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Original Articles

Contagion and surprises of the stock market returns

Pages 1053-1058 | Published online: 07 Nov 2007

References

  • Engle , RF and Granger , CWJ . 1987 . Co-integration and error corrections: representation, estimation and testing . Econometrica , 55 : 251 – 76 .
  • Granger , CWJ , Huang , BN and Yang , CW . 2000 . A bivariate causality between stock prices and exchange rates: evidence from recent Asian flu . The Quarterly Review of Economics and Finance , 40 : 337 – 54 .
  • MacKinnon , JG . 1994 . Approximate asymptotic distribution functions for unit-root and cointegration tests . Journal of Business and Economic Statistics , 12 : 167 – 76 .
  • Sander , H and Kleimeier , S . 2003 . Contagion and causality: an empirical investigation of four Asian crisis episodes . Journal of International Financial Markets, Institutions and Money , 13 : 171 – 86 .

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