References
Andrews, D. W. (1993), “Tests for Parameter Instability and Structural Change with Unknown
Change Point”, Econometrica 61, 821-856.
Arbela'ez, H., Urrutia, J., and Abbas, N. (2001), “Short-term and long run linkages among the
Colombian capital market indexes”, International Review of Financial Analysis 10, 237-
273.
Arshanapalli, B., and Doukas, J. (1996), “Pacific basin stock market linkages”, Research in
International Business and Finance, Supplement 1, 101- 109.
Barari, M and Sengupta, D. (2003) “Are Emerging Markets Becoming Integrated? A Time-
Varying Cointegration Approach”, Indian Economic Journal, 50, pp. 54-63.
Bertero, E. and C. Mayer (1990), “Structure and Performance: Global Interdependence of Stock
Markets Around the Crash of October 1987”, European Economic Review 34, 1155-1180
Campos, J., Ericcson, N.R. and F. Hendry (1996), “Cointegration Tests in the Presence of
Structural Breaks”, Journal of Econometrics 70, 187-220.
Chamberlain, M. and J. Jordan (2004), “An Introduction to Exchange Traded Funds”, Barclays
Global Investors, www.ishares.com
Chan, K. C., Gup B. E. and M.-S. Pan (1997), “International Stock Market Efficiency and
Integration: A Study of Eighteen Nations”, Journal of Business Finance and Accounting 24,
803-813
Chen, G. M., Firth, M., and Rui, O. M. (2002), “Stock market linkages: Evidence from Latin
America”, Journal of Banking and Finance 26, 1113-1140.
Choudhry, T. (1997), “Stochastic trends in stock prices: Evidence from Latin American markets”
Journal of Macroeconomics 19, 285- 304.
Durand, R. B. and D. Scott (2003). "iShares Australia: A Clinical Study in International
Behavioral Finance." International Review of Financial Analysis 12, 223-239.
Engle, R. F., and Granger, C. W. (1987), “Co-integration and error correction: Representation,
Estimation and Testing”, Econometrica 55, 251-276.
Engle, R.F. (2002), “Dynamic Conditional Correlation: a New Simple Class of Multivariate
GARCH Models”, Journal of Business and Economic Statistics 20, 339-350.
Engle, Robert F. and C.W.J. Granger (1987), “Co-integration and Error Correction:
Representation, Estimation, and Testing,” Econometrica 55, 251-276.
Fisher, K. P. and A. P. Palasvirta (1990), “High Road to a Global Marketplace: The International
Transmission of Stock Market Fluctuations”, The Financial Review 25, 3 71-394
Francis, B. B., and L. L. Leachman (1998), “Superexogeneity and the Dynamic Linkages among
International Equity Markets”, Journal of International Money and Finance 17, 475-494.
Glosten, L. R., R. Jaganathan and D. E. Runkle (1993), “On the Relation between the Expected
Value and the Volatility of the Nominal Excess Returns on Stocks”, The Journal of Finance
48, 1779-1801.
Gregory, A. W., and B. E. Hansen (1996), “Residual-based Tests for Cointegration in the Models
with Regime Shifts”, Journal of Econometrics 70, 99-126.
Grubel, H. G. (1968). "Internationally Diversified Portfolios: Welfare Gains and Capital Flows."
The American Economic Review 58(5): 1299-1314.
Hansen, H. and S. Johansen (1999), “Some Tests for Parameter Constancy in Cointegrated VAR
Models”, Econometrics Journal 2, 306-333
Johansen, S. (1988), “Statistical Analysis of Cointegrating Vectors”, Journal of Economic
Dynamics and Control 12, 231-254.
24