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The Risk Exposure of Emerging Equity Markets

Citations

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Cited by:

  1. Jose Fernandes & Augusto Hasman & Juan Ignacio Pena, 2007. "Risk premium: insights over the threshold," Applied Financial Economics, Taylor & Francis Journals, vol. 18(1), pages 41-59.
  2. Phylaktis, Kate & Xia, Lichuan, 2006. "Sources of firms' industry and country effects in emerging markets," Journal of International Money and Finance, Elsevier, vol. 25(3), pages 459-475, April.
  3. Xue, Wen-Jun & Zhang, Li-Wen, 2017. "Stock return autocorrelations and predictability in the Chinese stock market—Evidence from threshold quantile autoregressive models," Economic Modelling, Elsevier, vol. 60(C), pages 391-401.
  4. Guesmi, Khaled & Teulon, Frederic & Muzaffar, Ahmed Taneem, 2014. "The evolution of risk premium as a measure for intra-regional equity market integration," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 13-19.
  5. Bekaert, Geert & Harvey, Campbell R., 1997. "Emerging equity market volatility," Journal of Financial Economics, Elsevier, vol. 43(1), pages 29-77, January.
  6. Carlos Andrés Amaya G. & Peter Rowland, 2004. "Determinants Of Investment Flows Into Emerging Markets," Borradores de Economia 2334, Banco de la Republica.
  7. Charemza, Wojciech W. & Majerowska, Ewa, 2000. "Regulation of the Warsaw Stock Exchange: The portfolio allocation problem," Journal of Banking & Finance, Elsevier, vol. 24(4), pages 555-576, April.
  8. Asgharian, Hossein & Hess, Wolfgang & Liu, Lu, 2013. "A spatial analysis of international stock market linkages," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4738-4754.
  9. Marie Briere & Ariane Szafarz, 2015. "Does commercial microfinance belong to the financial sector? Lessons from the stock market," Post-Print CEB, ULB -- Universite Libre de Bruxelles, vol. 67, pages 110-125, March.
  10. Kabir Hassan, M. & Maroney, Neal C. & Monir El-Sady, Hassan & Telfah, Ahmad, 2003. "Country risk and stock market volatility, predictability, and diversification in the Middle East and Africa," Economic Systems, Elsevier, vol. 27(1), pages 63-82, March.
  11. Adler, Michael & Qi, Rong, 2003. "Mexico's integration into the North American capital market," Emerging Markets Review, Elsevier, vol. 4(2), pages 91-120, June.
  12. Raúl Susmel, 1998. "Extreme Observations and Diversification in Latin American Emerging Equity Markets," CEMA Working Papers: Serie Documentos de Trabajo. 138, Universidad del CEMA.
  13. Guesmi, Khaled & Nguyen, Duc Khuong, 2011. "How strong is the global integration of emerging market regions? An empirical assessment," Economic Modelling, Elsevier, vol. 28(6), pages 2517-2527.
  14. Vadim Ye. Zyamalov, 2017. "Comparison of the Predictive Ability of Single and Multi-Regime Models of Stock Market Dynamics," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 2, pages 64-75, April.
  15. Ayaz Ahmed, 1998. "Stock Market Interlinkages in Emerging Markets," PIDE Research Report 1998:159, Pakistan Institute of Development Economics.
  16. Turuntseva, M. & Zyamalov, V., 2016. "Stock Markets under the Changing Terms of Trade," Journal of the New Economic Association, New Economic Association, vol. 31(3), pages 93-109.
  17. repec:dau:papers:123456789/7858 is not listed on IDEAS
  18. Haque Mahfuzul & Hassan M. Kabir & Maroney Neal C & Sackley William H, 2004. "An Empirical Examination of Stability, Predictability, and Volatility of Middle Eastern and African Emerging Stock Markets," Review of Middle East Economics and Finance, De Gruyter, vol. 2(1), pages 18-41, April.
  19. Girard, Eric & Rahman, Hamid & Zaher, Tarek, 2003. "On market price of risk in Asian capital markets around the Asian flu," International Review of Financial Analysis, Elsevier, vol. 12(3), pages 241-265.
