[go: up one dir, main page]
More Web Proxy on the site http://driver.im/
create a website
A rolling test of granger causality between the Finnish and Japanese security markets. (1997). Aaltonen, J. ; stermark, R..
In: Omega.
RePEc:eee:jomega:v:25:y:1997:i:6:p:635-642.

Full description at Econpapers || Download paper

Cited: 7

Citations received by this document

Cites: 24

References cited by this document

Cocites: 59

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Unemployment fluctuations and currency returns in the United Kingdom: Evidence from over one and a half century of data. (2021). Kotze, Kevin ; GUPTA, RANGAN ; Demirer, Riza ; Bathia, Deven.
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:61:y:2021:i:c:s1042444x21000037.

    Full description at Econpapers || Download paper

  2. Connectedness between oil and agricultural commodity prices during tranquil and volatile period. Is crude oil a victim indeed?. (2021). Mirza, Nawazish ; Sun, Yanpeng ; Hsueh, Hsin-Pei ; Qadeer, Abdul .
    In: Resources Policy.
    RePEc:eee:jrpoli:v:72:y:2021:i:c:s0301420721001458.

    Full description at Econpapers || Download paper

  3. Unemployment Fluctuations and Currency Returns in the United Kingdom: Evidence from Over One and a Half Century of Data. (2020). GUPTA, RANGAN ; Demirer, Riza ; Kotze, Kevin ; Bathia, Deven.
    In: Working Papers.
    RePEc:pre:wpaper:202083.

    Full description at Econpapers || Download paper

  4. Interindustry volatility spillover effects in China’s stock market. (2020). Jin, Xue ; Liu, Zhe ; Yin, Kedong .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:539:y:2020:i:c:s0378437119316632.

    Full description at Econpapers || Download paper

  5. Time-varying Granger causality tests for applications in global crude oil markets. (2014). Liu, John ; Lu, Feng-bin ; Hong, Yong-miao ; Wang, Shou-Yang ; Lai, Kin-Keung .
    In: Energy Economics.
    RePEc:eee:eneeco:v:42:y:2014:i:c:p:289-298.

    Full description at Econpapers || Download paper

  6. The role of fundamentals and financialisation in recent commodity price developments: An empirical analysis for wheat, coffee, cotton, and oil. (2013). Ederer, Stefan ; Heumesser, Christine ; Staritz, Cornelia.
    In: Working Papers.
    RePEc:zbw:oefsew:42.

    Full description at Econpapers || Download paper

  7. Tourism, real output and real effective exchange rate in Malaysia: a view from rolling sub-samples. (2011). TANG, Chor Foon.
    In: MPRA Paper.
    RePEc:pra:mprapa:29379.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Östermark, R. Modelling cointegrated processes by a vector-valued state space algorithm. Evidence on the impact of Japanese stock prices on the Finish derivatives market. 1997 En : . Springer-Verlag: New York, NY
    Paper not yet in RePEc: Add citation now

  2. Östermark, R. ; Höglund, R. Multivariate EGARCHX—modelling of the international asset return signal response mechanism. 1997 International Journal of Finance and Economics. 2 249-262

  3. Agmon, T. Country risk: the significance of the country factor for share-price movements in the United Kingdom, Germany, and Japan. 1973 Journal of Business. 46 24-32

  4. Agmon, T. The relations among equity markets: a study of share price co-movements in the United States, United Kingdom Germany, and Japan. 1972 Journal of Finance. 27 839-855

  5. Akaike, H. Fitting autoregression for prediction. 1969 Annals of the Institute of Statistical Mathematics. 21 243-247
    Paper not yet in RePEc: Add citation now

  6. Bailey, W. ; Jagtiani, J. Foreign ownership restrictions and stock prices in the Thai capital market. 1994 Journal of Financial Economics. 36 57-87

  7. Bergström, C. ; Rydqvist, K. ; Sellin, P. Asset pricing with inflow and outflow constraints: theory and empirical evidence from Sweden. 1993 Journal of Business Finance and Accounting. 20 865-879
    Paper not yet in RePEc: Add citation now

  8. Cochran, S.J. ; Mansur, I. The interrelationships between U.S. and foreign equity market yields: tests of Granger causality. 1991 Journal of International Business Studies. 22 723-736

  9. Davidson, R. ; MacKinnon, J.G. Estimation and Inference in Econometrics. 1993 Oxford University Press:

  10. Engle, R.F. ; Granger, C.W.J. Co-integration and an error correction: representation, estimation, and testing. 1987 Econometrica. 55 251-275

