Browsing by Author "Francis, BB"
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Item Open Access Superexogeneity and the dynamic linkages among international equity markets(Journal of International Money and Finance, 1998-06-01) Francis, BB; Leachman, LLIn 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.