In this paper, we derive evidence on the integration of international stock markets from the cointegration properties … of international stock market prices. Using the multivariate cointegration test of Johansen, we find that the set of six … subgroup analyses also indicate that the cointegration relationships have become stronger over time. This is consistent with …

This paper applies the maximum likelihood panel cointegration method of Larsson and Lyhagen (2007) to test the strong … contrasted to those from the Pedroni (1995) cointegration tests and fully modified OLS and dynamic OLS esimators of the …

, using data from around the time of the 1997 U.K. dividend tax reform, which removed a significant tax credit for an … dividend tax rates across all investors, and that U.K. pension funds should reduce their holdings of the previously tax …-favored asset: U.K. equities. Given that U.K. pension funds are small relative to the total size of the world capital market, a …

with historical averages, and the dividend/price ratio has recently reached a historic low. These developments and record … paper assesses the recent rise in the stock market using a model for the equilibrium dividend/price ratio. While economic … variables can account for most of the recent fall in the dividend/price ratio, mutual-fund inflows still have some marginal …

This paper is a response to the literature that tests for cointegration between national stock market indices. It … argues that apparent findings of cointegration in other studies may often be due to the use of asymptotic, rather than small …-sample, critical values. In fact, economic theory suggests that cointegration is unlikely to be observed in efficient markets. However …

has been relatively limited analysis of the dividend behavior of multinationals. We find that investors in multinationals … dividends, consistent with a view that such regular dividend payments are a mechanism through which to discipline host …-country managers. In contrast, German investors, who tend to invest in riskier countries, do not appear to demand persistent dividend …

the United States, the euro area, and China via a conditional kernel density estimation of a joint distribution. Then, we … individual countries' densities into a world aggregate while preserving the non-i.i.d. nature of the global GDP growth …