INTEGRATION OF GLOBAL CAPITAL MARKETS: AN EMPIRICAL EXPLORATION

DOI10.1142/S0219024904002529MaRDI QIDQ3022101zbMATH OpenFDO

Authors Malay Bhattacharyya, Ashok Banerjee

Publication date 22 June 2005

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

cointegrationGranger causalityGlobal capital markets

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

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Cites work

• scientific article; zbMATH DE number 768016 (Why is no real title available?)
• A Test for Normality of Observations and Regression Residuals
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Comparisons of tests for multivariate cointegration
• Inference in Linear Time Series Models with some Unit Roots
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Multivariate cointegration analysis of the Finnish-Japanese stock markets
• Statistical inference in vector autoregressions with possibly integrated processes
• Testing for a unit root in time series regression
• Vector Autoregressions and Causality
• Vector autoregression and causality: a theoretical overview and simulation study

Cited in

(13)

• Assessing European stock markets (co)integration
• Price linkages in Asian equity markets: evidence bordering the Asian economic, currency and financial crises
• Global stock market landscape: an application of minimum spanning tree technique
• Interactions among China-related stocks
• Internationalization and Stock Market Liquidity*
• International capital markets and redundant securities
• scientific article; zbMATH DE number 2112107 (Why is no real title available?)
• Comparing the causality patterns between some Scandinavian stock returns and global return factors
• Modified neural network algorithms for predicting trading signals of stock market indices
• Structural modelling of global capital asset pricing
• AN ANALYSIS OF ASIAN MARKET INTEGRATION PRE- AND POST-CRISIS
• CAUSAL LINKAGES AMONG SHANGHAI, SHENZHEN, AND HONG KONG STOCK MARKETS
• Financial market globalization and growth with interdependent countries

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