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Are there asymmetries in the relationship between exchange rate fluctuations and stock market volatility in Pacific Basin countries?

Maghrebi, Nabil; Holmes, Mark J.; Pentecost, Eric J. - In: Review of Pacific Basin financial markets and policies 9 (2006) 2, pp. 229-256

Persistent link: https://www.econbiz.de/10003356483

A new test of international financial integration with application to the European Union

Holmes, Mark J.; Pentecost, Eric J. - 2007

Persistent link: https://www.econbiz.de/10003500768

Changes in the extent of financial interdependence between the G7 countries in the 1970s and 1980s

Holmes, Mark J.; Pentecost, Eric J. - 2007

Persistent link: https://www.econbiz.de/10003501600

Changes in the degree of financial integration within the European Community in the 1980s : some econometric tests

Holmes, Mark J. - In: Journal of economic studies 23 (1996) 2, pp. 4-17

Persistent link: https://www.econbiz.de/10001197066

A new test of international financial integration with application to the European Union

Holmes, Mark J.; Pentecost, Eric J. - In: Journal of economic integration 14 (1999) 1, pp. 1-12

Persistent link: https://www.econbiz.de/10001366307

The term structure of interest rates and financial integration in the ERM

Holmes, Mark J. - In: International journal of finance & economics : IJFE 2 (1997) 3, pp. 237-247

Persistent link: https://www.econbiz.de/10001227631

Changes in the exent of financial interdependence between the G7 countries in the 1970s and 1980s

Holmes, Mark J. - In: International economic journal 6 (1992) 4, pp. 95-105

Persistent link: https://www.econbiz.de/10001137725

Changes in the degree of financial integration within the European Community in the 1980s: Some econometric tests

Holmes, Mark J.; Pentecost, Eric J. - In: Journal of economic studies 23 (1996) 2, pp. 4-17

Persistent link: https://www.econbiz.de/10007621466

Are There Asymmetries in the Relationship Between Exchange Rate Fluctuations and Stock Market Volatility in Pacific Basin Countries?

Maghrebi, Nabil; Holmes, Mark J.; Pentecost, Eric J. - In: Review of Pacific Basin Financial Markets and Policies … 09 (2006) 02, pp. 229-256

This paper examines asymmetries in the dynamic relationship between foreign exchange fluctuations and stock market volatility in Pacific basin countries. The methodology is based on a dynamic covariance modelling that accounts for leverage effects and the asymmetric impact of currency...

Persistent link: https://www.econbiz.de/10004977584

Changes in the degree of financial integration within the European Community in the 1980s: Some econometric tests

Holmes, Mark J.; Pentecost, Eric J. - In: Journal of Economic Studies 23 (1996) May, pp. 4-17

Investigates the hypothesis of increased financial integration within the European Union (EU) based on an examination of covered and nominal interest rate differentials between March 1979 and August 1992 using cointegration and time-varying parameter econometric techniques. Discovers evidence of...

Persistent link: https://www.econbiz.de/10005003345