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ArticleCommon stochastic trends in pacific rim stock markets

Pin J. Chung1994

Article1994

Common stochastic trends in pacific rim stock markets

Pin J. Chung · Donald J. Liu

157 citations·0/0 files stored·The Quarterly Review of Economics and 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 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 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 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks

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2011Oil price volatility and stock price fluctuations in an emerging market: Evidence from South Korea 2009The co-movement of stock markets in East Asia 2004Equity market integration in the NAFTA region: Evidence from unit root and cointegration tests 2015Dynamic Asian stock market convergence: Evidence from dynamic cointegration analysis among China and ASEAN-5 1997

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Year1994

Typearticle

Published1994-09-01

VenueThe Quarterly Review of Economics and Finance

ISSN-L1062-9769

Languageen

Citations157

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/1062-9769(94)90026-4

openalex_workW2037556547

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A comparative analysis of the propagation of stock market fluctuations in alternative models of dynamic causal linkages

2002East Asia and Europe during the 1997 Asian collapse: a clinical study of a financial crisis

2013Who moves East Asian stock markets? The role of the 2007–2009 global financial crisis

2004International portfolio diversification to Central European stock markets