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Integration vs. Segmentation in the Canadian Stock Market

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Cited by:

  1. Malliaropulos, Dimitrios & Priestley, Richard, 1999. "Mean reversion in Southeast Asian stock markets," Journal of Empirical Finance, Elsevier, vol. 6(4), pages 355-384, October.
  2. Boyer, M. Martin & Filion, Didier, 2007. "Common and fundamental factors in stock returns of Canadian oil and gas companies," Energy Economics, Elsevier, vol. 29(3), pages 428-453, May.
  3. Johannes A. Skjeltorp & Elvira Sojli & Wing Wah Tham, 2011. "Sunshine trading: Flashes of trading intent at the NASDAQ," Working Paper 2011/17, Norges Bank.
  4. David Ho & Kwame Addae-Dapaah & John Glascock, 2015. "International Direct Real Estate Risk Premiums in a Multi-Factor Estimation Model," The Journal of Real Estate Finance and Economics, Springer, vol. 51(1), pages 52-85, July.
  5. Hong, Harrison & Kubik, Jeffrey D. & Stein, Jeremy C., 2008. "The only game in town: Stock-price consequences of local bias," Journal of Financial Economics, Elsevier, vol. 90(1), pages 20-37, October.
  6. Gikas Hardouvelis & Rafael La Porta & Thierry A. Wizman, 1994. "What Moves the Discount on Country Equity Funds?," NBER Chapters, in: The Internationalization of Equity Markets, pages 345-403, National Bureau of Economic Research, Inc.
  7. Menkveld, Albert J., 2008. "Splitting orders in overlapping markets: A study of cross-listed stocks," Journal of Financial Intermediation, Elsevier, vol. 17(2), pages 145-174, April.
  8. Tsangyao Chang & Xiao-lin Li & Stephen M. Miller & Mehmet Balcilar & Rangan Gupta, 2013. "The Co-Movement and Causality between the U.S. Real Estate and Stock Markets in the Time and Frequency Domains," Working papers 2013-34, University of Connecticut, Department of Economics.
  9. Kátay, Gábor & Péter, Harasztosi, 2017. "Currency Matching and Carry Trade by Non-Financial Corporations," Working Papers 2017-02, Joint Research Centre, European Commission.
  10. José Soares Fonseca, 2006. "The Integration of European Stock Markets and Market Timing," GEMF Working Papers 2006-05, GEMF, Faculty of Economics, University of Coimbra.
  11. Chung, Richard & Kryzanowski, Lawrence, 2001. "Tests of investor cognizance using earnings forecasts of North American analysts," International Review of Economics & Finance, Elsevier, vol. 10(2), pages 187-204.
  12. Richard Heaney & Vince Hooper, 1999. "World, Regional and Political Risk Influences Upon Asia Pacific Equity Market Returns," Australian Journal of Management, Australian School of Business, vol. 24(2), pages 131-142, December.
  13. Kryzanowski, Lawrence & Rubalcava, Arturo, 2005. "International trade-venue clienteles and order-flow competitiveness," Journal of Financial Intermediation, Elsevier, vol. 14(1), pages 86-113, January.
  14. Ito, Akitoshi, 1999. "Profits on technical trading rules and time-varying expected returns: evidence from Pacific-Basin equity markets," Pacific-Basin Finance Journal, Elsevier, vol. 7(3-4), pages 283-330, August.
  15. Miller, Darius P., 1999. "The market reaction to international cross-listings:: evidence from Depositary Receipts," Journal of Financial Economics, Elsevier, vol. 51(1), pages 103-123, January.
  16. Michel Normandin, 1999. "The Integration of Financial Markets and the Conduct of Monetary Policies: The Case of Canada and the United States," Cahiers de recherche CREFE / CREFE Working Papers 67, CREFE, Université du Québec à Montréal.
  17. Rene M. Stulz, 1994. "International Portfolio Choice and Asset Pricing: An Integrative Survey," NBER Working Papers 4645, National Bureau of Economic Research, Inc.
  18. Pat Wilson & John Okunev & Guy Ta, 1994. "Are Real Estate and Securities Markets Integrated? Some Australian Evidence," Working Paper Series 42, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  19. Wang, Yuenan & Iorio, Amalia Di, 2007. "Are the China-related stock markets segmented with both world and regional stock markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(3), pages 277-290, July.
