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Global and regional spillovers in emerging stock markets : a multivariate GARCH-in-mean analysis

Beirne, John; Caporale, Guglielmo Maria; … - 2009

This paper examines global (mature market) and regional (emerging market) spillovers in local emerging stock markets. Tri-variate VAR GARCH(1,1)-in-mean models are estimated for 41 emerging market economies (EMEs) in Asia, Europe, Latin America, and the Middle East. The models capture a range of...

Persistent link: https://www.econbiz.de/10010265964

Stock market integration between three CEECs, Russia and the UK

Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010

Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by … evidence on possible changes in the transmission mechanism (namely, on whether there is contagion) can be obtained by examining … spillovers between the three CEECs considered and the UK (contagion). …

Persistent link: https://www.econbiz.de/10010270472

Liberalization and stock market co-movement between emerging economies

Beine, Michel; Candelon, Bertrand - 2007

In this paper, we investigate the impact of trade and financial liberalization on the degree of stock market co-movement among emerging economies. Using a sample of 25 developing countries observed over 15 years, we estimate the impact of reforms which aim at opening these countries to trade and...

Persistent link: https://www.econbiz.de/10010264238

Capital flight: China's experience

Cheung, Yin-Wong; Qian, Xingwang - 2010

We study the empirical determinants of China's capital flight. In addition to the covered interest differential, our empirical exercise includes a rather exhaustive list of macroeconomic variables and a few institutional factors. Overall, our regression exercise shows that China's capital flight...

Persistent link: https://www.econbiz.de/10010271971

The crisis in the foreign exchange market

Melvin, Michael; Taylor, Mark P. - 2009

The financial crisis of 2007-2008 had major implications for the foreign exchange market. We review events and implications for exchange rates, volatility, returns to currency investing, and transaction costs. This blow-by-blow" narrative is intended to be a resource for researchers seeking a...

Persistent link: https://www.econbiz.de/10010266026

Testing for convergence in stock markets : a non-linear factor approach

Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, … - 2009

This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as the US over the period 1973-2008. We carry out the...

Persistent link: https://www.econbiz.de/10010274514

How has the European Monetary Integration Process Contributed to Regional Financial Market Integration?

Reszat, Beate - 2003

European monetary integration was one element in the process of financial market integration but by far not the only one. The paper traces the development of financial markets and systems in Europe from the beginnings of the euromarkets in the 1950s over early exchange rate arrangements and the...

Persistent link: https://www.econbiz.de/10010295472

How national and international financial development affect industrial R&D

Maskus, Keith E.; Neumann, Rebecca; Seidel, Tobias - 2011

We examine the impacts of both domestic and international financial market development on R&D intensities in 22 manufacturing industries in 18 OECD countries for the period 1990- 2003. We take account of such industry characteristics as the need for external financing and the amount of tangible...

Persistent link: https://www.econbiz.de/10010274899

Cross-Border Securities Clearing and Settlement Infrastructure in the European Union as a Prerequisite to Financial Markets Integration: Challenges and Perspectives

de Carvalho, Cynthia Hirata - 2004

The importance of an efficient securities clearing and settlement system lies on the safer transfer of ownership of assets against payment. Such a system must be developed in a way to minimize the risks involved on securities transactions, and it must still offer lower costs, which do not hinder...

Persistent link: https://www.econbiz.de/10010295420

Renminbising China's foreign assets

Cheung, Yin-Wong; Ma, Guonan; McCauley, Robert N. - 2010

Since the 2008 global financial crisis, China has rolled out a number of initiatives to actively promote the international role of the renminbi and to denominate more of its international claims away from the US dollar and into the renminbi. This paper discusses the factors shaping the prospects...

Persistent link: https://www.econbiz.de/10010270641