References
- Bekaert , G. and Harvey , C. R. 1995 . Time-varying world integration . Journal of Finance , 51 : 403 – 44 .
- Bekaert , G. , Hodrick , R. J. and Zhang , X. 2009 . International stock returns comovements . Journal of Finance , 64 : 2591 – 626 .
- Brooks , R. and Del Negro , M. 2005 . A latent factor model with global, country, and industry shocks for international stock returns , Washingto , DC : IMF Working Papers No. 0552 .
- Campbell , J. 1999 . “ Asset prices, consumption, and the business cycle ” . In Handbook of Macroeconomics , Edited by: Taylor , J. B. and Woodford , M. Vol. 1 , 1231 – 303 . Amsterdam : Elsevier .
- Campbell , J. and Shiller , R. 1988 . Stock prices, earnings, and expected dividends . Journal of Finance, American Finance Association , 43 : 661 – 76 .
- Canova , F. , Ciccarelli , M. and Ortega , E. 2007 . Similarities and convergence in G-7 cycles . Journal of Monetary Economics , 54 : 850 – 78 .
- Carrieri , F. , Errunza , V. and Hogan , K. 2007 . Characterizing world market integration through time . Journal of Financial and Quantitative Analysis , 42 : 915 – 40 .
- Chib , S. and Greenberg , E. 1996 . Markov chain Monte Carlo simulation methods in econometrics . Econometric Theory , 12 : 409 – 31 .
- Ciccarelli , M. and Mojon , B. 2010 . Global inflation . The Review of Economics and Statistics , 92 : 524 – 35 .
- Cochrane , J. 1992 . Explaining the variance of price dividend ratios . Review of Financial Studies , 5 : 243 – 80 .
- Cochrane , J. 2011 . Discount rates . Journal of Finance , 66 : 1047 – 108 .
- Crucini , M. , Kose , M. A. and Otrok , C. 2011 . What are driving forces of international business cycle? . Review of Economic Dynamics , 14 : 156 – 75 .
- Forbes , K. and Rigobon , R. 2002 . No contagion, only interdependence: measuring stock market co-movements . Journal of Finance , 57 : 2223 – 61 .
- Gregory , A. W. , Head , A. C. and Raynaud , J. 1997 . Measuring world business cycles . International Economic Review , 38 : 677 – 701 .
- Hamao , Y. R. , Masulis , R. W. and Ng , V. K. 1990 . Correlations in price changes and volatility across international stock markets . Review of Financial Studies , 3 : 281 – 307 .
- Kose , A. M. , Otrok , C. and Whiteman , C. H. 2003 . International business cycles: world, region and country specific factors . American Economic Review , 93 : 1216 – 39 .
- Kose , A. M. , Otrok , C. and Whiteman , C. H. 2008 . Understanding the evolution of world business cycle . Journal of International Economics , 75 : 110 – 30 .
- Pukthuanthong , K. and Roll , R. W. 2009 . Global market integration: an alternative measure and its application . Journal of Financial Economics , 94 : 214 – 32 .
- Shiller , R. 1981 . Do stock prices move too much to be justified by subsequent changes in dividends? . American Economic Review , 71 : 421 – 36 .
- Stock , J. and Watson , M. 1989 . “ New indexes of coincident and leading economic indicators ” . In NBER Macroeconomics Annual 1989 , Edited by: Jean Blanchard , O. and Fischer , S. 351 – 94 . Cambridge : The MIT Press .