This paper examines the integration of stock markets in Germany, France, Netherlands, Ireland and UK over the January 1973- August 2008 period at the aggregate market and industry level considering the following industries: basic materials, consumer goods, industrials, consumer services, health...

This article studies the international integration of twelve Eastern Europe Stock Markets and two Middle East Stock Markets. It is commonly accepted that the returns in these markets have a low correlation with the other markets, which means that they are still weakly integrated in the world...

We analyze the financial integration of the new EU member states’ stock markets using the coexceedance variable that counts the number of large negative returns on a given day across the countries. We use a multinomial logit model to investigate which factors influence the coexceedance...

We estimate the long-run relationships among NAFTA capital market returns and then calculate the weights of a “time-varying minimum variance portfolio†that includes the Canadian, Mexican, and USA capital markets between March 2007 and March 2009, a period of intense turbulence in...

This paper examines the integration of stock markets in Germany, France, Netherlands, Ireland and UK over January 1973-August 2008 at the aggregate market and industry level considering the following industries: basic materials, consumer goods, industrials, consumer services, health care and...

This paper revisits the question whether volatilities of different markets and trading zones have a long-run equilibrium in the sense that they are fractionally cointegrated. We consider the U.S., Japanese and German stock, bond and foreign exchange markets to see whether there is fractional...

This paper revisits the question whether volatilities of different markets and trading zones have a long-run equilibrium in the sense that they are fractionally cointegrated. We consider the U.S., Japanese and German stock, bond and foreign exchange markets to see whether there is fractional...

It is well known that high-frequency asset returns are fat-tailed relative to the Gaussian distribution, and that the fat tails are typically reduced but not eliminated when returns are standardized by volatilities estimated from popular ARCH and stochastic volatility models. We consider two...

This paper is concerned with a dependence analysis of returns, return volatility and trading volume for five companies listed on the Vienna Stock Exchange and five from theWarsaw Stock Exchange. Taking into account high frequency data for these companies, tests based on a comparison of Bernstein...

This paper conducts an investigation of volatility transmission between stock markets in Hong Kong, Europe and the United States covering the time period from 2000 up to 2011. Using intra-daily data we compute realized volatility time series for the three markets and employ a Heterogeneous...