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The aim of this study is to investigate the determinants of integration between stock market of Romania and other stock markets of European Union (EU) countries. Correlations between the stock returns represent the level of integration between the stock markets. Empirical analysis are performed...
Persistent link: https://www.econbiz.de/10011842988
The shift of perspective from a national basis to a Euro area basis, inevitably induced by EMU, has led member … countries to a parallel shift from equity home bias to equity Euro bias. We interpret this evidence by means of a standard mean …
Persistent link: https://www.econbiz.de/10013159821
This paper determines whether the world market risk, country-specific total risk, and country-specific idiosyncratic risk are priced in an international capital asset pricing model (ICAPM). The paper also tests if the price of risk associated with each factor is common across countries....
Persistent link: https://www.econbiz.de/10013116715
The bilateral foreign portfolio equities among Euro area members have shrunk by 40 percent after 2007. While both the … integration, our work detects a major role for the crisis. The deterioration of the control of corruption mechanisms in Euro …
Persistent link: https://www.econbiz.de/10012840943
While the enlargement of the Euro area to new countries has reduced the average return correlation among member … investments in the Euro area after 2007, and points to the importance of diversification benefits …
Persistent link: https://www.econbiz.de/10013235331
VAR Modeling: The Impact of the Euro on the Hong Kong Stock Market", which was published in Multinational Finance Journal …
Persistent link: https://www.econbiz.de/10014102926
Within a two-step GARCH framework we explore the linkages between equity returns of ten sectors in the euro area, the … process towards higher integration has been primarily a phenomenon of equity markets in the euro area and the United States. …
Persistent link: https://www.econbiz.de/10009635881
Four years after the introduction of the euro, this paper provides an overview of the current structure and integration … of the euro area financial systems and related policy initiatives. We first compare the euro area financial structure … with that of the United States and Japan. Using new and comprehensive financial account data, we also describe how the euro …
Persistent link: https://www.econbiz.de/10009635984
This study applies network analysis to analyze the structure of the Euro Stoxx market during the long period from 2002 …
Persistent link: https://www.econbiz.de/10013021229
We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, we formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates study of both non-crisis and crisis episodes,...
Persistent link: https://www.econbiz.de/10010298351