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A vector error correction model of the Singapore stock market

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  • Maysami, Ramin Cooper
  • Koh, Tiong Sim

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  • Maysami, Ramin Cooper & Koh, Tiong Sim, 2000. "A vector error correction model of the Singapore stock market," International Review of Economics & Finance, Elsevier, vol. 9(1), pages 79-96, February.
  • Handle: RePEc:eee:reveco:v:9:y:2000:i:1:p:79-96
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    3. Stephen A. Ross, 2013. "The Arbitrage Theory of Capital Asset Pricing," World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part I, chapter 1, pages 11-30, World Scientific Publishing Co. Pte. Ltd..
    4. Errunza, Vihang R. & Rosenberg, Barr, 1982. "Investment in Developed and Less Developed Countries," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 17(5), pages 741-762, December.
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    13. Gerald P. Dwyer & Rik Hafer, 1988. "Are national stock markets linked?," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 3-14.
    14. Kasa, Kenneth, 1992. "Common stochastic trends in international stock markets," Journal of Monetary Economics, Elsevier, vol. 29(1), pages 95-124, February.
    15. Fama, Eugene F, 1990. "Stock Returns, Expected Returns, and Real Activity," Journal of Finance, American Finance Association, vol. 45(4), pages 1089-1108, September.
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    17. Eun, Cheol S. & Shim, Sangdal, 1989. "International Transmission of Stock Market Movements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(2), pages 241-256, June.
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    21. Mukherjee, Tarun K & Naka, Atsuyuki, 1995. "Dynamic Relations between Macroeconomic Variables and the Japanese Stock Market: An Application of a Vector Error Correction Model," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 18(2), pages 223-237, Summer.
    22. Fang, Hsing & Loo, Jean C. H., 1994. "Dollar value and stock returns," International Review of Economics & Finance, Elsevier, vol. 3(2), pages 221-231.
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