References
- Allen , A. and Zocco , D. 1993 . Crash effects on the stability of Pacific Basin portfolio fficiency . International Journal of Finance , 5 : 509 – 523 .
- Bertero , E. and Mayer , C. 1990 . Structure and performance: global interdependence of stock markets around the crash of October 1987 . European Economic Review , 34 : 1155 – 1180 .
- Erb , C. B. , Harvey , C. R. and Viskanta , T. E. 1996 . Expected returns and volatility in 135 countries . Journal of Portfolio Management , Spring : 46 – 58 .
- Faff , R. W. and Brooks , R. D. 1997 . Further evidence on the relationship between beta stability and the length of the estimation period . Advances in Investment Analysis and Portfolio Management , 4 : 95 – 111 .
- Gangemi , M. , Brooks , R. and Faff , R. 1999 . Country betas, their time sensitivity and the international crash of October 1987: a note . International Journal of Finance , forthcoming
- Giannopoulos , K. 1995 . Estimating the time varying components of international stock markets' risk . European Journal of Finance , 1 : 129 – 164 .
- Harvey , C. and Zhou , G. 1993 . International asset pricing with alternative distributional specifications . Journal of Empirical Finance , 1 : 107 – 131 .
- Kim , D. 1995 . The extent of non-stationarity of beta . Review of Quantitative Finance and Accounting , 3 : 241 – 254 .
- Roll , R. 1988 . The international crash of October 1987 . Financial Analysts Journal , September/October : 19 – 35 .