Hu, Y. -P.; Lin, L.; Kao, J. -W. - In: Applied Economics 40 (2008) 19, pp. 2501-2507
As a response to the growing concern on the interconnection of international stock markets, this study uses the Pena-Box model to capture time-varying relationship of the returns of 13 stock indices during 1993-2002. The results indicate a dynamic relationship of world major stock markets over...