This paper presents a joint investigation of the international parity conditions between China and her 13 major trading partners in the Asia Pacific over globalization era. Several advanced tests of unit root for univariate and panel series are utilized in the analyses. Our findings reveal that...

This paper measures the extent of financial integration and interdependence among Asian equity markets over the period January 1993 to June 2006 using daily data. The analysis includes three developed markets (Hong Kong, Japan and Singapore) and eight emerging markets (China, India, Indonesia,...

This paper measures financial integration among selected European Union equity markets over the period July 1990 to June 2006 using daily data. Eleven markets (Austria, Belgium, Denmark, France, Germany, Greece, Ireland, Italy, Netherlands, Spain and the United Kingdom) are included in the...

This paper revisits the debate on the financial stability implications of the liberalization process dynamics. We hold that the financial liberalization effect on exchange pressures changes beyond some threshold degrees. Therefore, we assess the ability of the threshold models to gauge financial...

The adverse effect of financial crises upon the world's economies represented the background for the development of a wide economic literature on financial stability. The assessment of this phenomenon stands for a complex exercise, as many techniques can be used for this purpose. Such a...

In the wake of the recent currency turmoil, the determinants of financial crises have come to the forefront of academic and policy debates. Applied to the MENA region, the objective of this article is to estimate the likely impact of the dynamics of liberalization on the financial stability. The...

This paper empirically investigates the effect of returns in the US on the returns in Colombia during the period between the Black Friday and the Mortgage Crisis. Monthly data is used. A new method that is robust to non-normality and time-varying volatility is applied. Our empirical findings...

Using both panel and cross-sectional models for 28 industrialized countries observed from 2001 to 2009, we report a number of findings regarding the determinants of the volatility of returns on cross-border asset holdings (i.e., equity and debt). Greater portfolio concentration and an increase...

Two integrated financial markets are generally subjected to common shocks revealing that commonalities in funda- mentals drive the underlying return processes. In such a case, volatilities should share a long-run component although their transitory

Cross-border bank flows are experiencing a protracted contraction after the global financial crisis, in stark contrast with the recovery of other capital flows. The process can be driven by ongoing shifts in global banks international funding patters. Banks net issuances in international markets...