International financial integration helps to diversify risk but also may increase the transmission of crises across countries. We provide a quantitative analysis of this trade-off in a two-country general equilibrium model with endogenous portfolio choice and collateral constraints. Collateral...

The aim of this paper is to investigate the relationship of price changes in the southern European E.U. member states through their stock markets and especially among the exchange markets of Portugal, Italy, Ireland, Greece and Spain, known also as the PIIGS countries. More specifically, it is...

Financial crisis not only have statistically but also economically significant impact on global equity market returns. This study analyzes whether current financial crisis affect the equity market returns of Balkan transition economies and what is the extent of such impact by employing...

This paper investigates the role of virtual integration of financial markets on stock market return co-movements. In May of 2011 the Chilean, Colombian, and Peruvian stock markets virtually integrated their stock exchanges and central securities depositories to form the Latin American Integrated...

This paper investigates the diversification prospects which may be reaped when investing in a mixture of emerging and developed market assets. Given that emerging markets are somewhat distinct from developed ones, one may expect significant diversification potential and therefore risk reduction....

The adoption of the euro led to a shift in importance from country to industry effects in euro zone stock returns. For the first time, this paper shows that country effects have regained importance in the recent spate of crises. This euro-wide factor reversal is driven by countries with poor...

Using a simple numeraire currency-independent metric to measure distances between currencies, it is found that for most of the 25 sampled floating currencies, excluding the US dollar and euro, there has been a noticeable decrease in the ratio of a currency’s distance from the euro to its...

This paper investigates multiscale interdependence between the stock markets of Germany, Austria, France, and the United Kingdom. Wavelet energy additive decomposition was analyzed to investigate which scales capture the most energy (volatility), whereas a wavelet cross-correlation estimator was...

Households’ savings and asset allocation behaviour patterns are key to the financing of economies. The recent financial crisis and, more structurally, the ageing of populations are prompting central banks, supervisory authorities and market players to develop policies for the financial...

We investigate the linkage between business cycle convergence and financial portfolio choice for a panel of 18 EU countries. We construct an index of similarity of financial portfolios which we then put into context with the view that “the financial world” has an impact on business cycles...