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An empirical analysis of the interrelationships among equity markets under changing exchange rate systems
8 references·1 citing·32 second hop
An empirical analysis of the interrelationships among equity markets under changing exchange rate systems (1979)An empirical analysis of the interrelatio…Sharing rules and equilibrium in an international capital market under uncertainty (1976)Sharing rules and equilibrium…Comovements Of Major International Equity Markets (1976)Comovements Of Major Internat…European Capital Markets: Towards a General Theory of International Investment. (1974)European Capital Markets: Tow…An Analysis of the Interrelationships Among the Major World Stock Exchanges (1974)An Analysis of the Interrelat…Systematic Elements in the Linkage of National Stock Market Indices (1973)Systematic Elements in the Li…THE INTERDEPENDENCE OF INTERNATIONAL EQUITY MARKETS (1971)THE INTERDEPENDENCE OF INTERN…International Diversification of Investment Portfolios (1970)International Diversification…Internationally Diversified Portfolios: Welfare Gains and Capital Flows (1968)Internationally Diversified P…Do Short‐ and Long‐Term Environmental Investments Follow the Same Path? (2017)Do Short‐ and Long‐Term Envir…Liquidity Preference as Behavior Towards Risk (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION* (1965)International Transmission of Stock Market Movements (1989)Is the correlation in international equity returns constant: 1960–1990? (1995)Familiarity Breeds Investment (2001)Portfolio Selection: Efficient Diversification of Investments (1959)An equilibrium model of the international capital market (1974)Why Not Diversify Internationally Rather Than Domestically? (1974)Evolution in dynamic linkages across daily national stock indexes (1991)Comovements of international equity returns: A comparison of the pre- and post-October 19, 1987, periods (1993)Stocks and currencies: are they related? (1999)Foundations of Behavioral Research (1965)The Behavior of Stock-Market Prices (1965)The Inter-Temporal Stability of International Stock Market Relationships: Another View (1983)An Empirical Analysis of Stock Prices in Major Asian Markets and the United States (1992)Volatility and cross correlation across major stock markets (1998)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)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)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)A model of international asset pricing (1981)International Asset Pricing under Mild Segmentation: Theory and Test (1985)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Statistical analysis of cointegration vectors (1988)Internationalization, digitalization, and sustainability: Are SMEs ready? A survey on synergies and substituting effects among growth paths (2021)International capital market equilibrium with investment barriers (1974)International stock market linkages: Evidence from the pre- and post-October 1987 period (1993)Internalization as a general theory of foreign direct investment: A re-appraisal of the literature (1980)The impact of financial crises on international diversification (2002)The multi-faceted role of experience dealing with policy risk: The impact of intensity and diversity of experiences (2017)Long-Term Global Market Correlations (2001)
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References

  • 1970International Diversification of Investment Portfolios1,130 cited
  • 1968Internationally Diversified Portfolios: Welfare Gains and Capital Flows1,025 cited
  • 1976Sharing rules and equilibrium in an international capital market under uncertainty384 cited
  • 1971THE INTERDEPENDENCE OF INTERNATIONAL EQUITY MARKETS228 cited
  • 1973Systematic Elements in the Linkage of National Stock Market Indices216 cited
  • 1974An Analysis of the Interrelationships Among the Major World Stock Exchanges90 cited
  • 1976Comovements Of Major International Equity Markets43 cited
  • 1974European Capital Markets: Towards a General Theory of International Investment.41 cited

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  • 2017Do Short‐ and Long‐Term Environmental Investments Follow the Same Path?18 cited

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