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Diversification Potential of ADRs, Country Funds, and Underlying Stocks Across Economic Conditions

Peterburgsky, Stanley - 2011

We study the relative diversification potential of American Depository Receipts (ADRs) as compared to the underlying … shares as well as the relative diversification potential of closed-end country funds as compared to the foreign market … underlying shares are more useful for diversification purposes than ADRs and country funds when the U.S. stock market returns are …

Persistent link: https://www.econbiz.de/10013134047

The impact of international swap lines on stock returns of banks in emerging markets

Andrieş, Alin Marius; Fischer, Andreas M.; Yeşin, Pınar - 2015

This paper investigates the impact of international swap lines on stock returns using data from banks in emerging markets. The analysis shows that swap lines by the Swiss National Bank (SNB) had a positive impact on bank stocks in Central and Eastern Europe. It then highlights the importance of...

Persistent link: https://www.econbiz.de/10011440076

Rethinking stock market integration : globalization, valuation and convergence

Tam, Pui Sun; Tam, Pui I. - 2012

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...

Persistent link: https://www.econbiz.de/10009583196

Stock Market Interdependence, Contagion, and the U.S. Financial Crisis : The Case of Emerging and Frontier Markets

Samarakoon, Lalith P. - 2015

This paper examines transmission of shocks between the U.S. and foreign markets to delineate interdependence from contagion of the U.S. financial crisis by constructing shock models for partially-overlapping and non-overlapping markets. There exists important bi-directional, yet asymmetric,...

Persistent link: https://www.econbiz.de/10013037982

What Types of Macroeconomic Announcements Affect Stock Markets in Emerging Eastern Europe?

Saleem, Kashif - 2014

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...

Persistent link: https://www.econbiz.de/10013045383

Intraday Effect of News on Emerging European Forex Markets : An Event Study Analysis

Kočenda, Evžen - 2018

We analyze the impact of Eurozone/Germany and U.S. macroeconomic news announcements and the communication of the monetary policy settings of the ECB and the Fed on the forex markets of new EU members. We employ an event study methodology to analyze intra-day data from 2011–2015. Our...

Persistent link: https://www.econbiz.de/10012908658

Linear and Nonlinear Dynamic Linkages between Emerging Market Adrs and Their Underlying Stocks

Hunter, Delroy M. - 2004

I examine the causal linkages between the returns on emerging market ADRs, their underlying stocks, and changes in the relevant exchange rate. Using a linear VAR model with a cointegration constraint and a nonlinear causality test on daily data, I provide evidence of significant linear and...

Persistent link: https://www.econbiz.de/10014069925

Short-Run Pain, Long-Run Gain : The Effects of Financial Liberalization

Kaminsky, Graciela; Schmukler, Sergio L. - 2021

We examine the short- and long-run effects of financial liberalization on capital markets. To do so, we construct a new comprehensive chronology of financial liberalization in 28 mature and emerging market economies since 1973. We also construct an algorithm to identify booms and busts in stock...

Persistent link: https://www.econbiz.de/10013318025

Emerging Stock Premia : Do Industries Matter?

Donadelli, Michael - 2012

than others. We argue that these results display relevant implications for portfolio diversification and reflect …

Persistent link: https://www.econbiz.de/10013099964

Liberalization and Stock Market Co-Movement between Emerging Economies

Beine, Michel A. R.; Candelon, Bertrand - 2021

In this paper, we investigate the impact of trade and financial liberalization on the degree of stock market co-movement among emerging economies. Using a sample of 25 developing countries observed over 15 years, we estimate the impact of reforms which aim at opening these countries to trade and...

Persistent link: https://www.econbiz.de/10013316796

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