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A cross-section analysis of financial market integration in North America using a four factor model
Beaulieu, Marie-Claude; Gagnon, Marie-Hélène; Khalaf, … - In: International Journal of Managerial Finance 5 (2009) July, pp. 248-267
January 1984 to December 2003. Design/methodology/approach – The paper uses an arbitrage pricing theory framework. The risk …Purpose – The purpose of this paper is to examine financial integration across North American stock markets from … strong financial integration are estimated. The domestic and international model are estimated on domestic portfolios and on …
Persistent link: https://www.econbiz.de/10004993578
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Pricing of Sovereign Credit Risk; Evidence From Advanced Economies During the Financial Crisis
Alper, C. Emre; Forni, Lorenzo; Gerard, Marc - International Monetary Fund (IMF) - 2012
We investigate the pricing of sovereign credit risk over the period 2008-2010 for selected advanced economies by … analysis suggests the existence of an imperfect market arbitrage relationship between the cash (RAS) and the derivatives (CDS …
Persistent link: https://www.econbiz.de/10009650642
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Stress Testing of Financial Systems; An Overview of Issues, Methodologies, and FSAP Experiences
Peria, Maria Soledad Martinez; Majnoni, Giovanni; … - International Monetary Fund (IMF) - 2001
The paper has three objectives. After a general introduction to some of the concepts and basic techniques of stress testing, the paper gives an overview of some of the conceptual issues involved in evaluating risks at the aggregated level of financial systems. Second, this study provides a basic...
Persistent link: https://www.econbiz.de/10005248173
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A Framework for Financial Market Development
Chami, Ralph; Sharma, Sunil; Fullenkamp, Connel - International Monetary Fund (IMF) - 2009
The paper proposes a framework for examining the process of financial market development. The framework, consistent with the functional view of financial system design, is anchored in studying the incentives facing the key players in financial markets-borrowers, lenders, liquidity providers, and...
Persistent link: https://www.econbiz.de/10008528687
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United Kingdom; Observance by LCH CLEARNET LIMITED of the CPSS-IOSCO Recommendations for Central Counterparties Detailed Assessment of Observance
International Monetary Fund (IMF); International … - 2011
In recent years, the IMF has released a growing number of reports and other documents covering economic and financial developments and trends in member countries. Each report, prepared by a staff team after discussions with government officials, is published at the option of the member country.
Persistent link: https://www.econbiz.de/10011242698
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The dynamics of European financial market integration
EVERAERT, G.; POZZI, L. - Faculteit Economie en Bedrijfskunde, Universiteit Gent - 2014
We investigate financial market integration in Europe with a panel of 16 European and 4 non- European countries over … terms. A measure for the time-varying degree of integration is calculated for each country with respect to the world and … with respect to both country groups. The results suggest that, for all countries, integration has occurred mainly at the …
Persistent link: https://www.econbiz.de/10011083090
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Borders Matter! - Regional Integration in North America / Grenzen sind bedeutsam! - Regionale Integration Nordamerika
Blum, Ulrich - In: Jahrbücher für Nationalökonomie und Statistik 223 (2003) 5, pp. 513-531
Summary We analyze the spatial interaction among regions in North America and in Western Europe. We use a gravity model extended by a spatial correlation structure where data allows to evaluate the spatial interaction in two dimensions: level of impact and the length of the spatial tail. This...
Persistent link: https://www.econbiz.de/10014608954
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A GARCH modelling of volatility and M-GARCH approach of stock market linkages of North America
Panda, Ajaya Kumar; Nanda, Swagatika - In: Global business review 19 (2018) 6, pp. 1538-1553
Persistent link: https://www.econbiz.de/10011982881
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The volatility transmission of stock returns across Asia, Europe, and North America
Chiou, Ingyu - In: Managerial Finance 37 (2011) May, pp. 442-450
to test how one national stock market affects another national stock market, which is one focus of the market integration …. Originality/value – This paper extends the existing literature in market integration by using return volatility to test how one …
Persistent link: https://www.econbiz.de/10009275371
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Examination of impact of COVID-19 on stock market : evidence from American peninsula
Amin, Ali; Arshad, Muhammad; Sultana, Naheed; Raoof, Rabeeya - In: Journal of economic and administrative sciences 38 (2022) 3, pp. 444-454
Persistent link: https://www.econbiz.de/10013366402