Financial Development and the Sensitivity of Stock Markets to External Influences
The paper investigates how the relative contribution of external factors to stock price movements varies with the degree of financial development. It is found that financial development makes stock markets more susceptible to external influences (both financial and macroeconomic). Interestingly, this effect is present even after having accounted for capital controls and international trade effects. Copyright 2002 by Blackwell Publishing Ltd.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 10 (2002)
Issue (Month): 3 (August)
|Contact details of provider:|| Web page: http://www.blackwellpublishing.com/journal.asp?ref=0965-7576|
|Order Information:||Web: http://www.blackwellpublishing.com/subs.asp?ref=0965-7576|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Bekaert, Geert & Harvey, Campbell R., 1997.
"Emerging equity market volatility,"
Journal of Financial Economics,
Elsevier, vol. 43(1), pages 29-77, January.
- Bekaert, Geert & Harvey, Campbell R, 1995.
" Time-Varying World Market Integration,"
Journal of Finance,
American Finance Association, vol. 50(2), pages 403-44, June.
- Natalia T. Tamirisa, 1998.
"Exchange and Capital Controls as Barriers to Trade,"
IMF Working Papers
98/81, International Monetary Fund.
- Natalia T. Tamirisa, 1999. "Exchange and Capital Controls as Barriers to Trade," IMF Staff Papers, Palgrave Macmillan, vol. 46(1), pages 4.
- Helpman, Elhanan & Razin, Assaf, 1978. "A theory of international trade under uncertainty," MPRA Paper 22112, University Library of Munich, Germany.
- K. Geert Rouwenhorst, 1999.
"Local Return Factors and Turnover in Emerging Stock Markets,"
Journal of Finance,
American Finance Association, vol. 54(4), pages 1439-1464, 08.
- K. Rouwenhorst, 1998. "Local Return Factors and Turnover in Emerging Stock Markets," Yale School of Management Working Papers ysm97, Yale School of Management, revised 01 Mar 2001.
- Montiel, Peter & Reinhart, Carmen M., 1999.
"Do capital controls and macroeconomic policies influence the volume and composition of capital flows? Evidence from the 1990s,"
Journal of International Money and Finance,
Elsevier, vol. 18(4), pages 619-635, August.
- Reinhart, Carmen & Montiel, Peter, 1999. "Do capital controls influence the volume and composition of capital flows? Evidence from the 1990s," MPRA Paper 13710, University Library of Munich, Germany.
- Chow, Gregory C & Lin, An-loh, 1971.
"Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series,"
The Review of Economics and Statistics,
MIT Press, vol. 53(4), pages 372-75, November.
- Tom Doan, . "DISAGGREGATE: RATS procedure to implement general disaggregation (interpolation/distribution) procedure," Statistical Software Components RTS00050, Boston College Department of Economics.
- Tom Doan, . "CHOWLIN: RATS procedure to distribute a series to a higher frequency using related series," Statistical Software Components RTS00036, Boston College Department of Economics.
- Razin, A. & Sadka, E. & Yuen, C.W., 1997. "Implications of the Home Bias: A Pecking Order of Capital Inflows and Corrective Taxation," Papers 32-97, Tel Aviv.
- Canova, Fabio & Dellas, Harris, 1993. "Trade interdependence and the international business cycle," Journal of International Economics, Elsevier, vol. 34(1-2), pages 23-47, February.
- Campbell R. Harvey, 1994.
"Predictable Risk and Returns in Emerging Markets,"
NBER Working Papers
4621, National Bureau of Economic Research, Inc.
- Nicolas A. Cuche & Martin K. Hess, 1999. "Estimating Monthly GDP In A General Kalman Filter Framework: Evidence From Switzerland," Working Papers 99.02, Swiss National Bank, Study Center Gerzensee.
- Ammer, John & Mei, Jianping, 1996.
" Measuring International Economic Linkages with Stock Market Data,"
Journal of Finance,
American Finance Association, vol. 51(5), pages 1743-63, December.
- John Ammer & Jianping Mei, 1993. "Measuring international economic linkages with stock market data," International Finance Discussion Papers 449, Board of Governors of the Federal Reserve System (U.S.).
When requesting a correction, please mention this item's handle: RePEc:bla:reviec:v:10:y:2002:i:3:p:525-38. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing)or (Christopher F. Baum)
If references are entirely missing, you can add them using this form.