Ajayi, Richard A; Haddad, Mahmoud M; Tetrick, Lois E - In: Review of Quantitative Finance and Accounting 6 (1996) 3, pp. 293-307
This article employs daily closing index data to investigate the relationship between the U.S. and Japanese equity markets. It reassesses and extends the Becker et al. (1990) methodology over a longer sample space. The article then advances the analysis further by estimating structural equation...