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Rigobon, Roberto - 2001

The empirical literature on contagion has mainly measured the propagation of shocks across countries using daily stock markets, interest rates, and exchange rates. Several methodologies have been used for this purpose, however, the properties of the data introduces important limitations on the...

Persistent link: https://www.econbiz.de/10012470611

Natural Openness and Good Government

Wei, Shang-Jin - 2000

This paper offers a new interpretation of the connection between openness and good governance. Assuming that corruption and bad governance drive out international trade and investment more than domestic trade and investment, a naturally more open economy' as determined by its size and geography...

Persistent link: https://www.econbiz.de/10012470985

On the Measurement of the International Propagation of Shocks

Rigobon, Roberto - 1999

In this paper I offer an alternative identification assumption that allows one to test for changing patterns regarding the international propagation of shocks when endogenous variables, omitted variables, and heteroskedasticity are present in the data. Using this methodology, I demonstrate that...

Persistent link: https://www.econbiz.de/10012471430

Dating the Integration of World Equity Markets

Bekaert, Geert - 1998

Measuring the integration of world capital markets is notoriously difficult. For example, regulatory changes which … equity market becomes financially integrated with world capital markets. We find endogenous break dates that are very … markets are on average larger and more liquid than before; returns are more volatile and more highly correlated with the world …

Persistent link: https://www.econbiz.de/10012472089

Fundamental Determinants of National Equity Market Returns : A Perspective on Conditional Asset Pricing

Ferson, Wayne E. - 1996

This paper provides a global asset pricing perspective on the debate over the relation between predetermined attributes of common stocks, such as ratios of price-to-book-value, cash-flow, earnings, and other variables to the future returns. Some argue that such variables may be used to find...

Persistent link: https://www.econbiz.de/10012472968

Anticipations of Foreign Exchange Volatility and Bid-Ask Spreads

Wei, Shang-Jin - 1994

The paper studies the effect of the market's perceived exchange rate volatility on bid-ask spreads. The anticipated volatility is extracted from currency options data. An increase in the perceived volatility is found to widen bid-ask spreads. The direction of the effect is consistent with an...

Persistent link: https://www.econbiz.de/10012474188

What Determines Expected International Asset Returns?

Harvey, Campbell R. - 1994

expected return on the world market portfolio. However, the inclusion of this premium alone is not sufficient to explain the …

Persistent link: https://www.econbiz.de/10012474276

Conditional Asset Allocation in Emerging Markets

Harvey, Campbell R. - 1994

Within the context of conditional asset allocation strategies, this paper explores the implications of the low correlations of the emerging market returns with developed market returns and the relatively high degree predictability of emerging countries' returns. It is well known that low...

Persistent link: https://www.econbiz.de/10012474311

Sources of Risk and Expected Returns in Global Equity Markets

Ferson, Wayne E. - 1994

unconditional mean- variance efficiency of a world market portfolio, our evidence indicates that the tests are low in power, and the … world market betas do not provide a good explanation of cross-sectional differences in average returns. Multiple beta models …

Persistent link: https://www.econbiz.de/10012474312

An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns

Ferson, Wayne E. - 1993

This paper studies average and conditional expected returns in national equity markets, and their relation to a number of fundamental country attributes. The attributes are organized into three groups. The first is relative valuation ratios, such as price-to-book-value, cash-flow, earnings and...

Persistent link: https://www.econbiz.de/10012474345

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