  20. Rashid Al-Qenae & Carmen Li & Bob Wearing, 2002. "The Information Content of Earnings on Stock Prices: The Kuwait Stock Exchange," Multinational Finance Journal, Multinational Finance Journal, vol. 6(3-4), pages 197-221, September.
  21. 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.
  22. 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.
  23. Stephen Matteo Miller, 2012. "Booms and Busts as Exchange Options," Multinational Finance Journal, Multinational Finance Journal, vol. 16(3-4), pages 189-223, September.
  24. Carlos Andrés Amaya & Peter Rowland, 2004. "Determinants of Investment Flows into Emerging Markets," Borradores de Economia 313, Banco de la Republica de Colombia.
  25. Ephraim Clark & Konstantinos Kassimatis, 2013. "International equity flows, marginal conditional stochastic dominance and diversification," Review of Quantitative Finance and Accounting, Springer, vol. 40(2), pages 251-271, February.
  26. Tan, Pei P. & Galagedera, Don U.A. & Maharaj, Elizabeth A., 2012. "A wavelet based investigation of long memory in stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(7), pages 2330-2341.
  27. Borgsen, Sina & Glaser, Markus, 2005. "Diversifikationseffekte durch Small und Mid Caps?," Sonderforschungsbereich 504 Publications 05-10, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
  28. Mr. Jeromin Zettelmeyer & Ms. Beatrice Weder & Mr. Christoph A Klingen, 2004. "How Private Creditors Fared in Emerging Debt Markets, 1970-2000," IMF Working Papers 2004/013, International Monetary Fund.
  29. Khurshid M. Kiani, 2016. "On Modelling and Forecasting Predictable Components in European Stock Markets," Computational Economics, Springer;Society for Computational Economics, vol. 48(3), pages 487-502, October.
  30. Luitel, Prabesh & Vanpée, Rosanne & De Moor, Lieven, 2016. "Pernicious effects: How the credit rating agencies disadvantage emerging markets," Research in International Business and Finance, Elsevier, vol. 38(C), pages 286-298.
  31. Francois Boye, 2007. "Mexican ADRs in the 90s: as good as expected?," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 22(1), pages 93-120, June.
  32. Wen-Jun Xue & Li-Wen Zhang, 2016. "Stock Return Autocorrelations and Predictability in the Chinese Stock Market: Evidence from Threshold Quantile Autoregressive Models," Working Papers 1605, Florida International University, Department of Economics.
  33. Saint Kuttu & Godfred A. Bokpin, 2017. "Feedback Trading and Autocorrelation Patterns in Sub-Saharan African Equity Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 53(1), pages 213-225, January.
  34. Kannyiri Thadious Banyen & Joseph Kofi Nkuah, 2015. "Limited Stock Market Participation in Ghana: A Behavioral Explanation," International Journal of Economics and Empirical Research (IJEER), The Economics and Social Development Organization (TESDO), vol. 3(6), pages 286-305, June.
  35. Costantini, Mauro & Sousa, Ricardo M., 2022. "What uncertainty does to euro area sovereign bond markets: Flight to safety and flight to quality," Journal of International Money and Finance, Elsevier, vol. 122(C).
  36. Bilson, Christopher M. & Brailsford, Timothy J. & Hooper, Vincent J., 2001. "Selecting macroeconomic variables as explanatory factors of emerging stock market returns," Pacific-Basin Finance Journal, Elsevier, vol. 9(4), pages 401-426, August.
  37. Syed Jawad Hussain Shahzad & Dene Hurley & Román Ferrer, 2021. "U.S. stock prices and macroeconomic fundamentals: Fresh evidence using the quantile ARDL approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3569-3587, July.
  38. Philippe Bacchetta & Eric van Wincoop, 2000. "Capital Flows to Emerging Markets: Liberalization, Overshooting, and Volatility," NBER Chapters, in: Capital Flows and the Emerging Economies: Theory, Evidence, and Controversies, pages 61-98, National Bureau of Economic Research, Inc.
  39. M. Kabir Hassan & Anisul M. Islam & Syed Abul Basher, 2000. "Market Efficiency, Time-Varying Volatility and Equity Returns in Bangladesh Stock Market," Working Papers 2002_6, York University, Department of Economics, revised Jun 2002.
