Advanced search
Publication Cover
Applied Economics Letters Volume 6, 1999 - Issue 1
Submit an article Journal homepage
65
Views
13
CrossRef citations to date
0
Altmetric
Original Articles

A note on the long-run benefits from international equity diversification for a UK investor diversifying in the US equity market

ANGELOS KANAS
Pages 49-53 | Published online: 05 Oct 2010

References

  • Allen , D. E. and MacDonald , G. 1995 . The long-run gains from international equity diversification: Australian evidence from cointegration tests . Applied Financial Economics , 5 : 33 – 42 .
  • 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 .
  • Byers , J. D. and Peel , D. A. 1993 . Some evidence of interdependence of national stock markets and the gains from international portfolio diversification . Applied Financial Economics , 3 : 239 – 242 .
  • Engle , R. F. and Granger , C. W. J. 1987 . Cointegration and error correction: representation, estimation, and testing . Econometrica , 55 : 251 – 276 .
  • Gallagher , L. 1995 . Interdependencies among the Irish, British and German stock markets . The Economic and Social Review , 26 : 131 – 147 .
  • Gonzalo , J. 1994 . Five alternative methods of estimating long-run equilibrium relationships . Journal of Econometrics , 60 : 203 – 233 .
  • Hamilton , J. D. 1994 . Time Series Analysis , Princeton : Princeton University Press .
  • Haug , A. A. 1996 . Tests for cointegration: a Monte Carlo comparison . Journal of Econometrics , 71 : 89 – 115 .
  • Johansen , S. 1988 . Statistical analysis of cointegrating vectors . Journal Dynamics and Control , 12 : 231 – 254 .
  • Kasa , K. 1992 . Common stochastic trends in international stock markets . Journal of Monetary Economics , 29 : 95 – 124 .
  • Kremers , J. J. M. , Ericsson , N. R. and Dolado , J. J. 1992 . The power of cointegration tests . Oxford Bulletin of Economics and Statistics , 54 : 325 – 348 .
  • Osterwald-Lenum , M. 1992 . A note with quantiles of the asymptotic distribution of the maximum likelihood cointegration rank test statistics . Oxford Bulletin of Economics and Statistics , 54 : 461 – 472 .
  • Phillips , P. C. B. and Perron , P. 1988 . Testing for a unit root in time series regression . Biometrika , 75 : 335 – 346 .
  • Phillips , P. C. B. and Ouliaris , S. 1990 . Asymptotic properties of residual based tests for cointegration . Econometrica , 58 : 165 – 193 .
  • Roll , R. 1992 . Industrial structure and the comparative behaviour of international stock market indexes . Journal of Finance , 47 : 3 – 42 .
  • Sims , C. A. 1980 . Macroeconomics and reality . Econometrica , 48 : 1 – 48 .
  • 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 – 336 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Supercharge Your Next Research Paper: Research and write your next paper with Jenni AI.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.