This article examines how the interdependence of three Central and Eastern European (CEE) stock markets, represented by the stock indices LJSEX (Slovenia), PX (Czech Republic) and BUX (Hungary), and some developed European stock markets (Austria, represented by the ATX; France, represented by...

In this paper I review the use of precautionary measures aimed at mitigating emerging markets exposure to fragility associated with financial integration. The discussion draws possible lessons from the ongoing global liquidity crisis. The fear of losing international reserves (IR) constrained...

We are the first to investigate the cross-section of stock returns in the new emerging equity markets, the so-called frontier emerging markets. Our unique survivorship-bias free data set consists of more than 1,400 stocks over the period 1997 to 2008 and covers 24 of the most liquid frontier...

We are the first to investigate the cross-section of stock returns in the new emerging equity markets, the so-called frontier emerging markets. Our unique survivorship-bias free data set consists of more than 1400 stocks over the period 1997 to 2008 and covers 24 of the most liquid frontier...

This paper investigates whether foreign institutional investors in emerging markets can enhance shareholder value. We pay special attention to two dimensions of investor heterogeneity: whether an investor declares itself as an activist, and whether an investor comes from a country with a strong...

Este artículo muestra los resultados de nuestro estudio sobre las características de las relaciones entre los mercados accionarios mexicanos y estadounidenses y los mercados de derivados de esos mercados accionarios. El análisis se lleva a cabo conforme a la hipótesis de que hay canales de...

A major issue in both Islamic finance and conventional finance is whether the shocks to the volatilities in the asset returns are substitutes or complements in terms of taking risk. An understanding of how volatilities of and correlations between asset returns change over time including their...

This paper develops a methodology to ascertain the determinants of growth in the Haitian economy. The methodology uses co-integration to identify those variables that can help explain economic activity, measured through GDP. This idea, pioneered by Hamilton and Perez- Quiros (1996), has the...

This study examines the stock market integration between major emerging markets in different regions of the world, namely, Turkey, Russia, Brazil, Korea, South Africa, and Poland. The study employs a variety of co-integration tests; i.e., Engle-Granger (EG) (1987), Johansen (1988), Johansen and...

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...