Are Different National Stock Markets Driven by the Same Stochastic Hidden Variable?

Klaus Grobys

back

References:

Alexander, C. and Dimitriu, A. (2005b): “ Indexing, Cointegration And Equity Market Regimes.” International Journal of Finance and Economics (10), pp.213-231.

Ang, A. and Bekaert, G. (2002): “Regime Switches in Interest Rates.” Journal of Business and Economic Statistics (20), pp. 163-182.

Bachman, D., Jay Choi, J. and Jeon, B.N. (1996): “ Common factors in international stock prices: Evidence from a cointegration study.” International Review of Financial Analysis (5)/1, pp.39-53.

Claessens, S., Kose, M.A. and Terrones , M.E. (2009): “What happens during recessions, crunches and busts?” Economic Policy (60), pp.653-700.

Corhay, A., Rad, A.T., Urbain, J.-P. (1993): Common stochastic trends in European stock markets. Economics Letters ( 42 ) /4, pp. 385–390.

Engle, R.F. and Granger, C.W. (1987): “Co-integration and error correction: Representation, estimation and testing.” Econometrica ( 55 ), pp. 251–276.

Erdinc, H. and Milla, J. (2009): “ Analysis of Cointegration in Capital Markets of France , Germany and United Kingdom .” Economics & Business Journal: Inquiries & Perspectives (2)/1, pp. 109-123.

Hamilton, J. (1989): “A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle.” Econometrica (57), pp. 357-384.

Forbes, K. J. and Rigobon, R. (2002): “No Contagion, Only Interdependence: Measuring Stock Market Comovements.” The Journal of Finance (57), pp.2223–2261.

Francis, B.B. and Leachman, L.L. (1998): “Superexogeneity and the dynamic linkages among international equity markets.” Journal of International Money and Finance ( 17) , pp. 475–494.

Grobys, K. (2010): “Have Volatility Spillover Effects of Cointegrated European Stock Markets Increased over Time? Review of Finance and Banking (2), pp.83-93.

Gonzalez, L, Powell, J.G, Shi, J and Wilson, A. (2005): “Two centuries of bull and bear market cycles.” International Review of Economics & Finance (14), pp. 469-486.

Guidolin, M., Timmermann, A. (2008): "Asset Allocation under Multivariate Regime Switching." Journal of Economic Dynamics and Control (31), pp. 3503-3544.

Gklezakou, T. and Mylonakis, J. (2010): “Links and interdependence of developed stock markets under global economic crisis conditions.” Journal of Financial Services Marketing (14), pp. 314–327.

Hardouvelis, A.H., Malliaropulos, D. and Priestley, R. (2006): “ EMU and European Stock Market Integration . “ Journal of Business (79)/1, pp. 365-392.

Johansen, S. (1988): Statistical analysis of cointegrating vectors, Journal of Economic Dynamics and Control ( 12 ), pp. 231–254.

Kasa, K. (1992): “Common stochastic trends in the international stock markets.” Journal of Monetary Economics ( 29 ), pp. 95–124.

King, M, Sentana, E. and Wadhwani, S. (1994): “Volatility and Links between National Stock Markets.” Econometrica (62)/4, pp.901-933.

Koedijk, K.C.G., Campbell , R.A.J. and Kofman, P. (2002):”Increased correlation in bear markets, Financial Analysts Journal ( 58 ), pp. 87–94.

Longin, F.M. and Solnik, B. (1995): “Is the correlation in international equity returns constant: 1960–1990.” Journal of International Money and Finance ( 14 ), pp. 3–26.

Lukas, A. (1997): “ Strategic and Tactical Asset Allocation and the Effect of Long-Run Equilibrium Relations.” Research Memorandum 1997-42, Vrije Universiteit Amsterdam .

Perez-Quiros, G. and Timmermann, A. (2000): ”Firm Size and Cyclical Variations in Stock Returns.” Journal of Finance (55), pp. 1229-1262.

Perlin, M. (2009): “MS_Regress – The MATLAB Package for Markov Regime Switching Models, working paper, available in http://mathworks.com/matlabcentral/fileexchange/15789.

Richards, A. (1995): “Comovements in national stock market returns: Evidence of predictability, but not cointegration.” Journal of Monetary Economics ( 36) , pp. 455–479.

Rousova, L. (2009): „Are the Central European Stock Markets Still Different?” Munich Discussion Paper No. 2009-15, Department of Economics, University of Munich .

Solnik, B., Boucrelle, C. and Le Fur, Y. (1996): “International Market Correlation and Volatility.” Financial Analysts Journal (52)/5, pp.17-34.

Timmermann, A. (2000): “Moments of Markov Switching Models.” Journal of Econometrics (96), pp.75-111.

Voronkova, S. (2004): “ Equity Market Integration in Central European Emerging Markets: A Cointegration Analysis with Shifting Regimes.” International Review of Financial Analysis (13)/5, pp.633-647.

Copyright © 2009 | All rights reserved