References
- Corhay , A , Rad , AT and Urbain , JP . 1993 . Common stochastic trends in European stock markets . Economics Letters , 42 : 385 – 90 .
- Corhay , A and Rad , AT . 1994 . Daily returns from European stock markets . Journal of Business and Finance and Accounting , 21 : 271 – 81 .
- Domowitz , I , Glen , J and Madhavan , A . 1998 . International cross-listing and order flow migration: evidence from an emerging market . Journal of Finance , 53 : 2001 – 27 .
- Foerster , SR and Karolyi , AG . 1993 . International listings of stocks: the case of Canada and the U.S. . Journal of International Business Studies , 24 : 763 – 84 .
- Foerster , SR and Karolyi , AG . 1999 . The effects of market segmentation and investor recognition on asset prices: evidence from Foreign stocks listing in the U.S. . Journal of Finance , 54 : 981 – 1013 .
- Garrett , I and Spyrou , S . 1999 . Common stochastic trends in emerging equity markets . The Manchester School , 67 : 649 – 60 .
- Gregory , AW and Hansen , BE . 1996 . Residual-based tests for cointegration in models with regime shifts . Journal of Econometrics , 70 : 99 – 126 .
- Huang , G and Song , FM . 2005 . The financial and operating performance of China's newly listed H-firms . Pacific-Basin Finance Journal , 13 : 53 – 80 .
- Johansen , S . 1988 . Statistical analysis of cointegration vectors . Journal of Economic Dynamics and Control , 12 : 231 – 54 .
- Johansen , S and Juselius , K . 1990 . Maximum likelihood estimation and inference on cointegration–with applications to the demand for money . Oxford Bulletin of Economics and Statistics , 52 : 169 – 210 .
- Kasa , K . 1992 . Common stochastic trends in international stock markets . Journal of Monetary Economics , 29 : 95 – 124 .
- Lima , EJA and Tabak , BM . 2004 . Tests of the random walk hypothesis for equity markets: evidence from China, Hong Kong and Singapore . Applied Economics Letters , 11 : 255 – 8 .
- MacDonald , R and Taylor , MP . 1991 . Exchange rates, policy convergence, and the European monetary system . Review of Economics and Statistics , 73 : 553 – 8 .
- McGuinness , PB and Ferguson , MJ . 2005 . The ownership structure of listed chinese state-owned enterprises and its relation to corporate performance . Applied Financial Economics , 15 : 231 – 46 .
- Taylor , MP and Tonks , I . 1989 . The internationalization of stock markets and the abolition of U.K. exchange control . Review of Economics and Statistics , 71 : 332 – 6 .
- Toda , HY and Phillips , PCB . 1993 . Vector autoregressions and causality . Econometrica , 61 : 1367 – 97 .
- Wang , SS and Jiang , L . 2004 . Location of trade, ownership restrictions, and market illiquidity: examining Chinese A- and H-shares . Journal of Banking & Finance , 28 : 1273 – 97 .