This study examines long-run relationships and short-run dynamic causal linkages among the U.S., Japanese, and ten Asian emerging stock markets, with the particular attention to the 1997-1998 Asian financial crisis. Extending related empirical studies, comparative analyses of pre-crisis, crisis,...

This study examines long-run relationships and short-run dynamic causal linkages among the US, Japanese, and ten Asian emerging stock markets, with the particular attention to the 1997-1998 Asian financial crisis. Extending related empirical studies, comparative analyses of pre-crisis, crisis,...

This study examines the impact of the recent establishment of the Economic and Monetary Union (EMU) on the long-run, short-run and contemporaneous structures of integration among eleven European stock markets and the US. The results show that although two cointegrating vectors exist both before...

Traditional autocorrelation and variance ratio tests are based on serial uncorrelatedness rather than martingale difference. As such, they do not capture potential nonlinearity-in-mean, which could lead to misleading inferences in favor of the martingale hypothesis. This paper employs various...