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Stock market integration and macroeconomic fundamentals: an empirical analysis, 1980-95

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1986Economic Forces and the Stock Market5,258 cited
1990Stock Returns, Expected Returns, and Real Activity1,553 cited
1989International Transmission of Stock Market Movements1,412 cited
1992Common stochastic trends in international stock markets944 cited
1993What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns892 cited
1987Journal of monetary economics779 cited
1994Volatility and Links between National Stock Markets679 cited
1992Industrial Structure and the Comparative Behavior of International Stock Market Indices662 cited
1993International stock market linkages: Evidence from the pre- and post-October 1987 period561 cited
1997Stock Return Predictability and The Role of Monetary Policy541 cited
1986Integration vs. Segmentation in the Canadian Stock Market439 cited
1998Information and volatility linkages in the stock, bond, and money markets11This paper was previously under the title, `Volatility and common information in the stock, bond, and money markets’. We thank Paul Seguin (the referee) for numerous suggestions that substantially imporved the paper. We also received the helpful comments from Bill Schwert (the editor), David Ellis, Wayne Ferson, John Graham, Bruce Grundy, Kathleen Weiss Hanley, Larry Harris, George Kanatas, Tom Smith, Raul Susmel, and Bob Whaley, and seminar participants at the 1996 Texas Finance Symposium, the 1997 American Finance Association meetings in New Orleans, The Australian Graduate School of Management, the University of Houston, Rice University, the University of Texas at Austin, the University of Utah, and the University of Washington. Part of this research was completed while the second author was visiting Rice University.

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