  11. Geweke, J. Inference and causality in economic time series model. 1984 En : . North-Holland: Amsterdam

  12. Granger, C.W.J. Investigating causal relations by econometric models and cross spectral methods. 1969 Econometrica. 37 424-438

  13. Guilkey, D.K. ; Salemi, M.K. Small sample properties of three tests for Granger-causal ordering in a bivariate stochastic system. 1982 Review of Economics and Statistics. 64 668-680

  14. Hietala, P.T. Asset pricing in partially segmented markets: evidence from the Finnish market. 1989 Journal of Finance. 44 697-718

  15. Hsiao, C. Autoregressive modelling and money-income causality detection. 1981 Journal of Monetary Economics. 7 85-106

  16. Jones, J.D. A comparison of lag-length selection techniques in tests of Granger causality between money growth and inflation: evidence for the US, 1959–1986. 1989 Applied Economics. 21 809-822
    Paper not yet in RePEc: Add citation now
  17. Joy, M. ; Panton, D. ; Reilly, F. ; Martin, S. Comovements of major equity markets. 1976 Financial Review. 11 1-20
    Paper not yet in RePEc: Add citation now

  18. Kang, H. The effects of detrending in Granger causality tests. 1985 Journal of Business and Economic Statistics. 3 344-349

  19. Kang, H. The optimal lag selection and transfer function analysis in Granger causality tests. 1989 Journal of Economic Dynamics and Control. 13 151-169

  20. Malkamäki, M. ; Martikainen, T. ; Perttunen, J. ; Puttonen, V. On the causality and co-movements of Scandinavian stock market returns. 1993 Scandinavian Journal of Management. 9 67-76

  21. Malliaris, A.G. ; Urrutia, J.L. The international crash of October 1987: causality tests. 1992 Journal of Financial and Quantitative Analysis. 27 353-363

  22. Pehkonen, J. Real wages-employment relationship on Finnish manufacturing: a VAR approach. 1991 Applied Economics. 23 1559-1568
    Paper not yet in RePEc: Add citation now
  23. Smith, K.L. ; Brocato, J. ; Rogers, J.E. Regularities in the data between major equity markets: evidence from Granger causality tests. 1993 Applied Financial Economics. 3 55-60
    Paper not yet in RePEc: Add citation now

  24. Thornton, D.L. ; Batten, D.S. Lag-length selection and tests of Granger causality between money and income. 1985 Journal of Money, Credit, and Banking. 17 163-178

Cocites

Documents in RePEc which have cited the same bibliography

  1. A test of integration between the South African and selected African stock markets. (2020). Eita, Joel ; Sithole, Rumbidzai Praise.
    In: MPRA Paper.
    RePEc:pra:mprapa:101301.

    Full description at Econpapers || Download paper

  2. International linkages of Indian equity market: evidence from panel co-integration approach. (2020). Singhal, Shelly ; Choudhary, Sangita.
    In: Journal of Asset Management.
    RePEc:pal:assmgt:v:21:y:2020:i:4:d:10.1057_s41260-020-00165-2.

    Full description at Econpapers || Download paper

  3. Could Mergers Become More Sustainable? A Study of the Stock Exchange Mergers of NASDAQ and OMX. (2020). Wong, Wing-Keung ; Clark, Ephraim ; Xie, Wenjing ; Vieito, Joo Paulo.
    In: Sustainability.
    RePEc:gam:jsusta:v:12:y:2020:i:20:p:8581-:d:429235.

    Full description at Econpapers || Download paper

  4. Capital asset pricing model, beta stability, and the pricing puzzle of electricity transmission in Brazil. (2020). da Silva, Walter E ; Brunaldi, Eduardo O ; Martelanc, Roy ; Kayo, Eduardo K.
    In: Energy Policy.
    RePEc:eee:enepol:v:142:y:2020:i:c:s0301421520302330.

    Full description at Econpapers || Download paper

  5. New empirical evidence on CEEs stock markets integration. (2020). Anton, Sorin ; Booc, Claudiu.
    In: The World Economy.
    RePEc:bla:worlde:v:43:y:2020:i:10:p:2785-2802.

    Full description at Econpapers || Download paper

  6. Stock Markets: An Overview and A Literature Review. (2019). , Rjumohan.
    In: MPRA Paper.
    RePEc:pra:mprapa:101855.

    Full description at Econpapers || Download paper

  7. Do Short‐ and Long‐Term Environmental Investments Follow the Same Path?. (2018). de Sousa, Vitor Manuel ; Rodeiropazos, David.
    In: Corporate Social Responsibility and Environmental Management.
    RePEc:wly:corsem:v:25:y:2018:i:1:p:14-28.

