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Short-run and long-run dynamic linkages among international stock markets · Study

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ArticleShort-run and long-run dynamic linkages among international stock markets

M. Kabir Hassan1996

Article1996

Short-run and long-run dynamic linkages among international stock markets

M. Kabir Hassan · Atsuyuki Naka

83 citations·0/0 files stored·International Review of Economics & Finance

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1988Testing for a Unit Root in Time Series Regression 1988Statistical analysis of cointegration vectors 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models 1987Time Series Regression with a Unit Root 1986DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES

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1999NAFTA and North American stock market linkages: an empirical note 2019Global and regional stock market integration in Asia: A panel convergence approach 2009Dynamic Returns Linkages and Volatility Transmission Between South African and World Major Stock Markets 2012Literature review of stock market integration: a global perspective 2015Borsa İstanbul (BIST) 100 Endeksi İle Zımni Volatilite (VIX) Endeksi Arasındaki Eş-Bütünleşme Ve Granger Nedensellik

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Year1996

Typearticle

Published1996-01-01

VenueInternational Review of Economics & Finance

ISSN-L1059-0560

Languageen

Citations83

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/s1059-0560(96)90025-8

openalex_workW2014506347

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2010Does trade matter for stock market integration?

1998Cointegration, forecasting and international stock prices

2021Stock Market Linkages between the Asean Countries, China and the US: A Fractional Integration/cointegration Approach