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Opening-up of the financial markets of the world for foreign capital has led to the increased financial integration among different countries. This paper reviews and summarizes the research on the subject of integration and dynamic linkages between stock markets in different parts of the world....
Persistent link: https://www.econbiz.de/10013125816
Given the dominant role the U.S. economy plays in global trade, we explore how U.S. macroeconomic surprises affect stock markets in ten major developed economies as well as in China and India. We do not find strong enough evidence to conclude that US macro shocks materially and consistently...
Persistent link: https://www.econbiz.de/10013082200
Bai and Green (2010) argue that existing studies related to international diversification of portfolio mainly concentrated on the risk-returns tradeoffs from the developed markets perspective. Very few literatures available on the behavior on emerging markets, they are scarce in comparison to...
Persistent link: https://www.econbiz.de/10013087861
This article investigates international stock market integration in four major developed economies, namely the United States, the Economic and Monetary Union of the European Union, Japan and the United Kingdom, and two Asian emerging, countries namely China and India, over the period from June...
Persistent link: https://www.econbiz.de/10013089701
This paper investigates the integration of emerging stock markets over different time horizons using daily data over 1992-2011. The links among major Middle East and North African (MENA) stock exchange markets (Egypt, Israel, Jordan, Lebanon, Morocco, Turkey and United Arab Emirates) are...
Persistent link: https://www.econbiz.de/10013075245
This paper adopts a VAR-GARCH approach to model the dynamic linkages between both the mean and the variance of macro news and commodity returns (Gold, Corn, Wheat, Soybeans, Silver, Platinum, Palladium, Copper, Aluminium and Crude Oil) over the period 01/01/2001-26/09/2014. The chosen...
Persistent link: https://www.econbiz.de/10013014894
Bai and Green (2010) argue that existing studies related to international diversification of portfolio mainly concentrated on the risk-returns tradeoffs from the developed markets perspective. Very few literatures available on the behavior on emerging markets, they are scarce in comparison to...
Persistent link: https://www.econbiz.de/10013112474
Using returns of 4,916 stocks from 22 developed countries and 15 developing countries, this study examines the relative magnitude of conditional volatility and the international market systematic risk of stock prices in countries at different developmental stages and in various geographical...
Persistent link: https://www.econbiz.de/10013150617
This paper examines the degree of interdependence between national stock market returns for 17 advanced economies and the United States for various sub-periods from January 1973 to February 2009. The examination is based on time-series techniques including both single equation (ordinary least...
Persistent link: https://www.econbiz.de/10013156349
This paper compares the ability of alternate performance measures to support investment selection in ten euro area stock markets. The performance ratios used in the paper are grouped in two main categories. One category comprises the performance ratios using risk measures which do not separate...
Persistent link: https://www.econbiz.de/10012838035