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Stock Market Integration and International Portfolio Diversification between U.S. and ASEAN Equity Markets
Ardliansyah, Rifqi - Volkswirtschaftliche Fakultät, … - 2012
The paper empirically analyzes stock market integration and the benefit possibilities of international portfolio diversification across the Southeast Asia (ASEAN) and U.S. equity markets. It employs daily sample of 6 ASEAN equity market indices and S&P 500 index as a proxy of U.S. market index...
Persistent link: https://www.econbiz.de/10011257815
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Assessing Time-Varying Stock Market Integration in EMU for Normal and Crisis Periods
Sehgal, Sanjay; Gupta, Priyanshi; Deisting, Florent - Volkswirtschaftliche Fakultät, … - 2014
In this paper, we examine the financial integration process amongst 17 EMU countries from January 2002 to June 2013 over a normal period as well as for the Global Financial Crisis (GFC) and Eurozone Debt Crisis (EDC) periods. We classify the economies in three groups (A, B and C) based on their...
Persistent link: https://www.econbiz.de/10011272696
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Sovereign Credit Ratings, Transparency and International Portfolio Flows
Gande, Amar; Parsley, David - Volkswirtschaftliche Fakultät, … - 2010
We examine the response of equity mutual fund flows to sovereign rating changes in a wide sample of countries during the crisis prone years from 1996-2002. We find that Sovereign downgrades are strongly associated with outflows of capital from the downgraded country while improvements in a...
Persistent link: https://www.econbiz.de/10008592977
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In Search of Market Index Leaders: Evidence from World Financial Markets
Canegrati, Emanuele - Volkswirtschaftliche Fakultät, … - 2008
This paper investigates the presence of Granger-causality amongst world market indices: S&P 500, Dow Jones Industrial Average, Eurostoxx 50, Nikkei, FTSE 100, from January 2nd 1987 to October 17th 2008. Using daily market returns I performed a Granger-causality test, based on the Vector...
Persistent link: https://www.econbiz.de/10005621659
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Indian Capital Control Liberalization: Evidence from NDF Markets
Hutchison, Michael; Kendall, Jake; Pasricha, Gurnain; … - Volkswirtschaftliche Fakultät, … - 2010
forward (NDF) market. Then, using the self-exciting threshold autoregression methodology, we estimate a no-arbitrage band … deviations from CIP follow a random walk process. Outside the bands, profitable arbitrage opportunities exist and we estimate an … effectively restricting inflows; (3) arbitrage activity closes deviations from CIP when the threshold boundaries are exceeded in …
Persistent link: https://www.econbiz.de/10008565112
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Real Financial Integration among the East Asian Economies: A SURADF Panel Approach
Chan, Tze-Haw; Baharumshah, Ahmad Zubaidi; Lau, Evan - Volkswirtschaftliche Fakultät, … - 2005
To testify RIP, this study scrutinizes the mean-reversion behavior of bilateral real interest differentials (RIDs) in eight East Asian economies. We incorporate the ASEAN-5, South Korea and China (mainland) with the US and Japan taken as base countries. Four sub-samples within 1976-2004 are...
Persistent link: https://www.econbiz.de/10005835463
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Convergence of EMU Equity Portfolios
Giofré, Maela; M. - Volkswirtschaftliche Fakultät, … - 2008
This paper demonstrates that, after integration, equity portfolios of countries that joined the European Monetary Union have converged at faster rate than those of NON EMU countries. This outcome canbe interpreted as a combination of the convergence of inflation rates and the convergence of...
Persistent link: https://www.econbiz.de/10005835584
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Indian Capital Control Liberalization: Evidence from NDF Markets
Hutchison, Michael; Kendall, Jake; Pasricha, Gurnain Kaur; … - Volkswirtschaftliche Fakultät, … - 2009
no-arbitrage band width whose boundaries are determined by transactions costs and capital controls. Inside of the bands …, small deviations from CIP follow a random walk process. Outside the bands, profitable arbitrage opportunities exist and we … adjustment (above and below the band thresholds), which may vary depending on how arbitrage activity is constrained by capital …
Persistent link: https://www.econbiz.de/10005836349
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EMU Effects on Stock Markets: From Home Bias to Euro Bias
Giofré, Maela; M. - Volkswirtschaftliche Fakultät, … - 2008
The shift of perspective from a national basis to a Euro area basis, inevitably induced by EMU, has led member countries to a parallel shift from equity home bias to equity Euro bias. We interpret this evidence by means of a standard mean-variance portfolio selection model modified in order to...
Persistent link: https://www.econbiz.de/10005837092
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Integracja finansowa w Europie po wprowadzeniu euro. Przegląd literatury
Gajewski, Krzysztof; Olszewski, Krzysztof; Pawłowska, … - Volkswirtschaftliche Fakultät, … - 2012
The introduction of the euro was one of the most important events in the process of European integration, especially in the financial sector. However, next to its many advantages, the joint currency and single monetary policy increased the probability of property bubbles in the EU low income...
Persistent link: https://www.econbiz.de/10011259716