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Macroeconomic determinants of long-term stock market comovements among major EMS countries
16 references·2 citing·47 second hop
Macroeconomic determinants of long-term stock market comovements among major EMS countries (1999)Macroeconomic determinants of long-term s…Mean Reversion in Stock Prices (1996)Mean Reversion in Stock PricesEstimation of Common Long-Memory Components in Cointegrated Systems (1995)Estimation of Common Long-Mem…FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION (1993)FINITE‐SAMPLE SIZES OF JOHANS…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…Stock Returns, Expected Returns, and Real Activity (1990)Stock Returns, Expected Retur…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…International Transmission of Stock Market Movements (1989)International Transmission of…Testing for Common Trends (1988)Testing for Common TrendsPermanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…Mean reversion in stock prices (1988)Mean reversion in stock pricesCointegration and Tests of Present Value Models (1987)Cointegration and Tests of Pr…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Stock Returns, Real Activity, Inflation, and Money (1981)Stock Returns, Real Activity,…International Diversification of Investment Portfolios (1970)International Diversification…The Stock Market and Macroeconomic Variables in a BRICS Country and Policy Implications (2011)The Stock Market and Macroeco…Price Linkages in Asian Equity Markets: Evidence Bordering the Asian Economic, Currency and Financial Crises (2003)Price Linkages in Asian Equit…MONEY, INCOME, AND CAUSALITY (1972)Efficient Capital Markets: II (1991)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)A PANIC Attack on Unit Roots and Cointegration (2004)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)An Intertemporal Capital Asset Pricing Model (1973)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The relationship between return and market value of common stocks (1981)Does the Stock Market Overreact? (1985)Noise Trader Risk in Financial Markets (1990)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Psychology and Security Market Under‐ and Overreactions (1998)The Behavior of Stock-Market Prices (1965)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Fundamentals and Stock Returns in Japan (1991)Asymmetric Volatility and Risk in Equity Markets (2000)Asset Prices in an Exchange Economy (1978)Expected stock returns and volatility (1987)Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations (1991)Idiosyncratic Risk Matters! (2003)There is a risk-return trade-off after all (2005)Stock return variances (1986)Emerging equity market volatility (1997)Trying to Explain Home Bias in Equities and Consumption (1999)A Rational Expectations Model of Financial Contagion (2002)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)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 Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Stock Prices, Earnings, and Expected Dividends (1988)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)
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References

  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 1981Stock Returns, Real Activity, Inflation, and Money2,632 cited
  • 1987Cointegration and Tests of Present Value Models2,160 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1988Testing for Common Trends1,894 cited
  • 1988Mean reversion in stock prices1,888 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 1990Stock Returns, Expected Returns, and Real Activity1,553 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited
  • 1989International Transmission of Stock Market Movements1,412 cited
  • 1995Estimation of Common Long-Memory Components in Cointegrated Systems1,313 cited
  • 1993FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION1,206 cited
  • 1970International Diversification of Investment Portfolios1,130 cited
  • 1996

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Mean Reversion in Stock Prices
1,083 cited

Cited by

  • 2011The Stock Market and Macroeconomic Variables in a BRICS Country and Policy Implications83 cited
  • 2003Price Linkages in Asian Equity Markets: Evidence Bordering the Asian Economic, Currency and Financial Crises39 cited