  40. Bilson, Christopher M. & Brailsford, Timothy J. & Hooper, Vincent C., 2002. "The explanatory power of political risk in emerging markets," International Review of Financial Analysis, Elsevier, vol. 11(1), pages 1-27.
  41. Susmel, Raul, 2001. "Extreme observations and diversification in Latin American emerging equity markets," Journal of International Money and Finance, Elsevier, vol. 20(7), pages 971-986, December.
  42. Philipp Harms, 2001. "International investment in a model of stochastic growth and development traps," Journal of Economics, Springer, vol. 74(2), pages 131-155, June.
  43. Raul Susmel & Ramon Rabinovitch & Ana Silva, 2000. "Impact of Capital Controls and Transaction Costs on the Return Distribution of Dually Traded Securities: Evidence from Chile and Argentina," CEMA Working Papers: Serie Documentos de Trabajo. 171, Universidad del CEMA.
  44. J. L. Ford & Wee Ching Pok & S. Poshakwale, 2006. "The Predictability of KLSE CI Stock Index Futures Returns and The Conditional Multifactor APT Model," Discussion Papers 06-09, Department of Economics, University of Birmingham.
  45. Mika Vaihekoski, 2007. "Global Market and Currency Risk in Finnish Stock Market," Finnish Economic Papers, Finnish Economic Association, vol. 20(1), pages 72-88, Spring.
  46. Kiani, Khurshid M., 2011. "Relationship between portfolio diversification and value at risk: Empirical evidence," Emerging Markets Review, Elsevier, vol. 12(4), pages 443-459.
  47. Rabinovitch, Ramon & Silva, Ana Cristina & Susmel, Raul, 2003. "Returns on ADRs and arbitrage in emerging markets," Emerging Markets Review, Elsevier, vol. 4(3), pages 225-247, September.
  48. Asteriou, Dimitrios & Bashmakova, Yuliya, 2013. "Assessing the impact of oil returns on emerging stock markets: A panel data approach for ten Central and Eastern European Countries," Energy Economics, Elsevier, vol. 38(C), pages 204-211.
  49. Ayaz Ahmed, 1998. "Stock Market Interl inkages in Emerging Markets," PIDE-Working Papers 1998:159, Pakistan Institute of Development Economics.
  50. 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.
  51. Tesar, Linda L. & Werner, Ingrid M., 1995. "Home bias and high turnover," Journal of International Money and Finance, Elsevier, vol. 14(4), pages 467-492, August.
  52. 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.
  53. Peltonen, Tuomas A. & Sousa, Ricardo M. & Vansteenkiste, Isabel S., 2012. "Wealth effects in emerging market economies," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 155-166.
  54. Claessens, Stijn & Dasgupta, Susmita & Glen, Jack, 1995. "The cross-section of stock returns : evidence from emerging markets," Policy Research Working Paper Series 1505, The World Bank.
  55. Reis, Luciana & Meurer, Roberto & Da Silva, Sergio, 2008. "Stock returns and foreign investment in Brazil," MPRA Paper 23028, University Library of Munich, Germany.
  56. repec:dau:papers:123456789/14039 is not listed on IDEAS
  57. Hammami Algia & Bouri Abdelfatteh, 2018. "The Conditional Relationship between Oil Price Risk and Return Stock Market: a Comparative Study of Advanced and Emerging Countries," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 9(4), pages 1321-1347, December.
  58. Steven Beach & Alexei Orlov, 2007. "An application of the Black–Litterman model with EGARCH-M-derived views for international portfolio management," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 21(2), pages 147-166, June.
  59. Rendu de Lint, Christel, 2002. "Risk profiles: how do they change when stock markets collapse?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 12(1), pages 59-80, February.
  60. M. K. Hassan & S. S. H. Chowdhury, 2008. "Efficiency of Bangladesh stock market: evidence from monthly index and individual firm data," Applied Financial Economics, Taylor & Francis Journals, vol. 18(9), pages 749-758.
  61. Bekaert, Geert & Harvey, Campbell R. & Lundblad, Christian T. & Siegel, Stephan, 2016. "Political risk and international valuation," Journal of Corporate Finance, Elsevier, vol. 37(C), pages 1-23.