  20. Rajan, Murli & Friedman, Joseph, 1997. "An examination of the impact of country risk on the international portfolio selection decision," Global Finance Journal, Elsevier, vol. 8(1), pages 55-70.
  21. Tai, Chu-Sheng, 2007. "Market integration and contagion: Evidence from Asian emerging stock and foreign exchange markets," Emerging Markets Review, Elsevier, vol. 8(4), pages 264-283, December.
  22. McConnell, John J. & Dybevik, Heidi J. & Haushalter, David & Lie, Erik, 1996. "A survey of evidence on domestic and international stock exchange listings with implications for markets and managers," Pacific-Basin Finance Journal, Elsevier, vol. 4(4), pages 347-376, December.
  23. Pasrun Adam & Ambo Wonua Nusantara & Abd AzisMuthalib, 2017. "Foreign Interest Ratesand the IslamicStock Market Integration between Indonesia and Malaysia," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 21(3), pages 639-659, Summer.
  24. Lee, Kuan-Hui, 2011. "The world price of liquidity risk," Journal of Financial Economics, Elsevier, vol. 99(1), pages 136-161, January.
  25. Wendy Rotenberg, 2013. "Mitigation of U.S. Home Bias in the Valuation of Canadian Natural Resource Firms: Choice of Reporting and Transaction Currency," Multinational Finance Journal, Multinational Finance Journal, vol. 17(3-4), pages 201-241, September.
  26. Ragunathan, Vanitha, 1999. "Financial deregulation and integration: an Australian perspective1," Journal of Economics and Business, Elsevier, vol. 51(6), pages 505-514.
  27. Gupta, Priyanshi & Sehgal, Sanjay & Deisting, Florent, 2015. "Time-Varying Bond Market Integration in EMU," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 30(4), pages 708-760.
  28. Reinhold Heinlein & Scott M. R. Mahadeo, 2023. "Oil and US stock market shocks: Implications for Canadian equities," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 56(1), pages 247-287, February.
  29. Tai, Chu-Sheng, 2007. "Market integration and currency risk in Asian emerging markets," Research in International Business and Finance, Elsevier, vol. 21(1), pages 98-117, January.
  30. Kim Hiang Liow & James R. Webb, 2009. "Common factors in international securitized real estate markets," Review of Financial Economics, John Wiley & Sons, vol. 18(2), pages 80-89, April.
  31. Mansor Ibrahim, 2006. "Integration or Segmentation of the Malaysian Equity Market: An Analysis of Pre- and Post-Capital Controls," Journal of the Asia Pacific Economy, Taylor & Francis Journals, vol. 11(4), pages 424-443.
  32. So, Jacky C. & Nyerges, Richard T., 1995. "International loans and the risk-return behavior of commercial banks: Some evidence from the capital market," Global Finance Journal, Elsevier, vol. 6(2), pages 135-153.
  33. Javed Anwar & M. Tariq Javed, 2000. "Capital Markets and Foreign Ownership Restrictions: An Empirical Analysis of Emerging Stock Markets," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 39(4), pages 933-950.
  34. Arouri, Mohamed El Hedi & Nguyen, Duc Khuong & Pukthuanthong, Kuntara, 2012. "An international CAPM for partially integrated markets: Theory and empirical evidence," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2473-2493.
  35. Warnes, Ignacio & Warnes, Pablo E., 2014. "Country risk and the cost of equity in emerging markets," Journal of Multinational Financial Management, Elsevier, vol. 28(C), pages 15-27.
  36. Beaulieu, Marie-Claude & Gagnon, Marie-Hélène & Khalaf, Lynda, 2016. "Less is more: Testing financial integration using identification-robust asset pricing models," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 45(C), pages 171-190.
  37. Asli Bayar & Zeynep Onder, 2005. "Liquidity and price volatility of cross-listed French stocks," Applied Financial Economics, Taylor & Francis Journals, vol. 15(15), pages 1079-1094.
  38. Jiang, Yonghong & Nie, He & Monginsidi, Joe Yohanes, 2017. "Co-movement of ASEAN stock markets: New evidence from wavelet and VMD-based copula tests," Economic Modelling, Elsevier, vol. 64(C), pages 384-398.
  39. Demirguc-Kunt, Ash & Huizinga, Harry, 1995. "Barriers to portfolio investments in emerging stock markets," Journal of Development Economics, Elsevier, vol. 47(2), pages 355-374, August.
