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Foreign investment, regulation and price volatility in South-east Asian stock markets

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  • Holmes, Phil
  • Wong, Mei Wa
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    File URL: http://www.sciencedirect.com/science/article/B6W69-44JYXPC-3/2/6646be92c6e37839a8b8ab0c2f500a6a
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    Bibliographic Info

    Article provided by Elsevier in its journal Emerging Markets Review.

    Volume (Year): 2 (2001)
    Issue (Month): 4 (December)
    Pages: 371-386

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    Handle: RePEc:eee:ememar:v:2:y:2001:i:4:p:371-386

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    Web page: http://www.elsevier.com/locate/inca/620356

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    References

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    1. Hamao, Yasushi & Masulis, Ronald W & Ng, Victor, 1990. "Correlations in Price Changes and Volatility across International Stock Markets," Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 281-307.
    2. Robert F. Engle & Victor K. Ng, 1991. "Measuring and Testing the Impact of News on Volatility," NBER Working Papers 3681, National Bureau of Economic Research, Inc.
    3. Chowdhury, Abdur R., 1994. "Stock market interdependencies: Evidence from the asian NIEs," Journal of Macroeconomics, Elsevier, vol. 16(4), pages 629-651.
    4. Rogers, John H., 1994. "Entry barriers and price movements between major and emerging stock markets," Journal of Macroeconomics, Elsevier, vol. 16(2), pages 221-241.
    5. Kim, Dongcheol & Kon, Stanley J, 1994. "Alternative Models for the Conditional Heteroscedasticity of Stock Returns," The Journal of Business, University of Chicago Press, vol. 67(4), pages 563-98, October.
    6. Black, Fischer, 1986. " Noise," Journal of Finance, American Finance Association, vol. 41(3), pages 529-43, July.
    7. Reinhart, Carmen & Khan, Mohsin, 1995. "Macroeconomic Management in APEC Economies: The Response to Capital Inflows," MPRA Paper 8148, University Library of Munich, Germany.
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    Cited by:
    1. repec:ebl:ecbull:v:7:y:2007:i:10:p:1-14 is not listed on IDEAS
    2. Umutlu, M. & Akdeniz, L. & Salih, A.A., 2009. "The Degree of Financial Liberalization and Aggregated Stock-return Volatility in Emerging Markets," Discussion Paper 2009-67, Tilburg University, Center for Economic Research.
    3. Li, Xiao-Ming & Rose, Lawrence C., 2009. "The tail risk of emerging stock markets," Emerging Markets Review, Elsevier, vol. 10(4), pages 242-256, December.
    4. Wen-Hsiu Kuo & Shih-Ju Chan, 2006. "The Impact of Introduction of QFIIs Trading on the Lead and Volatility Behavior: Evidence for Taiwan Index Futures Market," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 9(01), pages 25-49.

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