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Stock Market Integration between three CEECs, Russia and the UK
Caporale, Guglielmo Maria; Spagnolo, Nicola - CESifo - 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/10008583722
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Bank Bailouts, International Linkages and Cooperation
Niepmann, Friederike; Schmidt-Eisenlohr, Tim - CESifo - 2011
intervention have stronger effects beyond borders. We provide a model of international contagion allowing for bank bailouts. While …
Persistent link: https://www.econbiz.de/10008872219
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Dutch Disease Scare in Kazakhstan : Is it Real?
Égert, Balázs; Scott Leonard, Carol - 2021
In this paper we explore the evidence that would establish that Dutch disease is at work in, or poses a threat to, the Kazakh economy. Assessing the mechanism by which fluctuations in the price of oil can damage non-oil manufacturing and thus long-term growth prospects in an economy that relies...
Persistent link: https://www.econbiz.de/10013317109
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Facts or Ideology : What Determines the Results of Econometric Estimates of the Deterrence Effect of Death Penalty? A Meta-Analysis
Gerritzen, Berit - 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/10013084011
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Equity Risk Premium and Regional Integration
Arouri, Mohamed El Hedi - 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/10013084013
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Market Structure and the Cost of Capital
Arouri, Mohamed El Hedi - 2013
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 using the local or the global CAPM yields...
Persistent link: https://www.econbiz.de/10013086974
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Financial Integration, Globalization, and Real Activity
De Nicolo, Gianni - 2013
Using data for a large number of advanced and emerging market economies during 1982-2009, this paper examines the distinct impact of financial integration and globalization on several dimensions of real activity. We find that: financial integration has progressed significantly worldwide,...
Persistent link: https://www.econbiz.de/10013091562
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How National and International Financial Development Affect Industrial R&D
Maskus, Keith E. - 2013
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/10013092838
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Macro News and Commodity Returns
Caporale, Guglielmo Maria - 2015
This paper adopts a VAR-GARCH approach to model the dynamic linkages between both the mean and the variance of macro news and commodity returns (Gold, Corn, Wheat, Soybeans, Silver, Platinum, Palladium, Copper, Aluminium and Crude Oil) over the period 01/01/2001-26/09/2014. The chosen...
Persistent link: https://www.econbiz.de/10013012526
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Macro News and Stock Returns in the Euro Area : A VAR-GARCH-in-Mean Analysis
Caporale, Guglielmo Maria - 2014
This paper analyses the effects of newspaper coverage of macro news on stock returns in eight countries belonging to the euro area (Belgium, France, Germany, Greece, Ireland, Italy, Portugal and Spain) using daily data for the period 1994-2013. The econometric analysis is based on the estimation...
Persistent link: https://www.econbiz.de/10013048822