[1]Abhyankar, A., Copeland, L.S., and Wong, W., 1997, “Uncovering nonlinear structure in real-time stock market indexes: the S&P 500, the DAX, the Nikkei 225, and the FTSE-100”, Journal of Business and Economics Statistics, vol.15, pp. 1–14.
[2]Alba, J. D. and Park, D., 2005, “An empirical investigation of purchasing power parity (PPP) for Turkey”, Journal of Policy Modeling, vol. 27, pp.989-1000.
[3]Alimov, A. A., Chakraborty, D., Cox, R. A. and Jain, A. K., 2004, “The random walk hypothesis on the Bombay stock exchange”, Finance India, vol.18, pp.1251-1258.
[4]Alfred, A. H. and Basher, S.A., 2011, “Linear or nonlinear cointegration in the purchasing power parity relationship?”, Applied Economics, vol.43(2), pp. 185–196.
[5]Andrews, D. W. K. and Ploberger, W., 1994, “Optimal tests when a nuisance parameter is present only under the alternative”, Econometrica, vol.62, pp.1383-1414.
[6]Arshanapalli, B. and Doukas, J., 1993, “International stock market linkages: Evidence from the pre- and post-October 1987 period”, Journal of Banking and Finance, vol.17, pp. 193–208.
[7]Arshanapalli, B., Doukas, J. and Lang, L., 1995, “Pre and post-1987 stock market linkages between U.S. and Asian markets”, Pacific-Basin Finance Journal, vol.3, pp. 57–73.
[8]Baker M., Foley, C. F. and Wurgler, J., 2008, “Multinationals as arbitrageurs? The effect of stock market valuations on foreign direct investment”, Review of Financial Studies, vol.22, pp.337-369.
[9]Balke, N. S. and Fomby, T. B., 1997, “Threshold cointegration”, International Economic Review, vol. 38, pp. 627–645.
[10]Balvers, R., Wu, Y. and Gilliland, E., 2000, “Mean reversion across national stock markets and parametric contrarian investment strategies”, Journal of Finance, vol.55, pp.745–772.
[11]Barnett, W. A. and Serletis, A., 2000, “Martingales, nonlinearity, and chaos”, Journal of Economic Dynamics and Control, vol. 24, pp. 703–24.
[12]Bekaert, G., Harvey, C. and NG, A., 2005, “Market integration and contagion”, Journal of Business, vol. 78, pp. 39-69.
[13]Bierens, H. J., 1997, “Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the U.S. price level and interest rate”, Journal of Econometrics, vol. 81, pp. 29-64.
[14]Bracker, K., Scott, D. D. and Koch, P. D., 1999, “Economic determinants of evolution in international stock market integration”, Journal of Empirical Finance, vol. 6, pp. 1-27.
[15]Breitung, J., 2001, “Rank tests for nonlinear cointegration”, Journal of Business and Economic Statistics, vol.19, pp. 331–340.
[16]Caner, M. and Hansen, B. E., 2001, “Threshold autoregression with a unit root”, Econometrica, vol. 69, pp.1555-1596.
[17]Chan, K. S., 1991, “Percentage points of likelihood ratio tests for threshold autoregression”, Journal of the Royal Statistical Society, vol.53, pp.691-696.
[18]Chang, T. and Caudill, S. B., 2006, “A note on the long-run benefits from international equity diversification for a Taiwan investor diversifying in the US equity market”, International Review of Financial Analysis, vol.15, pp. 57-67.
[19]Chang, T., Chiu, C. C. and Nieh, C. C., 2007, “Rational bubbles in the US stock market? Further evidence from a nonparametric cointegration test”, Applied Economics Letters , vol.14, pp. 517–521.[20]Chaudhuri, K. and Wu, Y., 2003, “Random walk versus breaking trend in stock prices: evidence from emerging markets”, Journal of Banking and Finance, vol. 27, pp. 575-592.
[21]Chen, K. C., Gup, B. E. and Pan, M. S., 1992, “An empirical analysis of stock prices in major Asian markets and the United States”, Financial Review, vol. 27, pp. 289–308.
[22]Chowdhury, A. R., 1994, “Stock market interdependencies: Evidence from the Asian NIEs”, Journal of Macroeconomics, vol. 6, pp. 629– 651.
