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Why a diversified portfolio should include African assets
Alagidede, Paul; Panagiotidis, Theodore; Zhang, Xu - 2010
We employ parametric and non-parametric cointegration to investigate the extent of integration between African stock … markets and the rest of the world. Long-run correlation estimates imply very low association between the two. The two distinct … cointegration approaches confirm the latter through recursive estimation. The implication is that global market movements may have …
Persistent link: https://www.econbiz.de/10010273679
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International financial integration and real exchange rate long-run dynamics in emerging countries : some panel evidence
Caporale, Guglielmo Maria; Amor, Thouraya Hadj; Rault, … - 2009
The aim of this paper is to provide new empirical evidence on the impact of international financial integration on the long-run Real Exchange Rate (RER) in 39 developing countries belonging to three different geographical regions (Latin America, Asia and MENA). It covers the period 1979-2004,...
Persistent link: https://www.econbiz.de/10010266058
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International financial integration and real exchange rate long-run dynamics in emerging countries: some panel evidence
Caporale, Guglielmo Maria; Hadj Amor, Thouraya; Rault, … - 2009
The aim of this paper is to provide new empirical evidence on the impact of international financial integration on the long-run Real Exchange Rate (RER) in 39 developing countries belonging to three different geographical regions (Latin America, Asia and MENA). It covers the period 1979-2004,...
Persistent link: https://www.econbiz.de/10010271098
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International financial integration and Real Exchange Rate long-run dynamics in emerging countries: some panel evidence
Caporale, Guglielmo Maria; Amor, Thouraya Hadj; Rault, … - 2009
The aim of this paper is to provide new empirical evidence on the impact of international financial integration on the long-run Real Exchange Rate (RER) in 39 developing countries belonging to three different geographical regions (Latin America, Asia and MENA). It covers the period 1979-2004,...
Persistent link: https://www.econbiz.de/10010271575
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Global Integration of Central and Eastern European Financial Markets – The Role of Economic Sentiments
Belke, Ansgar; Beckmann, Joscha; Kühl, Michael - 2010
This paper examines the importance of different economic sentiments, e.g. consumer moods, for the Central and Eastern European countries (CEECs) during the transition process. We first analyze the importance of economic confidence with respect to the CEECs' fi nancial markets. Since the...
Persistent link: https://www.econbiz.de/10010269983
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Global integration of Central and Eastern European financial markets: the role of economic sentiments
Belke, Ansgar; Beckmann, Joscha; Kühl, Michael - 2009
This paper examines the importance of different economic sentiments, e.g. consumer moods, for the Central and Eastern European countries (CEECs) during the transition process. We first analyze the importance of economic confidence with respect to the CEEC's financial markets. Since the...
Persistent link: https://www.econbiz.de/10010271117
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Government bond market integration and the EMU: Correlation based evidence
Missio, Sebastian - 2012
the EMU. Based on the results from dynamic conditional correlation (DCC) models, the study shows that the integration …
Persistent link: https://www.econbiz.de/10010294713
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International Market Integration for Natural Gas? A Cointegration Analysis of Gas Prices in Europe, North America and Japan
Neumann, Anne; Siliverstovs, Boriss; L'Hégaret, Guillaume - 2003
We examine the degree of natural gas market integration in Europe, North America and Japan, between the mid 1990's and 2002. The relationship between the international gas marker prices, and their relation to the oil price, are investigated through principal component analysis and Johansen...
Persistent link: https://www.econbiz.de/10010324208
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Does the real interest parity hypothesis hold? Evidence for developed and emerging markets
Ferreira, Alex Luiz; León-Ledesma, Miguel A. - 2003
Evidence is presented on the Real Interest Parity Hypothesis for a set of emerging and developed countries. This is done by carrying out a set of unit-root tests on the real interest differentials with respect to Germany and the US. Our results support the hypothesis of a rapid reversion towards...
Persistent link: https://www.econbiz.de/10010290689
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A note on consumption correlations and European financial integration
Flotho, D. Teja - 2002
In this paper we use empirical cross-country correlation coefficients of GDP- and private consumption data as a measure … find, that the so-called consumption correlation puzzle with high output correlations and considerably small …
Persistent link: https://www.econbiz.de/10011335782