Superexogeneity and the Dynamic Linkages Among International Equity Markets

dc.contributor.author	Francis, Bill B.	en_US
dc.contributor.author	Leachman, Lori	en_US
dc.date.accessioned	2010-03-09T15:34:40Z
dc.date.available	2010-03-09T15:34:40Z
dc.date.issued	1998	en_US
dc.identifier.uri	http://hdl.handle.net/10161/1964
dc.description.abstract	In this article, we combine the Johansen procedure for cointegration testing with tests of weak exogeneity and invariance in order to ascertain whether a system of equity markets is characterized by superexogeneity. Superexogeneity is rejected for the system comprised of stock indices of the US, UK, Germany and Japan. This finding implies that agents participating in these financial markets are forward looking, all markets are endogenous in our system and the assumption of stability of the asset demand function is questionable.	en_US
dc.format.extent	104762 bytes
dc.format.mimetype	application/pdf
dc.language.iso	en_US
dc.publisher	Journal of International Money and Finance	en_US
dc.subject	Forward-looking	en_US
dc.subject	Superexogeneity	en_US
dc.subject	cointegration	en_US
dc.title	Superexogeneity and the Dynamic Linkages Among International Equity Markets	en_US
dc.type	Journal Article	en_US
dc.department	Economics