Philippatos, G. C., Christofi, A., and Christofi, P., "The Inter-Temporal Stability of International Stock Market Relationships: Another View." Financial Management, Vol. 12 No. 4 (Winter 1983), pp. 63-69.  Home/Search Document Not in Database Summary Related Articles Check |
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Information Dispersal: A Microstructure Analysis of Stock.. - Daigler, Herbst (Correct)
.... Rahman, and Yung (1992) use daily currency 2 Other articles of interest concerning the degree of interrelatedness of international equity markets on a daily basis, as well as the direction and magnitude of the transmission of these market movements, include Fisher and Palasvirta (1990) Philippatos, Christofi and Christofi (1983), and Hilliard (1979) 3 Thus, while futures price changes lead cash changes, Chan, Chan and Karolyi (1991) and Kawaller, Koch, and Koch (1990) show that the volatility relationship can go in either direction. 2 futures data to show that vo latility i n one currency futures contract is ....
Philippatos, G. C., Christofi, A., and Christofi, P., "The Inter-Temporal Stability of International Stock Market Relationships: Another View." Financial Management, Vol. 12 No. 4 (Winter 1983), pp. 63-69.
A Cointegration Analysis of the Impact of Economic Forces and .. - Tiong Sim Ramin (Correct)
....against risk in the mean variance sense. Early work by Levy and Sarnat (1970) Solnik (1974) Errunza (1983) and Eun and Resnick (1984) argue that there are benefits to diversifying globally and not just just within the domestic market. However, later work by Maldanado and Saunders (1981) and Philippatos, Christofi and Christofi (1983) which used correlation coefficient analysis found that co movements exist among the stock markets of certain industrialised countries. A Cointegration Analysis of the Impact of Economic Forces and Global Market. 119 Transmission effects are also experienced in non industrialised countries. ....
....and the Asian markets. The day to day comovement of the US market and various Asian markets, including Singapore, has been observed by Aggarwal and Rivoli (1989) and Cheung and Mak (1992) We, however, use monthly data, following Maldanado and Saunders (1981) Errunza and Rosenberg (1982) Philippatos, Christofi and Christofi (1983) and Eun and Resnick (1984) Eun and Resnick (1984) point out that using monthy data will lead to more robust estimates than using daily data. The VECM built will only include stock index time series for the US, Japan and Singapore. Casual observation and intuition lead us to believe that news ....
Philippatos, D. B., Christofi, A. and Christofi, P. (1983): "The Inter-Temporal Stability of International Stock Market Relationships: Another View," Financial Management, 12, 63-69.
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