    Full description at Econpapers || Download paper

  8. Markov Switching International Capital Asset Pricing Model, an Emerging Market Case: Mexico. (2018). .
    In: Journal of Emerging Market Finance.
    RePEc:sae:emffin:v:17:y:2018:i:1:p:96-129.

    Full description at Econpapers || Download paper

  9. Islamic equity as an alternative investment from the perspective of the Southeast Asian investors: evidence from MGARCH-DCC and Wavelet Coherence. (2018). Masih, Abul ; Suwanhirunkul, Suwijak.
    In: MPRA Paper.
    RePEc:pra:mprapa:93542.

    Full description at Econpapers || Download paper

  10. Environmentally sustainable investment: Dynamics between global thematic indices. (2018). Gabriel, Vitor .
    In: Cuadernos de Gestión.
    RePEc:ehu:cuader:30018.

    Full description at Econpapers || Download paper

  11. .

    Full description at Econpapers || Download paper

  12. A New Method For Dynamic Stock Clustering Based On Spectral Analysis. (2017). Tian, Maozai ; Li, Zhaoyuan.
    In: Computational Economics.
    RePEc:kap:compec:v:50:y:2017:i:3:d:10.1007_s10614-016-9589-9.

    Full description at Econpapers || Download paper

  13. How are Africas emerging stock markets related to advanced markets? Evidence from copulas. (2017). ALAGIDEDE, PAUL ; Mensah, Jones Odei.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:60:y:2017:i:c:p:1-10.

    Full description at Econpapers || Download paper

  14. Emerging Stock Market Integration in the Post Financial Crises Era: An Empirical Analysis of the Short-term and Long-term Linkages. (2016). Rani, Poonam ; Verma, Rajneesh Prakash.
    In: Emerging Economy Studies.
    RePEc:sae:emecst:v:2:y:2016:i:1:p:91-109.

    Full description at Econpapers || Download paper

  15. Testing for Financial Market Integration of the Chinese Market with the US Market. (2016). Mustafa, Alan ; Hatemi-J, Abdulnasser.
    In: MPRA Paper.
    RePEc:pra:mprapa:72733.

    Full description at Econpapers || Download paper

  16. Exchange rate risk exposure in asset pricing theory. (2016). , Kuchin.
    In: World of economics and management / Vestnik NSU. Series: Social and Economics Sciences.
    RePEc:nos:wjflnh:2016_3_03e.

    Full description at Econpapers || Download paper

  17. International Portfolio Diversification - Role of Emerging Economies-US Integration and Dynamic Linkages: An Empirical Study. (2016). Gupta, Ranjan Das ; Dasgupta, Ranjan.
    In: International Journal of Economics and Finance.
    RePEc:ibn:ijefaa:v:8:y:2016:i:6:p:100.

    Full description at Econpapers || Download paper

  18. FINANCIAL CRISIS AND STOCK MARKET LINKAGES. (2014). GABRIEL, Victor Manuel de Sousa, ; MANSO, JOSe RAMOS PIRES, .
    In: Revista Galega de Economía.
    RePEc:sdo:regaec:v:23:y:2014:i:4_12.

    Full description at Econpapers || Download paper

  19. Volatility linkage across global equity markets. (2014). Ding, Liang ; Huang, Yirong ; Pu, Xiaoling .
    In: Global Finance Journal.
    RePEc:eee:glofin:v:25:y:2014:i:2:p:71-89.

    Full description at Econpapers || Download paper

  20. FINANCIAL MARKET LINKAGE IN EAST ASIAN COUNTRIES. (2013). Shiotani, Kyosuke ; Matsubayashi, Yoichi.
    In: World Scientific Book Chapters.
    RePEc:wsi:wschap:9789814412858_0003.

    Full description at Econpapers || Download paper

  21. Is the UAE stock market integrated with the USA stock market? New evidence from asymmetric causality testing. (2012). Hatemi-J, Abdulnasser ; Hatemi-J , Abdulnasser, ; Hatemi-J, Abdulnasser, .
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:26:y:2012:i:2:p:273-280.

    Full description at Econpapers || Download paper

  22. Integration of 22 emerging stock markets: A three-dimensional analysis. (2012). Kiviaho, Jarno ; Graham, Michael ; Nikkinen, Jussi .
    In: Global Finance Journal.
    RePEc:eee:glofin:v:23:y:2012:i:1:p:34-47.

