The two major banks in Cyprus - Bank of Cyprus and Laiki Popular Bank - have lost more than 4 billion EUR because of their exposure to the Greek bond market. In this paper, we look at how the European Union has responded to banking and financial problems that have affected Cyprus since the end...

The European institutions have failed on the Cyprus issue, the opportunity to establish their credibility with it. Not only they have not benefited from the modesty of the Cyprus problem to show how they could prevent systemic risks grow in the euro area, but they additionally led an action...

This article investigates the dynamics of regional financial integration and its determinants in an international setting. We test a conditional version of the international capital asset pricing model (ICAPM) accounting for the deviations from purchasing power parity (PPP) as well as temporal...

Two integrated financial markets are generally subjected to common shocks revealing that commonalities in funda- mentals drive the underlying return processes. In such a case, volatilities should share a long-run component although their transitory

Over recent years, several emerging market regions have actively taken part in globalisation movements and world market integration. However, the financial integration processes appear to vary over time, and differ considerably from one region to another. This paper investigates intraregional...

This paper attempts to evaluate the time-varying integration of emerging markets from a regional perspective, by using a conditional version of the international capital asset pricing model (ICAPM) allowing for dynamic changes in the degree of market integration, global market risk premium,...

This article contributes to the literature on stock market integration by developing and estimating a capital asset pricing model with segmentation effects in order to assess stock market segmentation and its effects on risk premia at the regional level.

We contribute to the finance literature in two main ways. First, we present a theoretical capital asset pricing model (CAPM) to price assets in different market structures. Second, we use our model to analyze whether when markets are partially segmented

This paper employs a conditional version of the International Capital Asset Pricing Model (ICAPM) to investigate the determinants of regional integration of stock markets in the Latin America over the period 1996-2008. This model allows for three sources of time-varying risks: common regional...

In this paper we test for the existence of equity market contagion originating from the United States to OECD markets over the period from 01/01/1990 to 01/11/2010 characterized by several episodes of financial crises. Our empirical analysis relies on the use of an ICAPM model which has three...