  40. King, Michael R. & Segal, Dan, 2008. "Market segmentation and equity valuation: Comparing Canada and the United States," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(3), pages 245-258, July.
  41. Al-Shboul, Mohammad & Anwar, Sajid, 2014. "Pricing of the currency risk in the Canadian equity market," Research in International Business and Finance, Elsevier, vol. 30(C), pages 173-194.
  42. Marie-Claude Beaulieu & Lynda Khalaf & Marie-Hélène Gagnon, 2006. "Testing Financial Integration: Finite Sample Motivated Mothods," Computing in Economics and Finance 2006 233, Society for Computational Economics.
  43. A. Tahai & Robert Rutledge & Khondkar Karim, 2004. "An examination of financial integration for the group of seven (G7) industrialized countries using an I( ) cointegration model," Applied Financial Economics, Taylor & Francis Journals, vol. 14(5), pages 327-335.
  44. Lawrence D. Brown & Gordon D. Richardson & Charles A. Trzcinka, 1990. "Strong†form efficiency on the Toronto Stock Exchange: An examination of analyst price forecasts," Contemporary Accounting Research, John Wiley & Sons, vol. 7(1), pages 323-346, September.
  45. Huang, Wei, 2007. "Financial integration and the price of world covariance risk: Large- vs. small-cap stocks," Journal of International Money and Finance, Elsevier, vol. 26(8), pages 1311-1337, December.
  46. Li, Hong, 2012. "The impact of China's stock market reforms on its international stock market linkages," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(4), pages 358-368.
  47. Heung Wong & W. Li & Shiqing Ling, 2005. "Joint modeling of cointegration and conditional heteroscedasticity with applications," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 57(1), pages 83-103, March.
  48. G. Geoffrey Booth & Paul Brockman & Yiuman Tse, 1998. "The relationship between US and Canadian wheat futures," Applied Financial Economics, Taylor & Francis Journals, vol. 8(1), pages 73-80.
  49. Wayne Ferson & Campbell R. Harvey, 1994. "An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns," NBER Chapters, in: The Internationalization of Equity Markets, pages 59-147, National Bureau of Economic Research, Inc.
  50. Arouri, Mohamed El Hedi & Foulquier, Philippe, 2012. "Financial market integration: Theory and empirical results," Economic Modelling, Elsevier, vol. 29(2), pages 382-394.
  51. Demirguc-Kunt, A. & Huizinga, H.P., 1993. "Barriers to portfolio investments in emerging stock markets (Revised)," Discussion Paper 1993-41, Tilburg University, Center for Economic Research.
  52. Stephen R. Foerster & G. Andrew Karolyi, "undated". "The Effects of Market Segmentation and Illiquidity on Asset Prices: Evidence from Foreign Stocks Listing in the US," Research in Financial Economics 9606, Ohio State University.
  53. Kees G. Koedijk & Mathijs A. Van Dijk, 2004. "The Cost of Capital of Cross‐listed Firms," European Financial Management, European Financial Management Association, vol. 10(3), pages 465-486, September.
  54. Cappiello, Lorenzo & Gérard, Bruno & Kadareja, Arjan & Manganelli, Simone, 2006. "Financial integration of new EU Member States," Working Paper Series 683, European Central Bank.
  55. Goldberg, Michael A. & Levi, Maurice D., 2000. "The European Union as a country portfolio," European Journal of Political Economy, Elsevier, vol. 16(3), pages 411-427, September.
  56. Avishek Bhandari, 2020. "A wavelet analysis of inter-dependence, contagion and long memory among global equity markets," Papers 2003.14110, arXiv.org.
  57. Anders Johansson, 2010. "China's financial market integration with the world," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, vol. 8(3), pages 293-314.
  58. Stijn Claessens & Moon-Whoan Rhee, 1993. "The Effect of Equity Barriers on Foreign Investment in Developing Countries," NBER Working Papers 4579, National Bureau of Economic Research, Inc.
  59. Pat Wilson & John Okunev & Guy Ta, 1995. "Measuring the Degree of Integration Amongst Domestic and International Real Estate and Financial Assets Markets," Working Paper Series 49, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  60. Robert-Jan Gerrits & Ayse Yuce, 1999. "Short- and long-term links among European and US stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 9(1), pages 1-9.
