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THE PRICE LINKAGES BETWEEN COUNTRY FUNDS AND NATIONAL STOCK MARKETS: EVIDENCE FROM COINTEGRATION AND CAUSALITY TESTS OF GERMANY, JAPAN AND UK FUNDS
13 references·5 citing·43 second hop
THE PRICE LINKAGES BETWEEN COUNTRY FUNDS AND NATIONAL STOCK MARKETS: EVIDENCE FROM COINTEGRATION AND CAUSALITY TESTS OF GERMANY, JAPAN AND UK FUNDS (1996)THE PRICE LINKAGES BETWEEN COUNTRY FUNDS …The long-run gains from international equity diversification: Australian evidence from cointegration tests (1995)The long-run gains from inter…International diversification through closed-end country funds (1995)International diversification…Closed-end Country Funds and U.S. Market Sentiment (1995)Closed-end Country Funds and …The International Crash of October 1987: Causality Tests (1992)The International Crash of Oc…Evaluating the Diversification Benefits of the New Country Funds (1992)Evaluating the Diversificatio…Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…International Investment Restrictions and Closed‐End Country Fund Prices (1990)International Investment Rest…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…International Transmission of Stock Market Movements (1989)International Transmission of…International Stock Price Movements: Links and Messages (1989)International Stock Price Mov…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Testing for causality (1980)Testing for causalityComovement Between Emerging and Developed Stock Markets: An Investigation Through Cointegration Analysis (2011)Comovement Between Emerging a…The Link between Real Exchange Rate and Export Earning: A Cointegration and Granger Causality Analysis on Bangladesh. (2010)The Link between Real Exchang…The comparative role of iShares and country funds in internationally diversified portfolios (2009)The comparative role of iShar…On the dual characteristics of closed-end country funds (2002)On the dual characteristics o…WEBS, SPDRs, and country funds: an analysis of international cointegration (1999)WEBS, SPDRs, and country fund…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Estimation of Common Long-Memory Components in Cointegrated Systems (1995)Cross-Sectional versus Longitudinal Survey Research: Concepts, Findings, and Guidelines (2008)Testing for Granger non-causality in heterogeneous panels (2012)Quarterly Dividend and Earnings Announcements and Stockholders' Returns: An Empirical Analysis (1980)A model of international asset pricing (1981)International Asset Pricing under Mild Segmentation: Theory and Test (1985)Stock market interdependencies: Evidence from the asian NIEs (1994)The Internationalization of Equity Markets (1994)A Measure of Stock Market Integration for Developed and Emerging Markets (1996)Economic Forces and the Stock Market (1986)Agency Costs, Net Worth, And Business Fluctuations (1988)Economic determinants of evolution in international stock market integration (1999)Returns synchronization and daily correlation dynamics between international stock markets (2001)Do market capitalization and stocks traded converge? New global evidence (2011)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Comparing alternative tests of causality in temporal systems (1983)Mean and Volatility Spillover Effects in the U.S. and Pacific–Basin Stock Markets (1997)On the relationship between stock returns and exchange rates: Tests of granger causality (1998)The big, bad wolf and the rational market: portfolio insurance, the 1987 crash and the performativity of economics (2004)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)Risk measurement when shares are subject to infrequent trading (1979)Noise Trader Risk in Financial Markets (1990)Volatility, Sentiment, and Noise Traders (1999)Institutional Portfolio Flows and International Investments (2008)Multi-market trading and arbitrage☆ (2010)Stock return variances (1986)Mean reversion in stock prices (1988)Correlations in Price Changes and Volatility across International Stock Markets (1990)Emerging equity market volatility (1997)Trying to Explain Home Bias in Equities and Consumption (1999)A Rational Expectations Model of Financial Contagion (2002)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Competition and Financial Stability (2004)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1980Testing for causality1,747 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited
  • 1989International Transmission of Stock Market Movements1,412 cited
  • 1995Closed-end Country Funds and U.S. Market Sentiment358 cited
  • 1992The International Crash of October 1987: Causality Tests275 cited
  • 1989International Stock Price Movements: Links and Messages246 cited
  • 1990International Investment Restrictions and Closed‐End Country Fund Prices206 cited
  • 1995International diversification through closed-end country funds106 cited
  • 1995The long-run gains from international equity diversification: Australian evidence from cointegration tests97 cited
  • 1992Evaluating the Diversification Benefits of the New Country Funds94 cited

Cited by

  • 2011Comovement Between Emerging and Developed Stock Markets: An Investigation Through Cointegration Analysis36 cited
  • 1999WEBS, SPDRs, and country funds: an analysis of international cointegration

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33 cited
  • 2002On the dual characteristics of closed-end country funds28 cited
  • 2009The comparative role of iShares and country funds in internationally diversified portfolios26 cited
  • 2010The Link between Real Exchange Rate and Export Earning: A Cointegration and Granger Causality Analysis on Bangladesh.21 cited