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Stock market integration between three CEECs, Russia and the UK
Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010
Central and Eastern European countries (CEECs), specifically the Czech Republic, Hungary, and Poland, and both the UK and … Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by … testing for possible shifts in the transmission of volatility following the introduction of the euro and EU accession. Further …
Persistent link: https://www.econbiz.de/10010270472
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Liberalization and Stock Market Co-Movement between Emerging Economies
Beine, Michel A. R.; Candelon, Bertrand - 2021
reforms which aim at opening these countries to trade and financial channels to the rest of the world. The estimation of time …
Persistent link: https://www.econbiz.de/10013316796
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Financial Integration in the GCC Region : Market Size Versus National Effects
Arin, K. Peren - 2019
in the volatility, from the largest market of Saudi Arabia to Qatar and the two markets in the UAE, which confirms that …
Persistent link: https://www.econbiz.de/10012867875
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Gold and Silver as Safe Havens : A Fractional Integration and Cointegration Analysis
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2022
This paper investigates whether gold and silver can be considered safe havens by examining their long-run linkages with 22 stock price indices. More specifically, the stochastic properties of the differential between gold/silver prices and 22 stock indices are analysed applying fractional...
Persistent link: https://www.econbiz.de/10014241989
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The Impact of Business and Political News on the GCC Stock Markets
Al-Maadid, Alanoud - 2019
This paper investigates the impact of business and political news on stock market returns in the Gulf Cooperation Council (GCC) countries. For this purpose, it employs a Markov switching model including a separate index for each of the two categories of news considered. The results indicate the...
Persistent link: https://www.econbiz.de/10012892232
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Stock Market Linkages between the ASEAN Countries, China and the Us : A Fractional Cointegration Approach
Caporale, Guglielmo Maria - 2019
This paper examines stock market integration between the ASEAN five and the US and China, respectively, over the period from November 2002 to March 2018. The linkages between both aggregate and financial sector stock indices (both weekly and monthly) are analysed using fractional integration and...
Persistent link: https://www.econbiz.de/10012891049
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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
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Liberalization and stock market co-movement between emerging economies
Beine, Michel; Candelon, Bertrand - 2007
reforms which aim at opening these countries to trade and financial channels to the rest of the world. The estimation of time …
Persistent link: https://www.econbiz.de/10010264238
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Financial integration, globalization, and real activity
De Nicolò, Gianni; Juvenal, Luciana - 2012
associated with higher growth, lower growth volatility, and lower probabilities of severe declines in real activity. Advances in …
Persistent link: https://www.econbiz.de/10010280851
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Equity Risk Premium and Regional Integration
Arouri, Mohamed El Hedi; Teulon, Frédéric; Rault, … - 2013
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 show that the estimated degrees of...
Persistent link: https://www.econbiz.de/10010292697