    Full description at Econpapers || Download paper

  23. Dynamic linkages among equity markets: local versus basket currencies. (2011). Maung, Thein ; Bessler, David ; Kolari, James W..
    In: Applied Economics.
    RePEc:taf:applec:v:43:y:2011:i:14:p:1703-1719.

    Full description at Econpapers || Download paper

  24. Cointegration in Central and East European markets in light of EU accession. (2011). Demian, Calin-Vlad.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:21:y:2011:i:1:p:144-155.

    Full description at Econpapers || Download paper

  25. Understanding the Global Demand Collapse: Empirical Analysis and Optimal Policy Response. (2010). Donadelli, Michael ; Cazzavillan, Guido.
    In: Working Papers.
    RePEc:ven:wpaper:2010_18.

    Full description at Econpapers || Download paper

  26. Testing the international capital asset pricing model with Markov switching model in emerging markets. (2010). Çevik, Emrah ; Korkmaz, Turhan ; GURKAN, Serhan .
    In: MPRA Paper.
    RePEc:pra:mprapa:71481.

    Full description at Econpapers || Download paper

  27. Identifying Asymmetric Comovements of International Stock Market Returns. (2010). Li, Fuchun.
    In: Staff Working Papers.
    RePEc:bca:bocawp:10-21.

    Full description at Econpapers || Download paper

  28. .

    Full description at Econpapers || Download paper

  29. Common factors in international securitized real estate markets. (2009). Liow, Kim ; Webb, James R.
    In: Review of Financial Economics.
    RePEc:wly:revfec:v:18:y:2009:i:2:p:80-89.

    Full description at Econpapers || Download paper

  30. Indian stock market volatility in recent years: Transmission from global market, regional market and traditional domestic sectors. (2009). Sen, Chitrakalpa ; Chakrabarti, Gagari ; Sarkar, Amitava.
    In: Journal of Asset Management.
    RePEc:pal:assmgt:v:10:y:2009:i:1:d:10.1057_jam.2008.29.

    Full description at Econpapers || Download paper

  31. Effect of 9/11 on the conditional time-varying equity risk premium: evidence from developed markets. (2009). kouki, imen ; Haque, Mahfuzul.
    In: Journal of Risk Finance.
    RePEc:eme:jrfpps:v:10:y:2009:i:3:p:261-276.

    Full description at Econpapers || Download paper

  32. International comovement of stock market returns: A wavelet analysis. (2009). Rua, António ; Nunes, Luis.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:16:y:2009:i:4:p:632-639.

    Full description at Econpapers || Download paper

  33. International nonlinear causality between stock markets. (2008). RAYMOND, Helene ; CAPELLE-BLANCARD, Gunther ; Beine, Michel.
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:14:y:2008:i:8:p:663-686.

    Full description at Econpapers || Download paper

  34. The dynamics among G7 government bond and equity markets and the implications for international capital market diversification. (2008). Smith, Kenneth L. ; Swanson, Peggy E..
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:22:y:2008:i:2:p:222-245.

    Full description at Econpapers || Download paper

  35. The permanent-transitory decomposition of the stock markets of the G7 countries: A multivariate approach. (2007). Wilbratte, Barry ; Shirvani, Hassan .
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:47:y:2007:i:2:p:352-365.

    Full description at Econpapers || Download paper

  36. Deconstructing the Nasdaq bubble: A look at contagion across international stock markets. (2007). Strauss, Jack ; Hon, Mark ; Yong, Soo-Keong.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:17:y:2007:i:3:p:213-230.

    Full description at Econpapers || Download paper

  37. Comovements and correlations in international stock markets. (2006). Rita D’Ecclesia, .
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:12:y:2006:i:6-7:p:567-582.

    Full description at Econpapers || Download paper

  38. Price and Volatility Transmission across Borders. (2006). Karolyi, G. ; Gagnon, Louis .
    In: Working Paper Series.
    RePEc:ecl:ohidic:2006-5.

    Full description at Econpapers || Download paper

  39. Do birds of the same feather flock together?: The case of the Chinese states equity markets. (2004). Roca, Eduardo ; Hatemi-J, Abdulnasser.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:14:y:2004:i:3:p:281-294.

    Full description at Econpapers || Download paper

  40. Contagion in financial markets after September 11: myth or reality?. (2004). Strauss, Jack ; Hon, Mark ; Yong, Soo-Keong.
    In: Journal of Financial Research.
    RePEc:bla:jfnres:v:27:y:2004:i:1:p:95-114.

    Full description at Econpapers || Download paper

  41. Stock market linkages: Evidence from Latin America. (2002). Rui, Oliver ; Chen, Gong-meng ; Firth, Michael.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:26:y:2002:i:6:p:1113-1141.

