Showing 1 - 10 of 194
Africa (MENA) CBs play an active role in view of their size that is very large with respect to their economies compared to … CBs in advanced economies. Second, under exchange rate targeting, most MENA CB balance sheets are asset-driven, holding …
Persistent link: https://www.econbiz.de/10011142073
In this paper, we examine returns in the Chinese A and B stock markets for evidence of calendar anomalies. We find that both cultural and structural (segmentation) factors play an important role in influencing the pricing of both A- and B-shares in China. There is some evidence of a February...
Persistent link: https://www.econbiz.de/10005768725
The announcement of the European Union enlargement coincided with a dramatic rise in stock prices in accession countries. This paper investigates the hypothesis that the rise in stock prices was a result of the repricing of systematic risk due to the integration of accession countries into the...
Persistent link: https://www.econbiz.de/10005768729
The literature stresses the importance of financial market characteristics in determining the supervisory architectures. In the real world it is not always clear to what extent market features are taken into account. We present two complementary approaches to gain insights in the above...
Persistent link: https://www.econbiz.de/10005768758
This paper investigates the role of creditor rights and information sharing in explaining why some financial markets in sub-Saharan Africa have remained shallow. The paper finds that while financial liberalization and macroeconomic stability promote financial deepening, they are not enough. For...
Persistent link: https://www.econbiz.de/10005768782
This paper, using T-GARCH models, finds that the United States has been the major source of price and volatility spillovers to stock markets in the Asian region during three different periods in the last decade: the pre-Long Term Capital Management crisis period, the "tech bubble" period, and...
Persistent link: https://www.econbiz.de/10005768786
This paper examines how emerging bond markets react to macroeconomic announcements. Global bond spreads respond to rating actions and changes in global interest rates rather than domestic data and policy announcements. All announcements affect market volatility. Data and policy announcements...
Persistent link: https://www.econbiz.de/10005768842
The paper presents an N-country model with stock markets, in which a closed-form solution for the real exchange rate is derived. Risky asset prices and allocation of risky assets among countries are determined endogenously. Such a framework allows an analysis of how fundamental parameters, such...
Persistent link: https://www.econbiz.de/10005768854
This paper proposes an integrated and risk-based approach to the sequencing and coordination of reforms to develop domestic financial markets. The paper argues that there is a hierarchy of financial markets that reflects the complexity of risks in each market and the interlinkages among markets....
Persistent link: https://www.econbiz.de/10005768863
The degree of comovement across national stock markets has increased dramatically since the mid-1990s. This has overturned a stylized fact in the international portfolio diversification literature that diversifying across countries is more effective for risk reduction than diversifying across...
Persistent link: https://www.econbiz.de/10005768890