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dc.contributor.author Francis, BB
dc.contributor.author Leachman, LL
dc.date.accessioned 2010-03-09T15:34:40Z
dc.date.issued 1998-06-01
dc.identifier.citation Journal of International Money and Finance, 1998, 17 (3), pp. 475 - 492
dc.identifier.issn 0261-5606
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.
dc.format.extent 475 - 492
dc.format.mimetype application/pdf
dc.language.iso en_US
dc.relation.ispartof Journal of International Money and Finance
dc.title Superexogeneity and the dynamic linkages among international equity markets
dc.type Journal Article
dc.department Economics
pubs.issue 3
pubs.organisational-group /Duke
pubs.organisational-group /Duke/Trinity College of Arts & Sciences
pubs.organisational-group /Duke/Trinity College of Arts & Sciences/Economics
pubs.publication-status Published
pubs.volume 17

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