Superexogeneity and the dynamic linkages among international equity markets

Published

Journal Article

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.

Full Text

Duke Authors

Cited Authors

  • Francis, BB; Leachman, LL

Published Date

  • June 1, 1998

Published In

Volume / Issue

  • 17 / 3

Start / End Page

  • 475 - 492

International Standard Serial Number (ISSN)

  • 0261-5606

Digital Object Identifier (DOI)

  • 10.1016/S0261-5606(98)00018-7

Citation Source

  • Scopus