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The European Union, the Euro, and Equity Market Integration
Bekaert, Geert - 2010
equity market integration in Europe. We use a simple and essentially model free measure of bilateral market segmentation: two … even after we control for several possible channels of integration, such as bilateral trade, direct investment positions … the Euro adoption has minimal effects on market integration …
Persistent link: https://www.econbiz.de/10013135396
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Volatiltiy and Links between National Stock Markets
King, Mervyn - 2010
The empirical objective of this study is to account for the time-variation the covariances between markets. Using data on sixteen national stock markets, we estimate a multivariate factor model in which the volatility of returns is induced by changing volatility in the orthogonal factors. Excess...
Persistent link: https://www.econbiz.de/10013138394
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Financial Integration : A New Methodology and an Illustration
Flood, Robert P. - 2010
This paper develops a simple new methodology to test for asset integration and applies it within and between American …
Persistent link: https://www.econbiz.de/10012762798
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Shared Analyst Coverage : Unifying Momentum Spillover Effects
Hirshleifer, David A. - 2018
Identifying stock connections by shared analyst coverage, we find that a connected-stock (CS) momentum factor generates a monthly alpha of 1.68% (t = 9.67). In spanning regressions, the alphas of industry, geographic, customer, customer/supplier industry, single- to multi-segment, and technology...
Persistent link: https://www.econbiz.de/10012908821
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Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets
Diebold, Francis X. - 2010
We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, we formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates study of both non-crisis and crisis episodes,...
Persistent link: https://www.econbiz.de/10012759516
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Migration, Spillovers,And Trade Diversion : The Impact of Internationalization on Stock Market Liquidity
Levine, Ross; Schmukler, Sergio L. - 2021
What is the impact of firms that cross-list, issue depositary receipts, or raise capital in international stock markets on the liquidity of remaining firms in domestic markets? Using a panel of over 3,200 firms from 55 countries during 1989-2000, we find that internationalization reduces the...
Persistent link: https://www.econbiz.de/10013234046
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Information, Analysts, and Stock Return Comovement
Hameed, Allaudeen - 2010
We examine information spillover as a source of stock return synchronicity, where information about highly-followed "prominent" stocks is used to price other "neglected" stocks sharing a common fundamental component. We find that stocks followed by few analysts co-move significantly with...
Persistent link: https://www.econbiz.de/10013146492
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Subsidies and the African Green Revolution : Direct Effects and Social Network Spillovers of Randomized Input Subsidies in Mozambique
Carter, Michael - 2019
-Saharan Africa. We study the first randomized controlled trial of a government-implemented input subsidy program (ISP) in Africa. A …
Persistent link: https://www.econbiz.de/10012863691
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Central Bank Digital Currency : Central Banking for All?
Fernández-Villaverde, Jesús - 2020
The introduction of a central bank digital currency (CBDC) allows the central bank to engage in large-scale intermediation by competing with private financial intermediaries for deposits. Yet, since a central bank is not an investment expert, it cannot invest in long-term projects itself, but...
Persistent link: https://www.econbiz.de/10012841420
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The Digital Privacy Paradox : Small Money, Small Costs, Small Talk
Athey, Susan - 2017
'Notice and Choice' has been a mainstay of policies designed to safeguard consumer privacy. This paper investigates distortions in consumer behavior when faced with notice and choice which may limit the ability of consumers to safeguard their privacy using field experiment data from the MIT...
Persistent link: https://www.econbiz.de/10012954461