    Full description at Econpapers || Download paper

  42. Czech parallel capital markets: discrepancies and inefficiencies. (2001). Hanousek, Jan ; Nemecek, Libor.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:11:y:2001:i:1:p:45-55.

    Full description at Econpapers || Download paper

  43. Genetic modelling of multivariate EGARCHX-processes: evidence on the international asset return signal response mechanism. (2001). Ostermark, Ralf .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:38:y:2001:i:1:p:71-93.

    Full description at Econpapers || Download paper

  44. Does Trading Volume Contain Information to Predict Stock Returns? Evidence from Chinas Stock Markets.. (2000). Rui, Oliver ; Lee, Cheng F.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:14:y:2000:i:4:p:341-60.

    Full description at Econpapers || Download paper

  45. Macroeconomic determinants of long-term stock market comovements among major EMS countries. (1999). Cheung, Yin-Wong ; Lai, Kon S.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:9:y:1999:i:1:p:73-85.

    Full description at Econpapers || Download paper

  46. Short- and long-term links among European and US stock markets. (1999). Yuce, Ayse ; Gerrits, Robert-Jan.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:9:y:1999:i:1:p:1-9.

    Full description at Econpapers || Download paper

  47. Multivariate Granger causality in international asset pricing: evidence from the Finnish and Japanese financial economies. (1998). Ostermark, Ralf .
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:8:y:1998:i:1:p:67-72.

    Full description at Econpapers || Download paper

  48. Are Chinese stock markets efficient? A cointegration and causality analysis. (1997). Song, Haiyan ; Romilly, Peter ; Liu, Xiaming .
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:4:y:1997:i:8:p:511-515.

    Full description at Econpapers || Download paper

  49. A rolling test of granger causality between the Finnish and Japanese security markets. (1997). Aaltonen, J. ; stermark, R..
    In: Omega.
    RePEc:eee:jomega:v:25:y:1997:i:6:p:635-642.

    Full description at Econpapers || Download paper

  50. International portfolio diversification: a synthesis and an update. (1997). Mikhail, Azmi D. ; Kuenzel, Rolf ; Shawky, Hany A..
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:7:y:1997:i:4:p:303-327.

    Full description at Econpapers || Download paper

  51. Co-movements of major European community stock markets: A vector autoregression analysis. (1997). Shachmurove, Yochanan ; Friedman, Joseph.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:8:y:1997:i:2:p:257-277.

    Full description at Econpapers || Download paper

  52. Dynamic Daily Returns Among Latin Americans and Other Major World Stock Markets. (1996). Shachmurove, Yochanan.
    In: CARESS Working Papres.
    RePEc:wop:pennca:96-03.

    Full description at Econpapers || Download paper

  53. Short-run and long-run dynamic linkages among international stock markets. (1996). Hassan, M. Kabir ; Naka, Atsuyuki .
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:5:y:1996:i:4:p:387-405.

    Full description at Econpapers || Download paper

  54. Capital market information transfer and integration: The case of securities dualtraded in the U.S. and Canada. (1996). Brooks, Leroy D. ; Ip, Yiu Keung.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:7:y:1996:i:1:p:53-65.

    Full description at Econpapers || Download paper

  55. International loans and the risk-return behavior of commercial banks: Some evidence from the capital market. (1995). So, Jacky C. ; Nyerges, Richard T..
    In: Global Finance Journal.
    RePEc:eee:glofin:v:6:y:1995:i:2:p:135-153.

    Full description at Econpapers || Download paper

  56. INTERNATIONAL DIVERSIFICATION OF EQUITIES AND FIXED-INCOME SECURITIES. (1983). Hill, Joanne ; Schneeweis, Thomas .
    In: Journal of Financial Research.
    RePEc:bla:jfnres:v:6:y:1983:i:4:p:333-343.

    Full description at Econpapers || Download paper

  57. PRICE BEHAVIOR IN A REGIONAL OVER-THE-COUNTER SECURITIES MARKET. (1979). Senchack, Andrew J. ; Beedles, William L..
    In: Journal of Financial Research.
    RePEc:bla:jfnres:v:2:y:1979:i:2:p:119-131.

    Full description at Econpapers || Download paper

  58. International linkages of Indian equity market: evidence from panel co-integration approach. (). Singhal, Shelly ; Choudhary, Sangita.
    In: Journal of Asset Management.
    RePEc:pal:assmgt:v::y::i::d:10.1057_s41260-020-00165-2.

    Full description at Econpapers || Download paper

  59. Too much cocited documents. This list is not complete

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-01-13 19:50:30 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.