  61. John Okunev & Pat Wilson, 1996. "Fractional Co-Integration in Domestic and International Real Estate and Stock Markets," Working Paper Series 65, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  62. David C. Ling & Andy Naranjo, 1999. "The Integration of Commercial Real Estate Markets and Stock Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 27(3), pages 483-515, September.
  63. Lee, Kuan-Hui & Yang, Cheol-Won, 2022. "The world price of tail risk," Pacific-Basin Finance Journal, Elsevier, vol. 71(C).
  64. Al-Mohamed, Somar & Elkanj, Nasser & Gangopadhyay, Partha, 2018. "Time-Varying Integration of MENA Stock Markets," International Journal of Development and Conflict, Gokhale Institute of Politics and Economics, vol. 8(2), pages 85-114.
  65. Hunter, Delroy M., 2006. "The evolution of stock market integration in the post-liberalization period - A look at Latin America," Journal of International Money and Finance, Elsevier, vol. 25(5), pages 795-826, August.
  66. Ivaschenko, Iryna V., 2004. "Coping with financial spillovers from the United States: the effect of US corporate scandals on Canadian stock prices," Journal of Multinational Financial Management, Elsevier, vol. 14(4-5), pages 407-424.
  67. Fesselmeyer, Eric & Mirman, Leonard J. & Santugini, Marc, 2014. "Risk sharing in an asymmetric environment," International Review of Economics & Finance, Elsevier, vol. 34(C), pages 1-8.
  68. Srinivasan Palamalai & Kalaivani M. & Christopher Devakumar, 2013. "Stock Market Linkages in Emerging Asia-Pacific Markets," SAGE Open, , vol. 3(4), pages 21582440135, November.
  69. Vassalou, Maria, 2000. "Exchange Rate And Foreign Inflation Risk Premiums In Global Equity Returns," CEPR Discussion Papers 2448, C.E.P.R. Discussion Papers.
  70. Cooper, Ian A. & Kaplanis, Evi, 2000. "Partially segmented international capital markets and international capital budgeting," Journal of International Money and Finance, Elsevier, vol. 19(3), pages 309-329, June.
  71. Boamah, Nicholas Addai & Watts, Edward J. & Loudon, Geoffrey, 2016. "Investigating temporal variation in the global and regional integration of African stock markets," Journal of Multinational Financial Management, Elsevier, vol. 36(C), pages 103-118.
  72. Tu, Teng-Tsai, 1998. "An entropic approach to equity market integration and consumption-based capital asset pricing models," ISU General Staff Papers 1998010108000012895, Iowa State University, Department of Economics.
  73. Ivan Todorov & Nikolay Patonov, 2012. "A Few Regressions Onbusiness Cycle Synchronization Between Thenew Member States And The Euro Area," Economics and Management, Faculty of Economics, SOUTH-WEST UNIVERSITY "NEOFIT RILSKI", BLAGOEVGRAD, vol. 8(2), pages 9-22.
  74. Yash Pal Taneja, 2012. "Stock Market Integration: A Study of World’s Major Stock Exchanges with Special Reference to India," Vision, , vol. 16(2), pages 109-120, June.
  75. Jithendranathan, Thadavillil & Nirmalanandan, T. R. & Tandon, Kishore, 2000. "Barriers to international investing and market segmentation: Evidence from Indian GDR market," Pacific-Basin Finance Journal, Elsevier, vol. 8(3-4), pages 399-417, July.
  76. A., Rjumohan, 2019. "Stock Markets: An Overview and A Literature Review," MPRA Paper 101855, University Library of Munich, Germany.
  77. Mittoo, Usha R., 2003. "Globalization and the value of US listing: Revisiting Canadian evidence," Journal of Banking & Finance, Elsevier, vol. 27(9), pages 1629-1661, September.
  78. Tesar, Linda L., 1995. "Evaluating the gains from international risksharing," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 42(1), pages 95-143, June.
  79. Glassman, Debra A. & Riddick, Leigh A., 1996. "Why empirical international portfolio models fail: evidence that model misspecification creates home asset bias," Journal of International Money and Finance, Elsevier, vol. 15(2), pages 275-312, April.
  80. Hao, Jing & He, Feng, 2018. "Univariate dependence among sectors in Chinese stock market and systemic risk implication," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 510(C), pages 355-364.
