This paper investigates co-movement in eight Latin-American stock markets (Argentina, Brazil, Chile, Colombia, Ecuador, Mexico, Peru, and Venezuela) using common factor analysis. The common factors are obtained using principal component analysis (PCA) and therefore account for the maximum...

This paper investigates the impact of the Turkish post-2001 stabilization reforms on the conditional correlation between the Turkish stock index (ISE 100) and the four major stock indices (S&P 500, FTSE 100, DAX 30, NIKKEI 225). We evaluate these correlations for the period ranging from January...

This paper uses a novel variant of identification through hetroscedacity to estimate spillovers across U.S., Euro area, Japanese, and UK government bond and equity markets in a vector autoregression. The results suggest that U.S. financial shocks reverberate around the world much more strongly...

This paper analyses whether stock markets of South East Europe (SEE) have become more integrated with regional and global stock markets during 2000s. Using a variety of co-integration methodologies we show that SEE stock markets have no long-run relationship with their mature counterparts. This...

This paper extends the output growth model tested by Levine and Zervos (1998) by including a channel for capital allocation efficiency proxied by stock price informativeness. Using a sample of 59 countries, this study finds that stock price informativeness as measured by firm-specific return...

This paper investigates the relationship between macroeconomic variables and Bahraini stock market development by using the Autoregressive Distributed Lag model. The development of a financial market is closely related to the overall development in the national economy. Well functioning...

This paper extends the output growth model tested by Levine and Zervos (1998) by including a channel for capital allocation efficiency proxied by stock price informativeness. Using a sample of 59 countries, this study finds that stock price informativeness as measured by firm-specific return...

This paper analyzes market index returns in the Tehran stock exchange (TSE) within the context of three variants of the Capital Asset Pricing Model: the static international; the constant-parameter intertemporal; and a Markov-switching intertemporal CAPM, which allows for time-varying degree of...

The paper empirically analyzes stock market integration and the benefit possibilities of international portfolio diversification across the Southeast Asia (ASEAN) and U.S. equity markets. It employs daily sample of 6 ASEAN equity market indices and S&P 500 index as a proxy of U.S. market index...

This study investigates the long-run relationships and short-run dynamic linkages between the stock exchanges of Baltic countries and Swedish financial sector over the sample period 2000-2011. Johansen method of multivariate cointegration is utilized to determine long-run relationship, while...