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Short- and long-term links among European and US stock markets

Citations

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Cited by:

  1. Aristeidis G. Samitas & Dimitris F. Kenourgios, 2007. "Macroeconomic factors' influence on 'new' European countries' stock returns: the case of four transition economies," International Journal of Financial Services Management, Inderscience Enterprises Ltd, vol. 2(1/2), pages 34-49.
  2. Silvo Dajčman, 2013. "Interdependence Between Some Major European Stock Markets - A Wavelet Lead/Lag Analysis," Prague Economic Papers, Prague University of Economics and Business, vol. 2013(1), pages 28-49.
  3. Joseph Friedman & Yochanan Shachmurove, 2005. "European Stock Market Dynamics Before and After the Introduction of the Euro," PIER Working Paper Archive 05-028, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  4. Erie Febrian & Aldrin Herwany, 2009. "Volatility Forecasting Models and Market Co-Integration: A Study on South-East Asian Markets," Working Papers in Economics and Development Studies (WoPEDS) 200911, Department of Economics, Padjadjaran University, revised Sep 2009.
  5. Saif Siddiqui, 2009. "Stock Markets Integration: Examining Linkages between Selected World Markets," Vision, , vol. 13(1), pages 19-30, January.
  6. Lavín, Jaime F. & Valle, Mauricio A. & Magner, Nicolás S., 2024. "Stock market pattern recognition using symbol entropy analysis," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
  7. Bank for International Settlements, 2008. "Integration of India's stock market with global and major regional markets," BIS Papers chapters, in: Bank for International Settlements (ed.), Regional financial integration in Asia: present and future, volume 42, pages 202-236, Bank for International Settlements.
  8. Syriopoulos, Theodore, 2007. "Dynamic linkages between emerging European and developed stock markets: Has the EMU any impact?," International Review of Financial Analysis, Elsevier, vol. 16(1), pages 41-60.
  9. Eleftherios Thalassinos & Diana-Mihaela Pociovalisteanu, 2007. "A Time Series Model for the Romanian Stock Market," European Research Studies Journal, European Research Studies Journal, vol. 0(3-4), pages 57-72.
  10. Guglielmo Maria Caporale & Luis A. Gil‐Alana & James C. Orlando, 2016. "Linkages Between the US and European Stock Markets: A Fractional Cointegration Approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 21(2), pages 143-153, April.
  11. Ekaterini Panopoulou & Theologos Pantelidis, 2009. "Integration at a cost: evidence from volatility impulse response functions," Applied Financial Economics, Taylor & Francis Journals, vol. 19(11), pages 917-933.
  12. Sarantis, Nicholas, 2001. "Nonlinearities, cyclical behaviour and predictability in stock markets: international evidence," International Journal of Forecasting, Elsevier, vol. 17(3), pages 459-482.
  13. Abdelkader Derbali & Slaheddine Hallara & Aida Sy, 2016. "Athen's game of chicken or the conditional dependence between the Greek banks," International Journal of Economics and Accounting, Inderscience Enterprises Ltd, vol. 7(1), pages 1-26.
  14. Heung Wong & W. Li & Shiqing Ling, 2005. "Joint modeling of cointegration and conditional heteroscedasticity with applications," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 57(1), pages 83-103, March.
  15. Jian Yang & Insik Min & Qi Li, 2003. "European Stock Market Integration: Does EMU Matter?," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 30(9‐10), pages 1253-1276, December.
  16. Canto, Bea & Kräussl, Roman, 2006. "Stock market interactions and the impact of macroeconomic news: Evidence from high frequency data of European futures markets," CFS Working Paper Series 2006/25, Center for Financial Studies (CFS).
  17. Kuang, Peng-Cheng, 2021. "Measuring information flow among international stock markets: An approach of entropy-based networks on multi time-scales," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 577(C).
  18. Mihir Dash, 2017. "A Study of Granger Causality in Latin American Stock Markets," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 6(2), pages 82-88, May.
  19. Boubaker, Heni & Raza, Syed Ali, 2016. "On the dynamic dependence and asymmetric co-movement between the US and Central and Eastern European transition markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 459(C), pages 9-23.
  20. Febrian, Erie & Herwany, Aldrin, 2007. "Co-integration and Causality Among Jakarta Stock Exchange, Singapore Stock Exchange, and Kuala Lumpur Stock Exchange," MPRA Paper 9632, University Library of Munich, Germany.
  21. Syriopoulos, Theodore, 2011. "Financial integration and portfolio investments to emerging Balkan equity markets," Journal of Multinational Financial Management, Elsevier, vol. 21(1), pages 40-54, February.
  22. Eleftherios J. Thalassinos & Evagelos D. Politis, 2011. "International Stock Markets: A Co-integration Analysis," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 113-130.
  23. Herwany, Aldrin & Febrian, Erie, 2008. "Co-integration and Causality Analysis on Developed Asian Markets For Risk Management & Portfolio Selection," MPRA Paper 10259, University Library of Munich, Germany.
  24. Laopodis, Nikiforos T., 2005. "Portfolio diversification benefits within Europe: Implications for a US investor," International Review of Financial Analysis, Elsevier, vol. 14(4), pages 455-476.
  25. Mohammed Ziaur Rehman & Musa Ahmed Hazazi, 2014. "Examining Linkages between Saudi Stock Market (TASI) and Selected Stock Markets Indices," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 5(4), pages 196-209, October.
  26. N Aslanidis & D R Osborn & M Sensier, 2003. "Explaining movements in UK stock prices: How important is the US market?," Centre for Growth and Business Cycle Research Discussion Paper Series 27, Economics, The University of Manchester.
  27. Bank for International Settlements & Hong Kong Institute for Monetary Research, 2008. "Regional financial integration in Asia: present and future," BIS Papers, Bank for International Settlements, number 42, October –.
  28. Matei, Florin, 2014. "An empirical examination of stock market integration in EMU," MPRA Paper 60717, University Library of Munich, Germany.
  29. Nektarios Aslanidis & Denise Osborn & Marianne Sensier, 2003. "Explaining movements in UK stock prices:," Working Papers 0302, University of Crete, Department of Economics.
  30. Silvo Dajcman, 2012. "The Dynamics of Return Comovement and Spillovers Between the Czech and European Stock Markets in the Period 1997–2010," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(4), pages 368-390, August.
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