This study provides empirical evidence verifying the theory of price discovery for Eastern European enterprises based on their cross-listing on Western European exchanges. Despite the fact that the crosslisting behavior of companies has been analyzed very actively since the mid-70s, many...

This paper estimates a tri-variate VAR-GARCH(1,1)-in-mean model to examine linkages between the stock markets of three Central and Eastern European countries (CEECs), specifically the Czech Republic, Hungary, and Poland, and both the UK and Russia. The adopted framework allows to analyse...

This paper estimates a tri-variate VAR-GARCH(1,1)-in-mean model to examine linkages between the stock markets of three Central and Eastern European countries (CEECs), specifically the Czech Republic, Hungary, and Poland, and both the UK and Russia. The adopted framework allows to analyse...

The contagion across capital markets is an important phenomenon in an increasingly integrated financial world. To investigate the contagion from the U.S., Japan, and Hong Kong to Asian emerging economies, we design a research strategy which captures fundamental interdependence among these stock...

The paper empirically analyzes stock market integration and the benefit possibilities of international portfolio diversification across the Southeast Asia (ASEAN) and U.S. equity markets. It employs daily sample of 6 ASEAN equity market indices and S&P 500 index as a proxy of U.S. market index...

This paper examines financial spillovers between the four largest equity markets (by market capitalization) in the GCC region using a VAR-GARCH (1,1) framework that sheds light on interdependence as well as the effects of the 2014 oil crisis. Since the UAE is a federation including two stock...

This paper studies the nature of volatility spillovers across countries from the per-spective of network theory and by relying on data of US-listed ETFs. I use a Lasso-related technique to estimate the International Volatility Network (IVN) where the nodes correspond to large-cap international...

The first Asia-Europe Meeting (ASEM) Summit in 1996 has provided the principal multilateral platform for interregional cooperation between the European and Asian countries. This book examines the equity market integration among 49 ASEM members both in EU and Asia, and to investigate whether such...

In this study we analyse the evolution of interdependence and relative influence of major international stock markets in the three main geographical regions of USA, Europe and Asia around the Global Financial Crisis (GFC) of 2007. Using the framework of the Foreign Information Transmission (FIT)...

This paper examines financial spillovers between the four largest equity markets (by market capitalization) in the GCC region using a VAR-GARCH (1,1) framework that sheds light on interdependence as well as the effects of the 2014 oil crisis. Since the UAE is a federation including two stock...