[23]Christiano, L. J., 1992, “Searching for a break in GNP”, Journal of Business and Economic Statistics, vol. 10, pp. 237-249.
[24]Claessens, S., Klingebiel, D. and Schmukler, S., 2001, “FDI and stock market development: Complements or substitutes?”, mimeo, World Bank.
[25]Davies, R. B., 1987, “Hypothesis testing when a nuisance parameter is present only under the alternative”, Biometrika, vol.74, pp.33-43.
[26]De Santis, G. and Imrohoroglu, S., 1997, “Stock returns and volatility in emerging financial markets”, Journal of International Money and Finance, vol.16(4), pp. 561-579.
[27]Dickey, D. A. and Fuller, W. A., 1979, “Distribution of the estimators for autoregressive time series with unit root”, Journal of American Statistical Association , vol.74, pp. 427-431.
[28]Enders, W. and Granger, C. W. J., 1998, “Unit-root tests and asymmetric adjustment with an example using the term structure of interest rates”, Journal of Business and Economic Statistics, vol. 16, pp. 304 - 311.
[29]Errunza, V. R., 1983, “Emerging markets - a new opportunity for improving global portfolio performance”, Financial Analysts Journal, vol.39 (5), pp.51-58.
[30]Fama, E. F., and French, K. R., 1988, “Permanent and temporary components of stock prices”, Journal of Political Economy, vol.96, pp.246-273.
[31]Gerard, B., Thanyalakpark, K. and Batten, J., 2003, “Are the East Asian markets integrated? Evidence from the ICAPM”, Journal of Economics and Business, vol.55, pp.585-607.
[32]Granger, C.W.J., 1986, “Developments in the study of co-integrated economic variables”, Oxford Bulletin of Economics and Statistics, vol.48, pp. 213– 228.
[33]Grieb, T. A. and Reyes, M. G., 1999, “Random walk tests for Latin American equity indexes and individual firms”, Journal of Financial Research, vol.22, pp.371–383.
[34]Grubel, H.G., 1968, “International diversified portfolio: Welfare gains and capital flows”, American Economic Review, vol.58, pp. l299-1314.
[35]Hansen, B. E., 1996, “Inference when a nuisance parameter is not identified under the null hypothesis”, Econometrica, vol.64, pp.413-430.
[36]Ho, T., 2005, “Investigating the threshold effects of inflation on PPP”, Economic Modelling, vol.22, pp.926-948.
[37]Hsieh, D.A., 1991, “Chaos and nonlinear dynamics: Applications to financial markets”, Journal of Finance , vol.46, pp. 1839–1877.
[38]Huber P., 1997, “Stock market returns in thin markets: evidence from the Vienna stock exchange”, Applied Financial Economics, vol. 7, pp.493–498.
[39]Hung, W. S. B. and Cheung, Y. L., 1995, “Interdependence of Asian emerging equity markets”, Journal of Business Finance & Accounting, vol.22 (2), pp.281- 288。
[40]Johansen, S., 1988, “Statistical analysis of cointegration vectors”, Journal of Economic Dynamics and Control, vol.12, pp.231– 254.
[41]Johansen, S. and Juselius, K., 1990, “Maximum likelihood estimation and inference on cointegration—with applications to the demand for money”, Oxford Bulletin of Economics and Statistics, vol. 52, pp.169– 210.
[42]Juvenal, L. and Taylor, M. P., 2008, “Threshold adjustment of deviations from the law of one price”, Studies in Nonlinear Dynamics and Econometrics, vol.12, pp.1-44.
[43]Kanas, A., 1998a, “Long-run benefits from international equity diversification: A note on the Canadian evidence”, Applied Economics Letters, vol. 5, pp.659–663.
[44]Kanas, A., 1998b, “Linkages between the US and European equity markets: Further evidence from cointegration tests”, Applied Financial Economics, vol.8, pp.607– 614.
[45]Kasa, K., 1992, “Common stochastic trends in international stock markets”, Journal of Monetary Economics, vol. 29, pp.95–124.
[46]Kilian, L. and Taylor, M. P., 2003, “Why is it so difficult to beat the random walk forecast of exchange rates?”, Journal of International Economics, vol.60(1), pp.85-107.
[47]Kim, M. J., Nelson, C. R. and Startz, R., 1991, “Mean reversion of stock prices: A reappraisal of the empirical evidence”, Review of Economic Studies, vol.58, pp.5151–5280.
