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Superexogeneity and the dynamic linkages among international equity markets

Publication ,  Journal Article
Francis, BB; Leachman, LL
Published in: Journal of International Money and Finance
June 1, 1998

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.

Duke Scholars

Published In

Journal of International Money and Finance

DOI

ISSN

0261-5606

Publication Date

June 1, 1998

Volume

17

Issue

3

Start / End Page

475 / 492

Related Subject Headings

  • Finance
  • 3801 Applied economics
  • 3502 Banking, finance and investment
  • 1502 Banking, Finance and Investment
  • 1403 Econometrics
  • 1402 Applied Economics
 

Citation

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Francis, B. B., & Leachman, L. L. (1998). Superexogeneity and the dynamic linkages among international equity markets. Journal of International Money and Finance, 17(3), 475–492. https://doi.org/10.1016/S0261-5606(98)00018-7
Francis, B. B., and L. L. Leachman. “Superexogeneity and the dynamic linkages among international equity markets.” Journal of International Money and Finance 17, no. 3 (June 1, 1998): 475–92. https://doi.org/10.1016/S0261-5606(98)00018-7.
Francis BB, Leachman LL. Superexogeneity and the dynamic linkages among international equity markets. Journal of International Money and Finance. 1998 Jun 1;17(3):475–92.
Francis, B. B., and L. L. Leachman. “Superexogeneity and the dynamic linkages among international equity markets.” Journal of International Money and Finance, vol. 17, no. 3, June 1998, pp. 475–92. Scopus, doi:10.1016/S0261-5606(98)00018-7.
Francis BB, Leachman LL. Superexogeneity and the dynamic linkages among international equity markets. Journal of International Money and Finance. 1998 Jun 1;17(3):475–492.
Journal cover image

Published In

Journal of International Money and Finance

DOI

ISSN

0261-5606

Publication Date

June 1, 1998

Volume

17

Issue

3

Start / End Page

475 / 492

Related Subject Headings

  • Finance
  • 3801 Applied economics
  • 3502 Banking, finance and investment
  • 1502 Banking, Finance and Investment
  • 1403 Econometrics
  • 1402 Applied Economics