This article studies the international integration of twelve Eastern Europe Stock Markets and two Middle East Stock Markets. It is commonly accepted that the returns in these markets have a low correlation with the other markets, which means that they are still weakly integrated in the world...

We estimate the long-run relationships among NAFTA capital market returns and then calculate the weights of a “time-varying minimum variance portfolio†that includes the Canadian, Mexican, and USA capital markets between March 2007 and March 2009, a period of intense turbulence in...

The present study examines the relationship between Turkey’s stock market and the stock markets of the EU Mediterranean countries using various econometric techniques. Covering the period from 01.07.2002 to 01.03.2010 and consisting of 1922-day data, the study found that there is a...

In the recent times rapid reforms made the worldl into a global village in nature and in terms of efficiency, transparency. The information flow in one market may affect the other markets in the world, because of its integration. In this regard, this paper explores the objective whether there is...

In the recent times rapid reforms made the worldl into a global village in nature and in terms of efficiency, transparency. The information flow in one market may affect the other markets in the world, because of its integration. In this regard, this paper explores the objective whether there is...

We analyze the dynamics of price jumps and the impact of the European debt crisis using the high-frequency data reported by selected stock exchanges on the European continent during the period January 2008 to June 2012. We employ two methods to identify price jumps: Method 1 minimizes the...

We analyze the behavior and performance of multiple price jump indicators across markets and over time. By using high-frequency stock market data we identify clusters of price jump indicators that share similar properties in terms of their performance in that they minimize Type I and Type II...

We investigate the role of jumps in transmitting volatility between foreign exchange markets (Engle, Ito, and Lin, 1990; Melvin and Peiers Melvin, 2003; Cai, Howorka, and Wongswan, 2008). We show that recently developed estimators have very different implications for the impact of jumps on exchange rate...

This paper provides the first comprehensive analysis of the dynamic relationships between the South African and major world equity markets during May 1988 - May 2000. Using a multivariate cointegration framework and vector error-correction modeling the results indicate that there is a long-run...