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Stock market integration : evidence on price integration and return convergence

Heimonen, Kari - 1999

Persistent link: https://www.econbiz.de/10001372405

Stock market integration : evidence on price integration and return convergence

Heimonen, Kari - In: Applied financial economics 12 (2002) 6, pp. 415-429

Persistent link: https://www.econbiz.de/10001671114

Cointegration and causality of stock markets in two small open economies and their major trading partner nations

Malkamäki, Markku R. J. - 1992

Persistent link: https://www.econbiz.de/10000839839

Testing for cointegration between international stock prices

Ahlgren, Niklas; Antell, Jan - In: Applied financial economics 12 (2002) 12, pp. 851-861

Persistent link: https://www.econbiz.de/10001724679

Testing for cointegration between international stock prices

Ahlgren, Niklas; Antell, Jan - 1998

Persistent link: https://www.econbiz.de/10001362889

Identification through heteroscedasticity in a multicountry and multimarket framework : the effects of European Central Banks on European financial markets

Hayo, Bernd; Niehof, Britta - 2011

This paper formally proves that Rigobon and Sack (2004)'s approach of identifying monetary policy shocks through heteroscedasticity can be extended to a multimarket and multicountry framework. Applying our multivariate framework allows deriving consistent estimators of monetary policy effects....