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Despite the rapid internationalization of the global securities market, regulatory disharmony has been a persistent obstacle to multi-jurisdictional offerings. However, the increased demand for comparable information in the analysis of investment risk necessary to the allocation of assets has...
Persistent link: https://www.econbiz.de/10014194421
We study a pricing model for global and local sources of risk in six Eastern European emerging stock markets. Utilizing GMM estimation and an unconditional asset-pricing framework with and without time-varying betas, we perform estimations based on monthly data from 1996 to 2007 for Poland, the...
Persistent link: https://www.econbiz.de/10013156114
We explore statistical commonalities among granular measures of market liquidity with the goal of illuminating systemwide patterns in aggregate liquidity. We calculate daily invariant price impacts described by Kyle and Obizhaeva [2014] to assemble a granular panel of liquidity measures for...
Persistent link: https://www.econbiz.de/10013021938
Starting from the puzzling situation of the US, and above all, the UK financial markets, this paper tries to supplement the current explanations of the constant dominance of these two financial centers. Law has specially mattered in this respect. Rather than the superior economic efficiency of...
Persistent link: https://www.econbiz.de/10013058197
At the start of Solvency II in January 2016, there is no overview of the insurance market in Europe. This paper develops a methodology to link various datasets on foreign branches and subsidiaries. The result is a new and comprehensive dataset of cross-border insurance in Europe. We find that...
Persistent link: https://www.econbiz.de/10013031796
Given the rapidly evolving nature of financial globalization, this paper models and predicts financial integration in a changing world. By decomposing integration into global risk, local risk and estimation risk, we argue that greater integration is mainly driven by global factors, not...
Persistent link: https://www.econbiz.de/10012949969
In this paper we analyse a chronicle of economic theory on international financial integration post-WWII to the present date. Our focus is on theories that have somehow quantify the state and speed of international financial integration. We are able to contrast and compare three distinct strands...
Persistent link: https://www.econbiz.de/10013091874
Purpose-This paper makes an analysis of trade in the WAMZ as well as the WAMZ's trade with other countries in West Africa, Europe and Asia based on the Optimal Currency Area (OCA) theory. This theory first proposed by Mundell (1961) as a basis for evaluating whether or not an area constitutes an...
Persistent link: https://www.econbiz.de/10011434010
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
We use industry valuation differentials across European countries to study the impact of membership in the European Union as well as the Eurozone on economic and financial integration. In integrated markets, discount rates and expected growth opportunities should be similar within one industry,...
Persistent link: https://www.econbiz.de/10012958650