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Measuring financial and economic integration with equity prices in emerging markets

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Cited by:

  1. Ramona DUMITRIU & Razvan STEFANESCU, 2014. "Gone Fishin’ Effects In Returns," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 254-261.
  2. Ekaterini Panopoulou & Michail Koubouros, 2005. "Intertemporal Market Risks and the Cross-Section of Greek Average Returns," Economics Department Working Paper Series n1611205, Department of Economics, National University of Ireland - Maynooth.
  3. Abdol S. Soofi & Zhe Li & Xiaofeng Hui, 2012. "Nonlinear interdependence of the Chinese stock markets," Quantitative Finance, Taylor & Francis Journals, vol. 12(3), pages 397-410, November.
  4. Al Nasser, Omar M. & Hajilee, Massomeh, 2016. "Integration of emerging stock markets with global stock markets," Research in International Business and Finance, Elsevier, vol. 36(C), pages 1-12.
  5. Mohamed El Hedi Arouri, 2006. "Are Stock Markets Integrated? Evidence from a Partially Segmented ICAPM with Asymmetric Effects," Frontiers in Finance and Economics, SKEMA Business School, vol. 3(2), pages 70-94, December.
  6. Gerlach, Richard & Wilson, Patrick & Zurbruegg, Ralf, 2006. "Structural breaks and diversification: The impact of the 1997 Asian financial crisis on the integration of Asia-Pacific real estate markets," Journal of International Money and Finance, Elsevier, vol. 25(6), pages 974-991, October.
  7. 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.
  8. Boubakri, Salem & Couharde, Cécile & Raymond, Hélène, 2016. "Effects of financial turmoil on financial integration and risk premia in emerging markets," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 120-138.
  9. Kate Phylaktis & Lichuan Xia, 2009. "Equity Market Comovement and Contagion: A Sectoral Perspective," Financial Management, Financial Management Association International, vol. 38(2), pages 381-409, June.
  10. Lee, Hyunchul & Cho, Seung Mo, 2017. "What drives dynamic comovements of stock markets in the Pacific Basin region?: A quantile regression approach," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 314-327.
  11. Michail Koubouros & Ekaterini Panopoulou, 2007. "Intertemporal Market Risks and the Cross–Section of Greek Average Returns," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 6(2), pages 203-227, May.
  12. repec:ipg:wpaper:2014-444 is not listed on IDEAS
  13. Cenedese, Gino & Mallucci, Enrico, 2016. "What moves international stock and bond markets?," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 94-113.
  14. Kian-Ping Lim & Hock-Ann Lee & Venus Khim-Sen Liew, 2003. "International Diversification Benefits in ASEAN Stock Markets: a Revisit," Finance 0308003, University Library of Munich, Germany.
  15. Phylaktis, Kate & Ravazzolo, Fabiola, 2005. "Stock prices and exchange rate dynamics," Journal of International Money and Finance, Elsevier, vol. 24(7), pages 1031-1053, November.
  16. Tony Cavoli, 2006. "Financial Integration in East Asia: How Far? How Much Further to Go?," Working Papers id:372, eSocialSciences.
  17. Aktham Maghyereh, 2006. "Regional Integration of Stock Markets in MENA Countries," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 5(1), pages 59-94, April.
  18. Salem Boubakri & Cécile Couharde & Hélène Raymond, 2014. "Financial integration, financial turmoil and risk premia in emerging markets," EconomiX Working Papers 2014-52, University of Paris Nanterre, EconomiX.
  19. Ahmad, Nasir & Rehman, Mobeen Ur & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "Does inter-region portfolio diversification pay more than the international diversification?," The Quarterly Review of Economics and Finance, Elsevier, vol. 83(C), pages 26-35.
  20. Ilse Botha, 2010. "A Comparative Analysis Of The Synchronisation Of Business Cycles For Developed And Developing Economies With The World Business Cycle," South African Journal of Economics, Economic Society of South Africa, vol. 78(2), pages 192-207, June.
  21. W.I.C.S. Gunasinghe, 2005. "Behaviour of Stock Markets in South Asia," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, vol. 6(2), pages 165-191, September.
  22. Ian Babetskii & Luboš Komárek & Zlatuše Komárková, 2007. "Financial Integration of Stock Markets among New EU Member States and the Euro Area," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 57(7-8), pages 341-362, September.
  23. Jonathan A. Batten & Peter Morgan & Peter G. Szilagyi, 2015. "Time Varying Asian Stock Market Integration," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 60(01), pages 1-24.
