International Integration of Equity Markets and Contagion Effects
Data up to Jan 2025
Total Citations Per Year
Abstract
References (38)
Testing for a unit root in time series regression
1988 • 17,004 citations
Statistical analysis of cointegration vectors
1988 • 16,501 citations
MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY
1990 • 14,144 citations
Spurious regressions in econometrics
1974 • 6,029 citations
Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
1991 • 4,036 citations
Time Series Regression with a Unit Root
1987 • 2,905 citations
A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1
1992 • 2,686 citations
Trends and random walks in macroeconomic time series
1988 • 2,527 citations
Introduction to Statistical Time Series.
1977 • 2,373 citations
Correlations in Price Changes and Volatility across International Stock Markets
1990 • 1,910 citations
Interest rates and currency prices in a two-country world
1982 • 1,337 citations
An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
1992 • 1,119 citations
Estimating Linear Restrictions on Regression Coefficients for Multivariate Normal Distributions
1951 • 837 citations
Home Bias in Equity Portfolios, Inflation Hedging, and International Capital Market Equilibrium
1994 • 718 citations
International Portfolio Diversification with Estimation Risk
1985 • 705 citations
Volatility and Links between National Stock Markets
1994 • 670 citations
Market Integration and Investment Barriers in Emerging Equity Markets
1995 • 640 citations
Predictable Stock Returns in the United States and Japan: A Study of Long‐Term Capital Market Integration
1992 • 521 citations
Impulse response analysis of cointegrated systems
1992 • 452 citations
The Internationalisation of Stock Markets and the Abolition of U.K. Exchange Control
1989 • 315 citations
International Stock Price Movements: Links and Messages
1989 • 267 citations
Asset Pricing in Partially Segmented Markets: Evidence from the Finnish Market
1989 • 266 citations
THE CAPITAL INFLOWS PROBLEM: CONCEPTS AND ISSUES
1994 • 259 citations
Predictable Risk and Returns in Emerging Markets
1994 • 237 citations
Emerging Markets
1992 • 221 citations
Stochastic trends and economic fluctuations in a small open economy
1992 • 213 citations
Structure and performance: Global interdependence of stock markets around the crash of October 1987∗
1990 • 202 citations
The Internationalization of Equity Markets
1994 • 142 citations
Emerging Equity Markets in Middle Eastern Countries
1995 • 115 citations
Emerging Stock Markets and International Asset Pricing
1995 • 105 citations
Are National Stock Markets Linked?
1988 • 79 citations
The Emergence of Equity Investment in Developing Countries: Overview
1995 • 78 citations
EMERGING EQUITY MARKETS: GROWTH, BENEFITS, AND POLICY CONCERNS
1995 • 54 citations
The effect of the 1987 Stock Crash on international financial integration
1991 • 51 citations
Taming Frontier Markets
1992 • 44 citations
Restoration of Access to Voluntary Capital Market Financing: The Recent Latin American Experience
1992 • 27 citations
A note on market integration before and after the stock crash in October 1987
1995 • 4 citations
ON TESTING FOR STOCK MARKET RATIONAL SPECULATIVE BUBBLES: THE CASE OF LDC MARKETS
2016 • 2 citations