Superexogeneity and the dynamic linkages among international equity markets

被引：35
|
作者：
Francis, BB [1 ]
Leachman, LL
机构：
[1] Univ S Florida, Coll Business Adm, Dept Finance, Tampa, FL 33620 USA
[2] No Arizona Univ, Coll Business Adm, Dept Econ, Flagstaff, AZ 86011 USA
来源：
JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 1998年 / 17卷 / 03期
关键词：
superexogeneity; cointegration; forward-looking;
D O I：
10.1016/S0261-5606(98)00018-7
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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. (C) 1998 Elsevier Science Ltd. All rights reserved.
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页码：475 / 492
页数：18
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