This paper examines the integration of stock markets in Germany, France, Netherlands, Ireland and UK over January 1973-August 2008 at the aggregate market and industry level considering the following industries: basic materials, consumer goods, industrials, consumer services, health care and...

Late 19th century investors demanded compensation to invest in countries with poor institutional protection of property rights. Using the monthly stock returns of 1,808 firms located in 43 countries but traded in London between 1866 and 1907, we estimate the country-specific cost of capital. We...

This article contributes to the literature on stock market integration by developing and estimating a capital asset pricing model with segmentation effects in order to assess stock market segmentation and its effects on risk premia at the regional level. We show that the estimated degrees of...

EU enlargement rests on the proven success of European unification. European monetary integration and the introduction of euro are probably the best examples of integration. The EU financial sector has been going through a large restructuring program in the last decades. There was a continuous...

With the elimination of foreign exchange risk among the E.M.U.-member countries, the yield of, say, French benchmark government bonds (henceforth, the yield) should be equal to that of German bonds, plus some credit and liquidity premia. Since both premia are not likely to change substantially...

This paper extends the work of Kaminsky and Schmukler (2003) to the Baltic and Central Eastern European future Member States of the European Union, to test if the same short-run increase in cyclical volatility arising from financial integration is observed in this specific sample of ?emerging...

In this paper we examine changes on investment decisions induced by the introduction of the Euro. There are two potential sources of portfolio reallocation. First, the introduction of the Euro diminished exchange rate risks within the EMU region, which relieved European investors from currency...

This paper investigates the dynamic relationship between index returns, return volatility, and trading volume for eight Asian markets and the US. We find crossborder spillovers in returns to be nonexisting, spillovers in absolute returns between Asia and the US to be strong in both directions,...

This study provides empirical evidence verifying the theory of price discovery for Eastern European enterprises based on their cross-listing on Western European exchanges. Despite the fact that the crosslisting behavior of companies has been analyzed very actively since the mid-70s, many...

With the introduction of the Euro, a single European money market has emerged. Further wholesale financial markets are considered to be highly integrated within the European Union. However, integration in retail financial markets is less advanced. For measuring financial market integration this...