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...

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...

An examination of Brexit and its initial impact on the main stock markets in the Greater China Region (GCR) was conducted using augmented market models that integrate Economic Policy Uncertainty (EPU) and implied volatility (VIX). The results do not seem to align with research in the field that...

The aim of this paper is to analyze the financial integration of the South Eastern Europe (SEE) stock markets. We use a multinomial logistic regression to analyze how persistence, asset class and volatility effects are related with negative coexceedances in SEE markets. We find evidence in favor...

The interdependence of the Nordic and Baltic stock markets is explored in lightof increased merger activity of stock exchanges over the sample period, 1996–2006. Theresults show surprisingly little interdependence between the Nordic and Baltic stock indices.In the short run, the response of...

We estimate the impact of macroeconomic news on composite stock returns in three emerging European Union financial markets (the Budapest BUX, Prague PX-50, and Warsaw WIG-20), using intraday data and macroeconomic announcements. Our contribution is twofold. We employ a larger set of...

This paper explores the linkages between the different stock markets in the Greater China region. Cointegration tests indicate that the three markets are not cointegrated. A vector-autoregressive multivariate conditional volatility model that accounts for asymmetric volatility effects is used to...

At end-2008, non-residents held 39.2% of the market capitalisation of French CAC 40 companies. The holding rate fell for the second consecutive year and was down by two percentage points compared with end-2007.

This article examines how the interdependence of three Central and Eastern European (CEE) stock markets, represented by the stock indices LJSEX (Slovenia), PX (Czech Republic) and BUX (Hungary), and some developed European stock markets (Austria, represented by the ATX; France, represented by...

At 31 December 2012, 46.3% of the equity capital of French CAC 40 companies was held by non-residents. Non-resident holdings rose by 2.2 percentage points compared with 2011. For the second consecutive year, foreign capital investments in these companies were the main factor behind the rise in...