[48]Kwan, A., Sim, A. and Cotsomitis, J., 1995, “The causal relationships between equities on world exchanges”, Applied Economics, vol. 27, pp.33– 37.
[49]Kwiatkowski, D., Phillips, P. C. B., Schmidt, P. and Shin, Y., 1992, “Testing the null hypothesis of stationarity against the alternative of a unit root”, Journal of Econometrics, vol. 54, pp.159-178.
[50]Lee, B. and Jeon, B., 1995, “Common stochastic trends and predictability of international stock prices”, Journal of the Japanese and International Economies, vol.9, pp.245– 277.
[51]Lessard, D., 1974, “World, national and industry factors in equity returns”, Journal of Finance, vol. 29, pp.379-391.
[52]Leybourne, S., Mills, T. and Newbold, P., 1998, “Spurious rejections by Dickey-Fuller tests in the presence of a break under the null”, Journal of Econometrics, vol.87, pp.191-203.
[53]Liu X., Song, H. and Romilly, P., 1997, “Are Chinese stock markets efficient? A cointegration and causality analysis”, Applied Economics Letters, vol.4, pp.511–515.
[54]Lo, A.W. and MacKinlay, A. C., 1997, “Stock market prices do not follow random walks: evidence from a simple specification test”, The Review of Financial Studies, vol.1, pp.41-46.[55]Lothian, J. R. and Taylor, M. P., 2008, “Real exchange rates over the past two centuries: How important is the Harrod-Balassa-Samuelson effect?”, Economic Journal, vol.118 (532), pp.1742-63.
[56]Maddala, G. S. and Kim, I. M., 1998, “Unit roots, cointegration, and structural change”, Cambridge, Cambridge University Press.
[57]Masih, A. and Masih, R. 1997, “A comparative analysis of the propagation of the market fluctuations in alternative models of dynamic causal linkages”, Applied Financial Economics, vol.7, pp.59–74.
[58]McQueen, G., 1992, “Long-horizon mean reverting stock process revisited”, Journal of Financial and Quantitative Analysis, vol.27, pp.1–18.
[59]Menkhoff, L., and Taylor, M. P., 2007, “The obstinate passion of foreign exchange professionals: Technical analysis”, Journal of Economic Literature, vol.45(4), pp.936-972.
[60]Meric, I. and Meric, G., 1989, “Potential gains from international portfolio diversification and inter-temporal stability and seasonality in international stock market relationships”, Journal of Banking and Finance, vol.13, pp.627-640.
[61]Mishra A. and Mishra, V., 2010, “Is the Indian stock market efficient? Evidence from a TAR model with an autoregressive unit root”, Applied Economics Letters, pp.1-6.
[62]Munir, Q. and Mansur, K., 2009, “Is Malaysian stock market efficient? Evidence from threshold unit root tests”, Economic Bulletin, vol. 29, pp.1372-1383.
[63]Narayan, P. K., 2005, “Are the Australian and New Zealand stock prices nonlinear with a unit root?”, Applied Economics, vol.37, pp.2161-2166.
[64]Narayan, P. K., 2006, “The behavior of US stock prices: Evidence from a threshold autoregressive model”, Mathematics and Computers in Simulation, vol.71, pp.103-108.
[65]Narayan, P. K., 2008, “Do shocks to G7 stock prices have a permanent effect? Evidence from panel unit root tests with structural change”, Mathematics and Computers in Simulation, vol.77, pp.369-373.
[66]Narayan, P., and Smyth, R., 2005, “Are OECD stock prices characterized by a random walk? Evidence from sequential trend break and panel data models”, Applied Financial Economics, vol.15(8), pp.547-56.
[67]Narayan, P., and Smyth, R., 2006, “Random walk versus multiple trend breaks in stock prices: Evidence from fifteen European markets”, Applied Financial Economics Letters, vol.2(1), pp.1-7.
[68]Narayan, P., and Prasad, A., 2007, “Mean reversion in stock prices: New evidence from panel unit root tests for seventeen European countries”, Economics Bulletin, vol.3, pp.1-6.
[69]Nelson, C. and Plosser, C., 1982, “Trends and random walks in macroeconomic time series”, Journal of Monetary Economics, vol.10, pp.139– 162.
