The announcement of European Union enlargement coincided with a dramatic rise in stock prices in accession countries. This paper investigates the hypothesis that the rise in stock prices was a result of the repricing of systematic risk due to the integration of accession countries into the world...

This paper aims to study the extent of integration among developed and emerging stock markets in the onset of globalization through the formulation of a unified conceptual framework that synthesizes the stock valuation model and the convergence hypothesis. Market integration manifests in the...

This paper aims to study the extent of integration among developed and emerging stock markets in the onset of globalization through the formulation of a unified conceptual framework that synthesizes the stock valuation model and the convergence hypothesis. Market integration manifests in the...

This paper investigates the variance risk premium in an international setting. First, I provide new evidence on the basic stylized facts traditionally documented for the US. I show that while the variance premiums in several countries are, on average, positive and display significant time...

We examine world stock market comovement for 23 countries over 30-years from 1981 to 2010 -- a period that includes major changes in international trade institutions, capital market regulations, and the advent of the internet era. Our analysis is based on a generalized factor model that allows...

This paper proposes a novel approach to assessing volatility contagion across equity markets. I decompose the variance risk premia of three major stock indices into: crash and non-crash risk components and analyse their cross-market correlations. I find that crash-risk premia exhibit higher...

Although real integration conceptually plays an important role for the comovement of international equity markets, documenting this link empirically has proven challenging. We construct a new dataset of theory-guided, relevant measures of bilateral trade in final and intermediate goods and...

We show that global political uncertainty, measured by the U.S. election cycle, on average, leads to a fall in equity returns in fifty non-U.S. countries. At the same time, market volatilities rise, local currencies depreciate, and sovereign bond returns increase. The effect of global political...

This study considers the impact of foreign and local macroeconomic announcements on emerging Eastern European stock markets. Stock market and macroeconomic news from 2006-2010 for Russia, Poland, Hungary and the Czech Republic are analyzed for differences across countries and to determine...

The Great Financial Crisis of 2007-09 confirmed the vital importance of advancing our understanding of macrofinancial linkages, the two-way interactions between the real economy and the financial sector. The crisis was a bitter reminder of how sharp fluctuations in asset prices, credit and...