References
- Andrew , D. 2006 . Testing for international equity market integration using regime switching cointegration techniques . Review of Financial Economics , 15 : 305 – 21 .
- Arshanapalli , B. and Doukas , J. 1993 . International stock market linkages: evidence from the pre- and post-October 1987 period . Journal of Banking and Finance , 17 : 193 – 208 .
- Arshanapalli , B. , Doukas , J. and Lang , L. H. P. 1995 . Pre and post-October 1987 stock market linkages between US and Asian markets . Pacific-Basin Finance Journal , 3 : 57 – 73 .
- Awokuse , T. O. , Chopra , A. and Bessler , D. A. 2009 . Structural change and international stock market interdependence: evidence from Asian emerging markets . Economic Modelling , 26 : 549 – 59 .
- Bekaert , G. and Harvey , C. R. 1995 . Time-varying world market integration . Journal of Finance , 50 : 403 – 44 .
- Black , F. 1972 . Capital market equilibrium with restricted borrowing . Journal of Business , 45 : 444 – 55 .
- Chen , G. M. , Firth , M. and Meng Rui , O. 2002 . Stock market linkages: evidence from Latin America . Journal of Banking and Finance , 26 : 1113 – 41 .
- Gonzalo , J. and Granger , C. 1995 . Estimation of common long-memory components in cointegrated systems . Journal of Business & Economic Statistics , 13 : 27 – 35 .
- Granger , C. W. J. 1986 . Developments in the study of cointegrated economic variables . Oxford Bulletin of Economics and Statistics , 48 : 213 – 28 .
- Johansen , S. 1988 . Statistical analysis of cointegration vectors . Journal of Economic Dynamics and Control , 12 : 231 – 54 .
- Kasa , K. 1992 . Common stochastic trends in international stock markets . Journal of Monetary Economics , 29 : 95 – 124 .
- Lintner , J. 1965 . The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets . Review of Economics and Statistics , 47 : 13 – 37 .
- Mylonidis , N. and Kollias , C. 2010 . Dynamic European stock market convergence: evidence from rolling cointegration analysis in the first euro-decade . Journal of Banking and Finance , 34 : 2056 – 64 .
- Richards , A. J. 1995 . Comovements in national stock market returns: evidence of predictability, but not cointegration . Journal of Monetary Economics , 36 : 631 – 54 .
- Sharpe , W. F. 1964 . Capital asset prices: a theory of market equilibrium under conditions of risk . Journal of Finance , 19 : 425 – 42 .
- Taylor , M. P. and Tonks , I. 1989 . The internationalisation of stock markets and the abolition of UK exchange control . Review of Economics and Statistics , 71 : 332 – 36 .
- Tian , G. G. 2007 . Are Chinese stock markets increasing integration with other markets in the greater China region and other major markets? . Australian Economic Papers , 46 : 240 – 53 .
- Yang , J. , Kolari , J. W. and Min , I. 2003 . Stock market integration and financial crises: the case of Asia . Applied Financial Economics , 13 : 477 – 86 .