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1
Correlated Beliefs, Returns, and Stock Market Volatility
David, Joel M.
-
2015
information-based model demonstrates that the
correlation
of beliefs implied by analyst forecasts leads to return correlations … broadly in line with the data, both in levels and across countries - the
correlation
between predicted and actual is 0.63. Our …
Persistent link: https://www.econbiz.de/10012457188
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2
Domestic Capital Market Reform and Access to Global Finance : Making Markets Work
Henry, Peter Blair
-
2003
Contrary to the predictions of standard economic theory, capital market liberalization has been a mixed blessing for many countries. Liberalization of debt inflows exposes economies to the risk of crises stemming from sudden changes in investor sentiment. Equity market liberalizations, on the...
Persistent link: https://www.econbiz.de/10012468630
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3
Financial Globalization, Financial Crises and Contagion
Mendoza, Enrique G.
-
2009
Two observations suggest that financial globalization played an important role in the recent financial crisis. First, more than half of the rise in net borrowing of the U.S. nonfinancial sectors since the mid 1980s has been financed by foreign lending. Second, the collapse of the U.S. housing...
Persistent link: https://www.econbiz.de/10012463217
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4
Emerging Market Crises : An Asset Markets Perspective
Caballero, Ricardo J.
-
1998
Although internal policy mismanagements can be cited in most recent emerging market crises, they seldom account fully for the severity of these crises. The reluctance of international investors to provide the resources that would limit the extent of the reversal almost invariably plays a key...
Persistent link: https://www.econbiz.de/10012471969
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5
Financial Globalization, Financial Crises, and the External Portfolio Structure of Emerging Markets
Mendoza, Enrique G.
-
2013
We study the short- and long-run effects of financial integration in emerging economies using a two-sector model with a collateral constraint on external debt and trading costs incurred by foreign investors. The probability of a financial crisis displays overshooting: It rises sharply initially...
Persistent link: https://www.econbiz.de/10012459589
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6
Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets
Diebold, Francis X.
-
2008
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/10012464836
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7
Comovement
Barberis, Nicholas
-
2002
A number of studies have identifed patterns of positive
correlation
of returns, or comovement, among different traded …
Persistent link: https://www.econbiz.de/10012469819
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8
The Lucas Orchard
Martin, Ian
-
2011
This paper investigates the behavior of asset prices in an endowment economy in which a representative agent with power utility consumes the dividends of multiple assets. The assets are Lucas trees; a collection of Lucas trees is a Lucas orchard. The model generates return correlations that vary...
Persistent link: https://www.econbiz.de/10012461095
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9
Alternative Models For Conditional Stock Volatility
Pagan, Adrian R.
-
1989
This paper compares several statistical models for monthly stock return volatility. The focus is on U.S. data from 1834-19:5 because the post-1926 data have been analyzed in more detail by others. Also, the Great Depression had levels of stock volatility that are inconsistent with stationary...
Persistent link: https://www.econbiz.de/10012476093
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10
Transmission of Volatility Between Stock Markets
King, Mervyn A.
-
1989
This paper investigates why, in October 1987, almost all stock markets fell together despite widely differing economic circumstances. The idea is that "contagion" between markets occurs as the result of attempts by rational agents to infer information from price changes in other markets. This...
Persistent link: https://www.econbiz.de/10012476144
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