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Superexogeneity and the dynamic linkages among international equity markets Francis, BB Leachman, LL 2010-03-09T15:34:40Z 1998-06-01
dc.identifier.issn 0261-5606
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.mimetype application/pdf
dc.language.iso en_US
dc.publisher Elsevier BV
dc.relation.ispartof Journal of International Money and Finance
dc.title Superexogeneity and the dynamic linkages among international equity markets
dc.type Journal article Leachman, LL|0217560
pubs.begin-page 475
pubs.end-page 492
pubs.issue 3
pubs.organisational-group Duke
pubs.organisational-group Economics
pubs.organisational-group Trinity College of Arts & Sciences
pubs.publication-status Published
pubs.volume 17

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