. Country factors are smaller for countries integrated in world financial markets and have declined as the degree of financial …

therefore their stability. Transaction patterns also determine the correlation between prices and consumption, which in turn …

volatility. This paper focuses on extreme correlation, that is to say the correlation between returns in either the negative or … not for the positive tail. We also find that correlation is not related to market volatility per se but to the market …Testing the hypothesis that international equity market correlation increases in volatile times is a difficult exercise …

, if investors have incomplete information about new emerging markets, and learn over time, there can be high volatility of …

resulting volatility can induce risk-averse transactors who face transaction costs to desert these markets altogether. Thus … thinness and the consequent price volatility may become joint self-perpetuating features of an equity market, whatever the … volatility of asset fundamentals. If, however, appropriate incentive schemes are adopted to encourage entry of additional …

This paper considers the evidence for volatility clustering and transmission in six bilateral Deutsche mark ERM … given by the two distributions, each observation is classified to one or other category. The phenomenon of volatility … clustering in a given bilateral exchange rate series is then studied by means of a non-parametric test, while volatility …

. Its reverberations, however, were felt around the world and nowhere more keenly than in Western Europe. While North … nature of US financial markets creates uniquely large spillovers to the rest of the world even in normal times, and these …