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Co-movements of Shanghai and New York stock prices by time-varying regressions
Chow, Gregory C.; Liu, Changjiang; Niu, Linlin - In: Journal of comparative economics : the journal of the … 39 (2011) 4, pp. 577-583
Persistent link: https://www.econbiz.de/10009513448
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Co-Movements of Shanghai and New York Stock Prices by Time-Varying Regressions
Chow, Gregory C. - 2011
significantly and persistently positive after 2002, when China entered WTO. The effect of the current return for Shanghai on New … global financial crisis, but reaches the level of about 0.4 to 0.5 in 2010 for both markets. Our results show that China …
Persistent link: https://www.econbiz.de/10013121277
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Integration of Chinese and Russian stock markets with world markets : national and sectoral perspectives
Babeckij, Jan; Komárek, Luboš; Komárková, Zlatuš - 2012
Persistent link: https://www.econbiz.de/10009489572
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Convergence of returns on Chinese and Russian stock markets with world markets : national and sectoral perspectives
Babeckij, Jan; Komárek, Luboš; Komárková, Zlatuše - In: National Institute economic review 223 (2013), pp. 16-38
Persistent link: https://www.econbiz.de/10009725602
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Risk spillovers from China's and the US stock markets during high-volatility periods : evidence from East Asianstock markets
Wang, Bo; Xiao, Yang - In: International review of financial analysis 86 (2023), pp. 1-17
Persistent link: https://www.econbiz.de/10014249132
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Stock market integration : evidence from Pacific-Basin country funds
Ely, David; Salehizadeh, Mehdi; Song, Moon - In: International journal of business 4 (1999) 1, pp. 71-87
Persistent link: https://www.econbiz.de/10001355185
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The instability of cointegrating relationships among stock indices : the case of Pacific Basin and major stock markets
Bos, Theodore; Fetherston, Thomas Austin; Theerathon, … - In: Advances in Pacific Basin financial markets 6 (2000), pp. 137-175
Persistent link: https://www.econbiz.de/10001487764
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Testing for convergence in stock markets : a non-linear factor approach
Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, Vladimir - 2009
This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as the US over the period 1973-2008. We carry out the...
Persistent link: https://www.econbiz.de/10003889148
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Testing for convergence in stock markets : a non-linear factor approach
Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, Vladimir - 2009
This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as the US over the period 1973-2008. We carry out the...
Persistent link: https://www.econbiz.de/10003898817
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Asset pricing, size and North American stock market integration
Samson, Lucie - In: Applied financial economics 20 (2010) 13/15, pp. 1031-1039
Persistent link: https://www.econbiz.de/10009010309