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Interdependencies among the Nordic and U.S. Stock Markets
12 references·12 citing·48 second hop
Interdependencies among the Nordic and U.S. Stock Markets (1990)Interdependencies among the Nordic and U.…International Transmission of Stock Market Movements (1989)International Transmission of…Capital Controls and International Capital Market Segmentation: The Evidence from the Japanese and American Stock Markets (1989)Capital Controls and Internat…Asset Pricing in Partially Segmented Markets: Evidence from the Finnish Market (1989)Asset Pricing in Partially Se…Some tests of international equity integration (1988)Some tests of international e…Integration vs. Segmentation in the Canadian Stock Market (1986)Integration vs. Segmentation …A Model of International Asset Pricing with a Constraint on the Foreign Equity Ownership (1986)A Model of International Asse…International Asset Pricing under Mild Segmentation: Theory and Test (1985)International Asset Pricing u…Lag-Length Selection and Tests of Granger Causality Between Money and Income (1984)Lag-Length Selection and Test…The Relationship Between Equity Indices on World Exchanges (1979)The Relationship Between Equi…AN EMPIRICAL TEST OF THE ALTERNATIVE HYPOTHESES OF NATIONAL AND INTERNATIONAL PRICING OF RISKY ASSETS (1977)AN EMPIRICAL TEST OF THE ALTE…THE RELATIONS AMONG EQUITY MARKETS: A STUDY OF SHARE PRICE CO‐MOVEMENTS IN THE UNITED STATES, UNITED KINGDOM, GERMANY AND JAPAN (1972)THE RELATIONS AMONG EQUITY MA…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…Correlations and volatility spillovers between China and Southeast Asian stock markets (2021)Correlations and volatility s…Stock market efficiency and liquidity: The Indonesia Stock Exchange merger (2015)Stock market efficiency and l…Stock Markets Integration: Examining Linkages between Selected World Markets (2009)Stock Markets Integration: Ex…International nonlinear causality between stock markets (2008)International nonlinear causa…Volatility Spillover in Regional Emerging Stock Markets: A Structural Time-Series Approach (2006)Volatility Spillover in Regio…Short-term and long-term linkages among the Colombian capital market indexes (2001)Short-term and long-term link…Routes to equity market integration — the interplay between politicians, investors and managers (2001)Routes to equity market integ…International transmission of stock prices among G7 countries: LA-VAR approach (2000)International transmission of…Local and global price memory of international stock markets (1999)Local and global price memory…The Effectiveness of the Foreign-Trade Zone as an Export Promotion Program: Policy Issues and Alternatives (1997)The Effectiveness of the Fore…The international co-movements of Finish stocks (1995)The international co-movement…Interdependencies Among the Irish, British and German Stock Markets (1995)Interdependencies Among the I…Capital Market Equilibrium with Restricted Borrowing (1972)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)An Information Based Explanation of the Domestic Bias in International Equity Investment (1993)International Cross‐Listing and Order Flow Migration: Evidence from an Emerging Market (1998)Common and fundamental factors in stock returns of Canadian oil and gas companies (2006)An equilibrium model of the international capital market (1974)International Portfolio Choice and Corporation Finance: A Synthesis (1983)Market Segmentation and Stock Prices: Evidence from an Emerging Market (1997)Market Segmentation and the Cost of Capital in International Equity Markets (2000)Chapter 16 Are financial assets priced locally or globally? (2003)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)International Arbitrage Pricing Theory (1983)International Arbitrage Pricing Theory: An Empirical Investigation (1986)Assessing international diversification of West German corporations (1987)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Foreign ownership restrictions and stock prices in the Thai capital market (1994)Information asymmetry, market segmentation and the pricing of cross-listed shares: theory and evidence from Chinese A and B shares (1998)The only game in town: Stock-price consequences of local bias☆ (2008)Internationally Diversified Portfolios: Welfare Gains and Capital Flows (1968)International Diversification of Investment Portfolios (1970)Why Not Diversify Internationally Rather Than Domestically? (1974)DOES THE OCTOBER 1987 CRASH STRENGTHEN THE CO‐MOVEMENTS AMONG NATIONAL STOCK MARKETS? (1993)Are Asian stock market fluctuations due mainly to intra-regional contagion effects? Evidence based on Asian emerging stock markets (1999)Long and short term dynamic causal transmission amongst international stock markets (2001)MONEY, INCOME, AND CAUSALITY (1972)The theory and practice of econometrics (1986)Energy consumption, real income and temporal causality: results from a multi-country study based on cointegration and error-correction modelling techniques (1996)On the temporal causal relationship between energy consumption, real income, and prices: Some new evidence from Asian-energy dependent NICs Based on a multivariate cointegration/vector error-correction approach (1997)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)Causal Change Detection in Possibly Integrated Systems: Revisiting the Money–Income Relationship* (2019)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Foundations of Finance. (1977)The market reaction to international cross-listings: evidence from Depositary Receipts (1999)Emerging markets finance (2003)What Determines the Domestic Bias and Foreign Bias? Evidence from Mutual Fund Equity Allocations Worldwide (2005)Macroeconomics and Reality (1980)Common stochastic trends in international stock markets (1992)A New Approach to Measuring Financial Contagion (2003)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Portfolio Selection: Efficient Diversification of Investments (1959)Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios (1969)Evolution in dynamic linkages across daily national stock indexes (1991)Common Volatility in International Equity Markets (1993)Oil and the Macroeconomy since World War II (1983)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Testing for Granger non-causality in heterogeneous panels (2012)
this work references cited by second hop