  24. Teulon, Frédéric & Guesmi, Khaled & Mankai, Selim, 2014. "Regional stock market integration in Singapore: A multivariate analysis," Economic Modelling, Elsevier, vol. 43(C), pages 217-224.
  25. Leo H. Chan, 2006. "A Note On The Correlation Relationship Among Singapore, Hong Kong And The Us Capital Markets Since The Hong Kong Handover: Implication For International Portfolio Management," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 51(03), pages 335-342.
  26. Ben Rejeb, Aymen & Arfaoui, Mongi, 2016. "Financial market interdependencies: A quantile regression analysis of volatility spillover," Research in International Business and Finance, Elsevier, vol. 36(C), pages 140-157.
  27. Phylaktis, Kate & Ravazzolo, Fabiola, 2005. "Stock market linkages in emerging markets: implications for international portfolio diversification," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(2), pages 91-106, April.
  28. Diamandis, Panayiotis F., 2009. "International stock market linkages: Evidence from Latin America," Global Finance Journal, Elsevier, vol. 20(1), pages 13-30.
  29. Andres Rivas & Rahul Verma & Antonio Rodriguez & Pedro H. Albuquerque, 2023. "The Increasing Impact of Spain on the Equity Markets of Brazil, Chile and Mexico," AMSE Working Papers 2312, Aix-Marseille School of Economics, France.
  30. Michael Donadelli, 2013. "On the Dynamics of Industrial Stock Market Excess Returns," Working Papers CASMEF 1301, Dipartimento di Economia e Finanza, LUISS Guido Carli.
  31. Abid, Ilyes & Kaabia, Olfa & Guesmi, Khaled, 2014. "Stock market integration and risk premium: Empirical evidence for emerging economies of South Asia," Economic Modelling, Elsevier, vol. 37(C), pages 408-416.
  32. Morana, Claudio & Beltratti, Andrea, 2008. "Comovements in international stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(1), pages 31-45, February.
  33. Muhanji, Stella & Ojah, Kalu, 2016. "Governance infrastructure and indebtedness of African countries: Do regional blocs matter?," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 123-153.
  34. repec:zbw:bofitp:2012_004 is not listed on IDEAS
  35. Neslihan Ozkan & Zvi Singer & Haifeng You, 2012. "Mandatory IFRS Adoption and the Contractual Usefulness of Accounting Information in Executive Compensation," Journal of Accounting Research, Wiley Blackwell, vol. 50(4), pages 1077-1107, September.
  36. Christian Aubin & Jean-Pierre Berdot & Daniel Goyeau & Jacques Léonard, 2005. "Quelle convergence financière pour les pecos ?. Une analyse économétrique de l'évolution des marchés d'actions (1998-2003)," Revue économique, Presses de Sciences-Po, vol. 56(1), pages 147-169.
  37. Daryl Collins & Mark Abrahamson, 2004. "African Equity Markets And The Process Of Global Financial Integration," South African Journal of Economics, Economic Society of South Africa, vol. 72(4), pages 658-683, September.
  38. Sowmya Dhanaraj & Arun Kumar Gopalaswamy & Suresh Babu M, 2013. "Dynamic interdependence between US and Asian markets: an empirical study," Journal of Financial Economic Policy, Emerald Group Publishing, vol. 5(2), pages 220-237, April.
  39. Aymen Ben Rejeb, 2013. "Volatility spillovers and contagion: an empirical analysis of structural changes in emerging market volatility," Economics Bulletin, AccessEcon, vol. 33(1), pages 56-71.
  40. Hazar Altinbas, 2020. "Examining Time-Varying Integrity And Interrelationships Among Global Stock Markets," International Journal of Economic Sciences, International Institute of Social and Economic Sciences, vol. 9(1), pages 1-24, June.
  41. Babecký, Jan & Komárek, Lubos & Komárková, Zlatuse, 2012. "Integration of Chinese and Russian stock markets with world markets : National and sectoral Perspectives," BOFIT Discussion Papers 4/2012, Bank of Finland, Institute for Economies in Transition.
  42. Boamah, Nicholas Addai & Akotey, Joseph Oscar & Aaawaar, Godfred, 2020. "Economic engagement and within emerging markets integration," Research in International Business and Finance, Elsevier, vol. 52(C).
  43. Chris Bilson & Tim Brailsford & Aiden Hallett & Jing Shi, 2012. "The impact of terrorism on global equity market integration," Australian Journal of Management, Australian School of Business, vol. 37(1), pages 47-60, April.
