Kaplanis, E. C. (1988), “Stability and Forecasting of the Co-movement Measures of International
Stock Market Return”, Journal of International Money and Finance 8, 63-75
Kasa, K. (1992), “Common Stochastic Trends in International Stock Markets”, Journal of
Monetary Economics 29, 95-124
Kasa, K. (1992), “Common Stochastic Trends in International Stock Markets”, Journal of
Monetary Economics 29, 95-124
Kearney, C. and B. Lucey (2004), “International Equity Market Integration: Theory, Evidence
and Implications”, International Review of Financial Analysis 13, 1-13
King, M. and S. Wadhwani (1990), “Transmission of Volatility between Stock Markets”, Review
of Financial Studies 3, 5-33
Levy, H. and L. Sarnat (1970), "International Diversification of Investment Portfolios" The
American Economic Review 60(4), 668-675.
Longin, F. and B. Solnik (1995), “Is the Correlation in International Equity Returns Constant:
1960-1990?”, Journal of International Money and Finance 14, 3-26
MacKinnon, J.G. (1991), “Critical Values for Cointegration Tests,” Chapter 13 in Long-run
Economic Relationships: Readings in Cointegration, edited by R.F.Engle and C.W.J.
Granger, Oxford University Press.
Manning, N. (2002), “Common trends and convergence? South East Asian equity markets, 1998-
1999” Journal of International Money and Finance 21, 183- 202.
Miffre, J. (2004). "Country-Specific ETFs: An Efficient Approach to Global Asset Allocation."
Manuscript.
Olienyk, J. P., R. G. Schwebach, et al. (1999). "WEBS, SPDRs, and Country Funds: an Analysis
of International Cointegration", Journal of Multinational Financial Management 9, 217-
232.
Pennathur, A. K., N. Delcoure, et al. (2002). "Diversification Benefits of iShares and Closed-End
Country Funds." The Journal of Financial Research 25(4): 541-557.
Phengpis, C. and P. E. Swanson (2004). "Increasing Input Information and Realistically
Measuring Potential Diversification Gains from International Portfolio Investments",
Global Finance Journal 15, 197-217.
Phillips, P.C.B. and P. Perron (1988) “Testing for a Unit Root in Time Series Regression,”
Biometrika 75, 335-346.
Phylaktis, K. (1999), “Capital Market Integration in the Pacific Basin Region: An impulse
Response Analysis”, Journal of International Money and Finance 18, 267- 287.
Phylaktis, K. and F. Ravazzollo (2001). "Country Funds: A Channel for Emerging Equity Market
Integration", Manuscript.
Ratner, M. (1992), “Portfolio Diversification and the Intertemporal Stability of International
Indices”, Global Finance Journal 3, 67-78
Richards, A. (1995), “Comovements in National Stock Market Returns: Evidence of
Predictability, but not Cointegration”, Journal of Monetary Economics 36, 455-479
Richards, A. J. (1995), “Comovements in National Stock Market Returns: Evidence of
Predictability, but not Cointegration”, Journal of Monetary Economics 36, 631-654
Ross, S. (2005), “Take-up Has Been Slow”, Financial Times, 16 February 2005
Said, Said E. and David A. Dickey (1984) “Testing for Unit Roots in Autoregressive Moving
Average Models of Unknown Order,” Biometrika, 71, 599-607Alexander, C. (1999),
“Optimal Hedging Using Cointegration”, Philosophical Transactions: Mathematical,
Physical and Engineering Sciences 357, 2039-2058
25