journal of International Financial Markets, Institutions and Money , 9 : 75 – 95 .
- Roll , R . 1988 . The international crash of 1987 . Financial Analyst Journal , 44 : 19 – 35 .
- Roll , R . 1992 . Industrial structure and the comparative behaviour of international stock market indices . Journal of Finance , 47 : 3 – 42 .