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Cointegration of International Stock Market Indices
Chou, Ray Yeutien - 1994
In this paper, we derive evidence on the integration of international stock markets from the cointegration properties of international stock market prices. Using the multivariate cointegration test of Johansen, we find that the set of six country stock price indices, including that of the United...
Persistent link: https://www.econbiz.de/10014395829
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Limits to private climate change mitigation
Elmalt, Dalya; Igan, Deniz; Kirti, Divya - 2021
world. Discouragingly, our analysis uncovers at best a weak relationship: firms with better ESG scores do display somewhat … governance (ESG) concerns as part of the way forward. To assess scope for ESG-conscious investing to achieve climate change goals …, we explore the link between emissions growth and ESG scores using firm-level data for the largest emitters around the …
Persistent link: https://www.econbiz.de/10012605057
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How green are green debt issuers?
Schmittmann, Jochen Markus; Teng, Chua Han - 2021
Green debt markets are rapidly growing while product design and standards are evolving. Many policymakers and investors view green debt as an important component in the policy mix to achieve the transition to a low carbon economy and ensure the pricing of climate risks. Our analysis contributes...
Persistent link: https://www.econbiz.de/10012605577
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Go Long or Short in Pyramids? : News From the Egyptian Stock Market
Massa, Isabella - 2007
Similar to other emerging economies, the Egyptian stock market has recently experienced a remarkable run-up but also a major downturn. This paper analyzes the stock market from two angles. First, it compares the performance of the major stock price index with its underlying fundamentals. Second,...
Persistent link: https://www.econbiz.de/10014401258
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Responses of the Stock Market to Macroeconomic Announcements Across Economic States
Hu, Frederick Zu-liu - 1998
Is the stock market responsive to macroeconomic news? This paper employs the daily returns of the Dow Jones Industrial Index, the S&P 500 index, the Russell 1000 index, and the Russell 2000 index to examine stock market reactions to a broad list of macroeconomic announcements, including money...
Persistent link: https://www.econbiz.de/10014401312
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The Role of Stock Markets in Current Account Dynamics : A Time Series Approach
Mercereau, Benoît - 2004
This paper develops a simple model to study the impact of stock markets on the current account. A closed-form solution for the current account is derived from the optimal portfolio and consumption/saving choices of a representative agent. Formally, the model can be seen as a stock...
Persistent link: https://www.econbiz.de/10014402005
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The Role of Stock Markets in Current Account Dynamics : Evidence From the United States
Mercereau, Benoît - 2003
This paper tests a model of the role of stock markets in current account dynamics, developed in a companion paper. With U.S. data, the model performs better than the same model without stock markets. An insight given by the model is that the current account might help predict future stock market...
Persistent link: https://www.econbiz.de/10014401280
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The external impact of China's exchange rate policy : evidence from firm level data
Eichengreen, Barry; Tong, Hui - 2011
Persistent link: https://www.econbiz.de/10009424815
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Additions to market indices and the comovement of stock returns around the world
Claessens, Stijn; Yāfe, Yišay - 2011
Persistent link: https://www.econbiz.de/10009487130
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Exchange Rate Movements and International Interdependence of Stock Markets
International Monetary Fund - 1989
This paper investigates linkages between stock markets in seven industrialized countries since 1974. Empirical evidence shows that both nominal and real stock prices (and returns) are strongly positively correlated across countries, and that nominal exchange rate changes do not have systematic...
Persistent link: https://www.econbiz.de/10014396348