References

  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 1989International Transmission of Stock Market Movements1,412 cited
  • 1985International Asset Pricing under Mild Segmentation: Theory and Test1,021 cited
  • 1986Integration vs. Segmentation in the Canadian Stock Market439 cited
  • 1986A Model of International Asset Pricing with a Constraint on the Foreign Equity Ownership349 cited
  • 1979The Relationship Between Equity Indices on World Exchanges339 cited
  • 1984Lag-Length Selection and Tests of Granger Causality Between Money and Income324 cited
  • 1972THE RELATIONS AMONG EQUITY MARKETS: A STUDY OF SHARE PRICE CO‐MOVEMENTS IN THE UNITED STATES, UNITED KINGDOM, GERMANY AND JAPAN291 cited
  • 1977AN EMPIRICAL TEST OF THE ALTERNATIVE HYPOTHESES OF NATIONAL AND INTERNATIONAL PRICING OF RISKY ASSETS276 cited
  • 1989Asset Pricing in Partially Segmented Markets: Evidence from the Finnish Market273 cited
  • 1988Some tests of international equity integration214 cited
  • 1989Capital Controls and International Capital Market Segmentation: The Evidence from the Japanese and American Stock Markets212 cited

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  • 2021Correlations and volatility spillovers between China and Southeast Asian stock markets56 cited
  • 1999Local and global price memory of international stock markets

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49 cited
  • 2001Short-term and long-term linkages among the Colombian capital market indexes38 cited
  • 2015Stock market efficiency and liquidity: The Indonesia Stock Exchange merger38 cited
  • 2008International nonlinear causality between stock markets37 cited
  • 1995Interdependencies Among the Irish, British and German Stock Markets36 cited
  • 2006Volatility Spillover in Regional Emerging Stock Markets: A Structural Time-Series Approach33 cited
  • 2009Stock Markets Integration: Examining Linkages between Selected World Markets33 cited
  • 2000International transmission of stock prices among G7 countries: LA-VAR approach32 cited
  • 2001Routes to equity market integration — the interplay between politicians, investors and managers26 cited
  • 1995The international co-movements of Finish stocks26 cited
  • 1997The Effectiveness of the Foreign-Trade Zone as an Export Promotion Program: Policy Issues and Alternatives12 cited