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Rethinking stock market integration : globalization, valuation and convergence

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

globalization through the formulation of a unified conceptual framework that synthesizes the stock valuation model and the …

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

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

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

Global production linkages and stock market comovement

Auer, Raphael A.; Iwadate, Bruce Muneaki; Schrimpf, Andreas - 2022

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...

Persistent link: https://www.econbiz.de/10013169023

Global production linkages and stock market comovement

Auer, Raphael A.; Iwadate, Bruce; Schrimpf, Andreas; … - 2023

Persistent link: https://www.econbiz.de/10014292801

Which liquidity proxy measures liquidity best in emerging markets?

Ahn, Hee-joon; Chai, Joseph C. H.; Yang, Cheol-Won - In: Economies : open access journal 6 (2018) 4/67, pp. 1-29

This study empirically investigates the low-frequency liquidity proxies that best measure liquidity in emerging markets. We carry out a comprehensive analysis using tick data that cover 1183 stocks from 21 emerging markets, while also comparing various low-frequency liquidity proxies with...

Persistent link: https://www.econbiz.de/10011956319

'Algorithmic Trading and Its Implications on Capital Markets'

Kannan, Sriram - 2016

Algorithmic trading is generally defined as using computer-generated algorithms to create and execute orders on marketplaces. Recently, such algo-trading strategies are increasingly being associated with the negative impact on capital markets – both from a technological as well as a business...

Persistent link: https://www.econbiz.de/10012977526

Market Microstructure and the Risks of High-Frequency Trading

Aldridge, Irene - 2013

The current research assesses the risks commonly attributed to the presence of HFT in the context of different market structures deployed by the U.S. exchanges. In particular, we find that, by design, the so-called “normal” exchanges have the lowest market quality, including the highest...

Persistent link: https://www.econbiz.de/10013079007

Globalization and Asset Prices

Bekaert, Geert - 2011

We investigate whether the globalization process of the last thirty years has lead to “convergence” of asset prices in … globalization on the convergence of asset prices, even though we document some links. In particular, financial openness matters … relatively more than measures of corporate governance and political risk …

Persistent link: https://www.econbiz.de/10013134318

Investment opportunities in Central and Eastern European equity markets : an econometric examination of the risk-return relationships for Western investors

Schröder, Michael - 2000

This study focuses on the diversification benefits of the most developed equity markets of Central and Eastern Europe (CEE). To evaluate these benefits of diversification we use so-called spanning tests based on a stochastic discount factor approach and estimated by General Methods of Moments...

Persistent link: https://www.econbiz.de/10011444904

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