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An empirical investigation of convergence among European equity markets
16 references·0 citing·46 second hop
An empirical investigation of convergence among European equity markets (1994)An empirical investigation of convergence…Mean Reversion in Stock Prices (1996)Mean Reversion in Stock PricesRegularities in the data between major equity markets: evidence from Granger causality tests (1993)Regularities in the data betw…UK unit trust performance 1980–1989: A passive time-varying approach (1992)UK unit trust performance 198…Predictable Stock Returns in the United States and Japan: A Study of Long‐Term Capital Market Integration (1992)Predictable Stock Returns in …MEASURING CONVERGENCE OF THE EC ECONOMIES (1992)MEASURING CONVERGENCE OF THE …Sterling's Relationship with the Dollar and the Deutschemark: 1976-89 (1991)Sterling's Relationship with …When Are Contrarian Profits Due to Stock Market Overreaction? (1990)When Are Contrarian Profits D…US health care policy in 1990: looking back, looking ahead. (1990)US health care policy in 1990…Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration (1989)Predictable Stock Returns in …Trends and random walks in macroeconomic time series (1988)Trends and random walks in ma…The international transmission of asset price volatility (1988)The international transmissio…Mean reversion in stock prices (1988)Mean reversion in stock pricesCo-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Capital mobility in the world economy: Theory and measurement (1986)Capital mobility in the world…The equity premium: A puzzle (1985)The equity premium: A puzzleA unified view of statistical forecasting procedures (1984)A unified view of statistical…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Time Series Analysis: Forecasting and Control (1977)The accuracy of extrapolation (time series) methods: Results of a forecasting competition (1982)Structural change and the combination of forecasts (1987)Vancouver's Gasoline-Price Wars: An Empirical Exercise in Uncovering Supergame Strategies (1992)Estimating the Underlying Change in Unemployment in the UK (2000)Forecasting Economic Time Series (2000)Domestic Saving and International Capital Flows (1980)Dividend yields and expected stock returns (1988)Business conditions and expected returns on stocks and bonds (1989)Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets (1992)Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets (1992)Characterizing World Market Integration through Time (2007)An Intertemporal Capital Asset Pricing Model (1973)Asset Prices in an Exchange Economy (1978)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Does the Stock Market Overreact? (1985)Positive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Investor Psychology and Asset Pricing (2001)The Behavior of Stock-Market Prices (1965)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Do Industries Explain Momentum? (1999)Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Interest rates and currency prices in a two-country world (1982)International Capital Mobility: What Do Saving-Investment Correlations Tell Us? (1987)Savings, investment and international capital flows (1991)Global versus country-specific productivity shocks and the current account (1995)Testing for Convergence between UK Regional House Prices (1995)Common trends and convergence? South East Asian equity markets, 1988–1999 (2002)The Renminbi Bloc is Here: Asia Down, Rest of the World to Go? 1) (2013)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Bounds testing approaches to the analysis of level relationships (2001)Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations (1991)The use of technical analysis in the foreign exchange market (1992)Herd Behaviour, Bubbles and Crashes (1995)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 1988Trends and random walks in macroeconomic time series2,433 cited
  • 1988Mean reversion in stock prices1,888 cited
  • 1990When Are Contrarian Profits Due to Stock Market Overreaction?1,707 cited
  • 1996Mean Reversion in Stock Prices1,083 cited
  • 1992Predictable Stock Returns in the United States and Japan: A Study of Long‐Term Capital Market Integration512 cited
  • 1986Capital mobility in the world economy: Theory and measurement446 cited
  • 1984A unified view of statistical forecasting procedures238 cited
  • 1991Sterling's Relationship with the Dollar and the Deutschemark: 1976-89150 cited
  • 1992UK unit trust performance 1980–1989: A passive time-varying approach114 cited
  • 1992MEASURING CONVERGENCE OF THE EC ECONOMIES109 cited
  • 1990US health care policy in 1990: looking back, looking ahead.81 cited
  • 1993Regularities in the data between major equity markets: evidence from Granger causality tests64 cited
  • 1989Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration

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47 cited
  • 1988The international transmission of asset price volatility32 cited
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