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Long-run stock market integration and economic convergence in the European Monetary Union (EMU)

Phengpis, Chanwit - 2004

Persistent link: https://www.econbiz.de/10003550193

Optimization, cointegration and diversification gains from international portfolios : an out-of-sample analysis

Phengpis, Chanwit; Swanson, Peggy Eubanks - In: Review of quantitative finance and accounting 36 (2011) 2, pp. 269-286

Persistent link: https://www.econbiz.de/10009272498

Effects of economic convergence on stock market returns in major EMU member countries

Phengpis, Chanwit; Apilado, Vince P.; Swanson, Peggy Eubanks - In: Review of quantitative finance and accounting 23 (2004) 3, pp. 207-227

Persistent link: https://www.econbiz.de/10002418330

Increasing input information and realistically measuring potential diversification gains from international portfolio investments

Phengpis, Chanwit; Swanson, Peggy Eubanks - In: Global finance journal 15 (2004) 2, pp. 197-217

Persistent link: https://www.econbiz.de/10002375122

Stability of the S&P 500 futures market efficiency conditions

Crowder, William J.; Phengpis, Chanwit - In: Applied financial economics 15 (2005) 12, pp. 855-866

Persistent link: https://www.econbiz.de/10003070704

Increasing input information and realistically measuring potential diversification gains from international portfolio investments

Phengpis, Chanwit; Swanson, Peggy E. - In: Global Finance Journal 15 (2004) 2, pp. 197-217

Persistent link: https://www.econbiz.de/10005235271

Market efficiency and cointegration of spot exchange rates during periods of economic turmoil: Another look at European and Asian currency crises

Phengpis, Chanwit - In: Journal of Economics and Business 58 (2006) 4, pp. 323-342

Persistent link: https://www.econbiz.de/10005301648

An analysis of the opening mechanisms of Exchange Traded Fund markets

Nguyen, Vanthuan; Phengpis, Chanwit - In: The Quarterly Review of Economics and Finance 49 (2009) 2, pp. 562-577

We examine the opening of Exchange Traded Fund (ETF) markets in a multimarket trading environment. We find that the opening trades on the American Stock Exchange (AMEX) are the most costly. This result is consistent with the market power hypothesis which suggests that the specialists use their...

Persistent link: https://www.econbiz.de/10005077751

Market efficiency and cointegration of spot exchange rates during periods of economic turmoil: Another look at European and Asian currency crises

Phengpis, Chanwit - In: Journal of economics and business 58 (2006) 4, pp. 323-342

Persistent link: https://www.econbiz.de/10007272593

Stability of the S&P 500 futures market efficiency conditions

Crowder, William; Phengpis, Chanwit - In: Applied Financial Economics 15 (2005) 12, pp. 855-866

Brenner and Kroner (1995) laid out the necessary conditions for futures market efficiency when the asset price data are characterized by stochastic trends. Specifically, a no arbitrage profit condition implies that spot, futures and cost-of-carry will be cointegrated, unless the cost-of-carry is...

Persistent link: https://www.econbiz.de/10009206773