  62. Ewa Majerowska, "undated". "Validity of the optimal portfolio allocation model with price constraints on the example of the Warsaw Stock Exchange," Discussion Papers in European Economics 99/5, Division of Economics, School of Business, University of Leicester.
  63. Andreas Charitou & Andreas Makris & George P. Nishiotis, 2006. "Closed-End Country Funds and International Diversification," Multinational Finance Journal, Multinational Finance Journal, vol. 10(3-4), pages 251-276, September.
  64. Syed Basher & M. Kabir Hassan & Anisul Islam, 2007. "Time-varying volatility and equity returns in Bangladesh stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 17(17), pages 1393-1407.
  65. Nassar S. Al-Nassar & Razzaque H. Bhatti, 2019. "Are common stocks a hedge against inflation in emerging markets?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(3), pages 421-455, July.
  66. Bruce Hearn & Jenifer Piesse, 2008. "Opportunities And Costs Of Portfolio Diversification In Sadc'S Smallest Equity Markets," South African Journal of Economics, Economic Society of South Africa, vol. 76(3), pages 399-426, September.
  67. Francis, Bill B. & Hasan, Iftekhar & Hunter, Delroy M., 2002. "Emerging market liberalization and the impact on uncovered interest rate parity," Journal of International Money and Finance, Elsevier, vol. 21(6), pages 931-956, November.
  68. Majumder, Debasish, 2014. "Asset pricing for inefficient markets: Evidence from China and India," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(2), pages 282-291.
  69. Borgsen, Sina & Glaser, Markus, 2005. "Diversifikationseffekte durch small und mid caps? : Eine empirische Untersuchung basierend auf europäischen Aktienindizes," Papers 05-10, Sonderforschungsbreich 504.
  70. Mika Vaihekoski, 2000. "Unconditional international asset pricing models: empirical tests," Finnish Economic Papers, Finnish Economic Association, vol. 13(2), pages 71-88, Autumn.
  71. Syed Furqan Haider Shamsi & Nighat Bilgrami-Jaffery, 2000. "Emerging Capital Markets Development: A Case Study of Pakistani Equity Markets," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 39(4), pages 963-978.
  72. Majumder, Debasish, 2013. "Towards an efficient stock market: Empirical evidence from the Indian market," Journal of Policy Modeling, Elsevier, vol. 35(4), pages 572-587.
  73. Li, Jianping & Feng, Yuyao & Li, Guowen & Sun, Xiaolei, 2020. "Tourism companies' risk exposures on text disclosure," Annals of Tourism Research, Elsevier, vol. 84(C).
  74. Eric Girard & James Nolan & Tony Pondillo, 2010. "Determinants Of Emerging Markets’ Commercial Bank Stock Returns," Global Journal of Business Research, The Institute for Business and Finance Research, vol. 4(2), pages 11-26.
  75. Arumugam Sankaran & Arjun Krishna & Arjunan Vadivel, 2021. "How does manufacturing output affect export behaviors in emerging market economies? Evidence from a dynamic panel ARDL for ten biggest emerging market economies," Future Business Journal, Springer, vol. 7(1), pages 1-10, December.
  76. Eric Girard & Amit Sinha, 2006. "Does Total Risk Matter? The Case of Emerging Markets," Multinational Finance Journal, Multinational Finance Journal, vol. 10(1-2), pages 117-151, March-Jun.
  77. Verma, Rahul & Soydemir, Gokce, 2006. "Modeling country risk in Latin America: A country beta approach," Global Finance Journal, Elsevier, vol. 17(2), pages 192-213, December.
  78. Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2020. "Integrated dynamic models for hedging international portfolio risks," European Journal of Operational Research, Elsevier, vol. 285(1), pages 48-65.
  79. Ülkü, Numan & Baker, Saleh, 2014. "Country world betas: The link between the stock market beta and macroeconomic beta," Finance Research Letters, Elsevier, vol. 11(1), pages 36-46.
  80. Collins, Daryl & Abrahamson, Mark, 2006. "Measuring the cost of equity in African financial markets," Emerging Markets Review, Elsevier, vol. 7(1), pages 67-81, March.
  81. Bekaert, Geert & Harvey, Campbell R. & Mondino, Tomas, 2023. "Emerging equity markets in a globalized world," Emerging Markets Review, Elsevier, vol. 56(C).
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