[70]Newey, W. K. and West, K. D., 1987, “A simple positive definite heteroskedasticity and autocorrelation consistent covariance matrix”, Econometrica, vol.55, pp.703-708.
[71]Ozdemir, Z. A., 2008,”Efficient market hypothesis: evidence from a small open-economy”, Applied Economics, vol.40, pp.633–641.
[72]Perron, P., 1989, “The great crash, the oil price shock, and the unit root hypothesis”, Econometrica , vol.57, pp.1361−1401.
[73]Phylaktis, K. and Ravazzolo, F., 2005, “Stock market linkages in emerging markets: implication for international portfolio diversification”, Journal of International Financial Markets, Institutions and Money, vol.15, pp.91-106.
[74]Phillips, P. and Perron, P., 1988, “Testing for a unit root in time series regression”, Biometrika, vol. 75, pp. 335-346.
[75]Poterba, J. M., and L. H. Summers, 1988, “Mean reversion in stock prices: Evidence and implications”, Journal of Financial Economics, vol.22, pp.27–59.
[76]Qian, X. Y., Song, F. T. and Zhou, W. X., 2008, “Nonlinear behaviour of the Chinese SSEC index with a unit root: Evidence from threshold unit root tests”, Physica A: Statistical Mechanics and its Applications, vol.387, pp.503–510.
[77]Rahman A. and Saadi S., 2008, “Random walk and breaking trend in financial series: An econometric critique of unit root tests”, Review of Financial Economics, vol.17, pp.204–212.
[78]Richardson, M. and Stock, J. H., 1989, “Drawing inferences from statistics based on multiyear asset returns”, Journal of Financial Economics, vol.25, pp.323–348.
[79]Richardson, M., 1993, “Temporary components of stock prices: A skeptics view”, Journal of Business and Economic Statistics, vol.11, pp.199–207.
[80]Reitz, S., and Taylor, M. P., 2008, “The coordination channel of foreign exchange intervention: A nonlinear microstructure analysis”, European Economic Review, vol.52(1), pp.55-76.
[81]Roger, J., 1994, “Entry barries and price movements between major and emerging stock markets”, Journal of Macroeconomics, vol. 16, pp. 221– 241.
[82]Shively, P. A., 2003, “The nonlinear dynamics of stock prices”, Quarterly Review of Economics and Finance, vol. 43, pp.505-517.
[83]Singh, A., 1997, “Financial liberalisation, stock markets, and economic development”, The Economic Journal, vol.107, pp.771–82.
[84]Solnik, B., 1974, “The international pricing: A empirical investigation of the world capital market structure”, Journal of Finance, vol.29, pp. 365-378.
[85]Tan, S.-H., Habibullah, M.-S. and Khong, R.-W.-L., 2010, “Non-linear unit root properties of stock prices: Evidence from India, Pakistan and Sri Lanka”, Economics Bulletin, vol.30, pp.274-281.
[86]Taylor, A. M., and Taylor, M. P., 2004, “The purchasing power parity debate”, Journal of Economic Perspectives, vol.18(4), pp.135-58.
[87]Taylor, M. P. and Peel, D. A., 2000, “Nonlinear adjustment, long-run equilibrium and exchange rate fundamentals”, Journal of International Money and Finance, vol.19, pp. 33–53.
[88]Taylor, M. P., Peel, D. A. and Sarno, L., 2001, “Nonlinear mean reversion in real exchange rates: Towards a solution to the purchasing power puzzles”, International Economics Review, vol.42, pp. 1015–1042.
[89]Taylor, M. P. and Tonks, I., 1989, “The internationalization of stock markets and the abolition of UK exchange control”, Review of Economics and Statistics, vol.71, pp.332– 336.
[90]Urrutia, J. L., 1995, “Test of random walk and market efficiency for Latin American emerging equity markets”, Journal of Financial Research, vol.18, pp.299-309.
[91]Watson, J., 1978, “A study of possible gains from international investment”, Journal of Business Finance and Accounting, vol.5, pp.195-205.
[92]Zhu Z., 1998, “The random walk of stock prices: Evidence from a panel of G7 countries”, Applied Economics Letters, vol.5, pp.411–413.
[93]Zivot, E. and Andrews, D. W. K., 1992, “Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis”, Journal of Business and Economic Statistics, vol.10, pp. 251−270.