  44. Daryl Collins & Shana Gavron, 2005. "Measuring equity market contagion in multiple financial events," Applied Financial Economics, Taylor & Francis Journals, vol. 15(8), pages 531-538.
  45. Andrés Rivas & Rahul Verma & Antonio Rodriguez & Pedro H. Albuquerque, 2005. "Do European Stock Markets Affect Latin American Stock Markets?," Finance 0512017, University Library of Munich, Germany.
  46. Babecký, Jan & Komárek, Lubos & Komárková, Zlatuse, 2012. "Integration of Chinese and Russian stock markets with world markets: National and sectoral Perspectives," BOFIT Discussion Papers 4/2012, Bank of Finland Institute for Emerging Economies (BOFIT).
  47. Chan, Leo & Lien, Donald & Weng, Wenlong, 2008. "Financial interdependence between Hong Kong and the US: A band spectrum approach," International Review of Economics & Finance, Elsevier, vol. 17(4), pages 507-516, October.
  48. Narayan, Seema & Ur Rehman, Mobeen, 2017. "Diversification opportunities between emerging and frontier Asian (EFA) and developed stock markets," Finance Research Letters, Elsevier, vol. 23(C), pages 223-232.
  49. Phylaktis, Kate & Ravazzolo, Fabiola, 2004. "Currency risk in emerging equity markets," Emerging Markets Review, Elsevier, vol. 5(3), pages 317-339, September.
  50. Giorgio Valente, 2005. "US Monetary Policy Announcements and the Term Structure of Interest Rate Differentials: Evidence from Hong Kong and Singapore," Working Papers 092005, Hong Kong Institute for Monetary Research.
  51. Chancharat,Surachai & Valadkhani, Abbas, 2007. "An Empirical Analysis of the Thai and Major International Stock Markets," Economics Working Papers wp07-13, School of Economics, University of Wollongong, NSW, Australia.
  52. Jing Shi & Chris Bilson & John G. Powell & Julie Wigg, 2010. "Foreign direct investment and international stock market integration," Australian Journal of Management, Australian School of Business, vol. 35(3), pages 265-290, December.
  53. Nistor, Costel & Dumitriu, Ramona & Stefanescu, Razvan, 2012. "Impact of the global crisis on the linkages between CAC 40 and indexes from CEE countries," MPRA Paper 42511, University Library of Munich, Germany, revised 18 Sep 2012.
  54. Wahyoe Soedarmono, 2018. "Stock market integration in the Asia-Pacific region: Evidence from cointegration of liquidity risk," Economics Bulletin, AccessEcon, vol. 38(1), pages 60-70.
  55. Darrat, Ali F. & Zhong, Maosen, 2005. "Equity market linkage and multinational trade accords: The case of NAFTA," Journal of International Money and Finance, Elsevier, vol. 24(5), pages 793-817, September.
  56. Bai, Ye & Green, Christopher J. & Leger, Lawrence, 2012. "Industry and country factors in emerging market returns: Did the Asian crisis make a difference?," Emerging Markets Review, Elsevier, vol. 13(4), pages 559-580.
  57. Ehigiamusoe, Kizito Uyi & Lean, Hooi Hooi, 2019. "Do economic and financial integration stimulate economic growth? A critical survey," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 13, pages 1-27.
  58. Claudio Morana, 2008. "International stock markets comovements: the role of economic and financial integration," Empirical Economics, Springer, vol. 35(2), pages 333-359, September.
  59. Ming†Chieh Wang & Feng†Ming Shih, 2013. "Time†Varying World and Regional Integration in Emerging European Equity Markets," European Financial Management, European Financial Management Association, vol. 19(4), pages 703-729, September.
  60. Canh, Nguyen Phuc & Schinckus, Christophe & Thanh, Su Dinh & Chong, Felicia Hui Ling, 2021. "The determinants of the energy consumption: A shadow economy-based perspective," Energy, Elsevier, vol. 225(C).
  61. Avishek Bhandari, 2020. "A wavelet analysis of inter-dependence, contagion and long memory among global equity markets," Papers 2003.14110, arXiv.org.
  62. Hock-Ann Lee & Kian-Ping Lim & Venus Khim-Sen Liew, 2009. "Is There Any International Diversification Benefits in ASEAN Stock Markets?," Economics Bulletin, AccessEcon, vol. 29(1), pages 392-406.
