This paper examines the differences in the asset return comovement of the BRIC countries (Brazil, Russia, India and China), the other developed economies in their regions (Canada, Hong Kong and Australia) and the major industrialized economies (the U.K., Germany and Japan) with respect to the...

I examine equity flows between the US and the euro area and their impact on the euro-dollar exchange rate. I explain equity flows by examining the behavior of an international investor who maintains a minimum variance portfolio. An excess of euro area equity returns over US equity returns...

This study examines changes in the impact of the economic fundamentals on the euro-dollar exchange rate. First, the monetary model is augmented with the equity markets and the model is estimated in its structural form. Second, the time-varying impacts of the long-run fundamentals representing...

This paper employs a panel unit root test for the real exchange rates of 13 EU member countries. The estimation period covers the EMS period from 1980:1 to 1992:2 In contrast with the earlier panel unit root studies concerning purchasing power parity (PPP), effective real exchange rates are...

This study evaluates stock market integration between the USA, UK, Germany, Japan and Finland from the point of view of the international investor. Several definitions of convergence were employed all of which yielded a slightly different inference on integration. First, evidence on long-run...

This study examines the impacts of liquidity on equity returns in the euro area during the period 1987-2001. The main contribution of the study is that the money demand is carefully considered while estimating the liquidity. We provide evidence that in part the impact of money on equity returns...