This paper analyzes the time-varying integration of the Greek stock market from a regional

Abstract This paper studies the regional stock market integration process. First, we estimate the time-varying world market risk price and the price of currency risk using an international CAPM with segmentation effects. Second, we study the time varying integration with Markov Switching Model....

The inability to effectively hedge against unfavourable exchange rate movements, using thecurrent forward exchange rate as the only guideline, is a key inhibiting factor of internationaltrade. Market participants use the current forward exchange rate quoted in the market to makedecisions...

This study tests an international extension of the Asset Pricing Model (CAPM) based on the coexistence of two risk causes. The first cause is linked to the market portfolio and the second one is required by expectations about the variation of exchange rates. Through an application to various...

This paper aims to study the Central and Eastern European Countries' (CEECs) dynamics of financial integration in the euro area with the prospect of their integration into the European Monetary Union. Our empirical analysis is based, successively, on a MGARCH model with time-varying...