  63. Teng Kee Tuan & Yen Siew Hwa & Chua Soo Yean, 2013. "Synchronisation of Stock Market Cycles: The Importance of Emerging and Developed Markets to ASEAN-5," Prague Economic Papers, Prague University of Economics and Business, vol. 2013(4), pages 435-458.
  64. Aymen Ben Rejeb & Adel Boughrara, 2015. "Financial integration in emerging market economies: Effects on volatility transmission and contagion," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 15(3), pages 161-179, September.
  65. Behrooz Gharleghi & Asghar Afshar Jahanshahi, 2020. "The way to sustainable development through income equality: The impact of trade liberalisation and financial development," Sustainable Development, John Wiley & Sons, Ltd., vol. 28(4), pages 990-1001, July.
  66. Dumitriu, Ramona & Stefanescu, Razvan, 2013. "DOW effects in returns and in volatility of stock markets during quiet and turbulent times," MPRA Paper 47218, University Library of Munich, Germany, revised 02 Apr 2013.
  67. Michael Donadelli & Marcella Lucchetta, 2013. "Emerging Stock Premia: Some Evidence From Industrial Stock Market Data," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 3(4), pages 398-422, April.
  68. Soofi Abdol S, 2008. "Global Financial Integration and the MENA Countries: Evidence from Equity and Money Markets," Review of Middle East Economics and Finance, De Gruyter, vol. 4(2), pages 93-116, April.
  69. Lieven Baele & Pilar Soriano, 2010. "The determinants of increasing equity market comovement: economic or financial integration?," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 146(3), pages 573-589, September.
  70. Hyde, Stuart J & Bredin, Don P & Nguyen, Nghia, 2007. "Correlation dynamics between Asia-Pacific, EU and US stock returns," MPRA Paper 9681, University Library of Munich, Germany.
  71. Stan Shun-Pinn Lee & Kim-Leng Goh, 2016. "Regional and International Linkages of the ASEAN-5 Stock Markets: A Multivariate Garch Approach," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 12(1), pages 49-71.
  72. He, Zhongzhi & Xue, Wenjun, 2022. "Idiosyncratic volatility puzzle exists at the country level," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
  73. J. Vineesh Prakash & D. K. Nauriyal, 2021. "Integration and Interdependence Among Equity Markets in South Asia: Measuring Through ARDL Bounds Approach," Millennial Asia, , vol. 12(2), pages 229-251, August.
  74. Loh, Lixia, 2013. "Co-movement of Asia-Pacific with European and US stock market returns: A cross-time-frequency analysis," Research in International Business and Finance, Elsevier, vol. 29(C), pages 1-13.
  75. Ajaya Kumar Panda & Swagatika Nanda, 2017. "Short-term and long-term Interconnectedness of stock returns in Western Europe and the global market," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 3(1), pages 1-24, December.
  76. Andrade, Sandro C., 2009. "A model of asset pricing under country risk," Journal of International Money and Finance, Elsevier, vol. 28(4), pages 671-695, June.
  77. Jiang, Junhua, 2017. "Discount rate or cash flow contagion? Evidence from the recent financial crises," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 315-326.
  78. Akbari, Amir & Ng, Lilian & Solnik, Bruno, 2021. "Drivers of economic and financial integration: A machine learning approach," Journal of Empirical Finance, Elsevier, vol. 61(C), pages 82-102.
  79. Goh, Jeremy C. & Jiang, Fuwei & Tu, Jun & Wang, Yuchen, 2013. "Can US economic variables predict the Chinese stock market?," Pacific-Basin Finance Journal, Elsevier, vol. 22(C), pages 69-87.
  80. Lindman, Sebastian & Tuvhag, Tom & Jayasekera, Ranadeva & Uddin, Gazi Salah & Troster, Victor, 2020. "Market Impact on financial market integration: Cross-quantilogram analysis of the global impact of the euro," Journal of Empirical Finance, Elsevier, vol. 56(C), pages 42-73.
  81. Chan, Kenneth S. & Dang, Vinh Q.T. & Lai, Jennifer T., 2018. "Capital market integration in ASEAN: A non-stationary panel data analysis," The North American Journal of Economics and Finance, Elsevier, vol. 46(C), pages 249-260.
  82. Kearney, Colm & Lucey, Brian M., 2004. "International equity market integration: Theory, evidence and implications," International Review of Financial Analysis, Elsevier, vol. 13(5), pages 571-583.
  83. Anupam Nanda & Jia-Huey Yeh, 2016. "International Transmission Mechanisms and Contagion in Housing Markets," The World Economy, Wiley Blackwell, vol. 39(7), pages 1005-1024, July.
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