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  82. He, Zhongzhi & Kryzanowski, Lawrence, 2007. "Cost of equity for Canadian and U.S. sectors," The North American Journal of Economics and Finance, Elsevier, vol. 18(2), pages 215-229, August.
  83. Hooy Chee-Wooi & Robert D. Brooks, 2015. "The Components of Systematic Risk and Their Determinants in The Malaysian Equity Market," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 11(2), pages 151-176.
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  88. Gregory Koutmos & Anna D. Martin, 2003. "First‐ and Second‐Moment Exchange Rate Exposure: Evidence from U.S. Stock Returns," The Financial Review, Eastern Finance Association, vol. 38(3), pages 455-471, August.
  89. Pat Wilson & John Okunev, 1996. "Unit Root Testing with Known and Unknown Structural Breaks in Property and Equity Markets," Working Paper Series 62, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  90. Hong Li & Vincent Daly, 2017. "Stock Market Integration and Financial Crises: Evidence from Chinese Sectoral Portfolios," Review of Economics & Finance, Better Advances Press, Canada, vol. 10, pages 33-48, November.
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  93. Liow, Kim Hiang & Newell, Graeme, 2016. "Real estate global beta and spillovers: An international study," Economic Modelling, Elsevier, vol. 59(C), pages 297-313.
  94. Viet Do & Tram Vu, 2018. "The additional cost of hedging in foreign currency loans," Australian Journal of Management, Australian School of Business, vol. 43(2), pages 305-327, May.
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  97. Michel Normandin, 2004. "Canadian and U.S. financial markets: testing the international integration hypothesis under time-varying conditional volatility," Canadian Journal of Economics, Canadian Economics Association, vol. 37(4), pages 1021-1041, November.
  98. Harasztosi, Péter & Kátay, Gábor, 2020. "Currency matching by non-financial corporations," Journal of Banking & Finance, Elsevier, vol. 113(C).
  99. Michael R. King & Dan Segal, 2003. "Valuation of Canadian- vs. U.S.-Listed Equity: Is There a Discount?," Staff Working Papers 03-6, Bank of Canada.
  100. David Burgess & Joel Fried, 1999. "Canadian Retirement Savings Plans and the Foreign Property Rule," Canadian Public Policy, University of Toronto Press, vol. 25(3), pages 395-416, September.
  101. Chaudhury, M. M. & Lee, C. F., 1997. "Functional form of stock return model: Some international evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 37(1), pages 151-183.
  102. Dogus EMIN, 2016. "Stock Market Co-Movement at the Disaggregated Level: Individual Stock Integration," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(2), pages 96-112, April.
  103. Ip, Yiu Keung & Brooks, LeRoy D., 1996. "Capital market information transfer and integration: The case of securities dualtraded in the U.S. and Canada," Global Finance Journal, Elsevier, vol. 7(1), pages 53-65.
  104. Ron Alquist & Benjamin Chabot, 2012. "Institutions, the cost of capital, and long-run economic growth: evidence from the 19th century capital market," Working Paper Series WP-2012-17, Federal Reserve Bank of Chicago.
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  106. Michel Normandin, 2004. "Canadian and U.S. financial markets: testing the international integration hypothesis under time‐varying conditional volatility," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 37(4), pages 1021-1041, November.
  107. Vassalou, Maria, 2000. "Exchange rate and foreign inflation risk premiums in global equity returns," Journal of International Money and Finance, Elsevier, vol. 19(3), pages 433-470, June.
  108. Galagedera, Don U.A. & Brooks, Robert D., 2007. "Is co-skewness a better measure of risk in the downside than downside beta?: Evidence in emerging market data," Journal of Multinational Financial Management, Elsevier, vol. 17(3), pages 214-230, July.
  109. Tien Foo Sing, 2004. "Common risk factors and risk premia in direct and securitized real estate markets," Journal of Property Research, Taylor & Francis Journals, vol. 21(3), pages 189-207, December.
  110. Li, Hong, 2013. "Integration versus segmentation in China's stock market: An analysis of time-varying beta risks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 25(C), pages 88-105.
  111. Mohan Nandha & Robert Brooks, 2009. "Oil prices and transport sector returns: an international analysis," Review of Quantitative Finance and Accounting, Springer, vol. 33(4), pages 393-409, November.
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