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
APA
Chicago
ICMJE
MLA
NLM
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.
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