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Measuring capital market integration

In: Market functioning and central bank policy

  • Marina Emiris

    (National Bank of Belgium)

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    This chapter was published in:
  • Bank for International Settlements, 2002. "Market functioning and central bank policy," BIS Papers, Bank for International Settlements, number 12, December.
  • This item is provided by Bank for International Settlements in its series BIS Papers chapters with number 12-11.
    Handle: RePEc:bis:bisbpc:12-11
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    1. Geert Bekaert & Campbell R. Harvey, 1994. "Time-Varying World Market Integration," NBER Working Papers 4843, National Bureau of Economic Research, Inc.
    2. Bekaert, Geert & Hodrick, Robert J, 1992. " Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets," Journal of Finance, American Finance Association, vol. 47(2), pages 467-509, June.
    3. John Y. Campbell, 1993. "Understanding Risk and Return," NBER Working Papers 4554, National Bureau of Economic Research, Inc.
    4. Bekaert, G. & Harvey, C. R. & Lumsdaine, R. L., 2002. "The dynamics of emerging market equity flows," Journal of International Money and Finance, Elsevier, vol. 21(3), pages 295-350, June.
    5. Campbell R. Harvey & Bruno Solnik & Guofu Zhou, 2002. "What Determines Expected International Asset Returns?," CEMA Working Papers 503, China Economics and Management Academy, Central University of Finance and Economics.
    6. Canova, Fabio & Nicol , Gianni De, 2000. "Stock Returns, Term Structure, Inflation, And Real Activity: An International Perspective," Macroeconomic Dynamics, Cambridge University Press, vol. 4(03), pages 343-372, September.
    7. Wayne E. Ferson & Campbell R. Harvey, 1999. "Economic, Financial, and Fundamental Global Risk In and Out of the EMU," NBER Working Papers 6967, National Bureau of Economic Research, Inc.
    8. Forni, Mario & Lippi, Marco, 2001. "The Generalized Dynamic Factor Model: Representation Theory," Econometric Theory, Cambridge University Press, vol. 17(06), pages 1113-1141, December.
    9. Bailey, Warren & Jagtiani, Julapa, 1994. "Foreign ownership restrictions and stock prices in the Thai capital market," Journal of Financial Economics, Elsevier, vol. 36(1), pages 57-87, August.
    10. Hardouvelis, Gikas A & Malliaropoulos, Dimitrios & Priestley, Richard, 1999. "EMU and European Stock Market Integration," CEPR Discussion Papers 2124, C.E.P.R. Discussion Papers.
    11. Robert F. Engle & Victor Ng & Michael Rothschild, 1988. "Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills," NBER Technical Working Papers 0065, National Bureau of Economic Research, Inc.
    12. Bernard Dumas, 1994. "A Test of the International CAPM Using Business Cycles Indicators as Instrumental Variables," NBER Working Papers 4657, National Bureau of Economic Research, Inc.
    13. Geert Bekaert & Campbell R. Harvey & Robin L. Lumsdaine, 1998. "Dating the Integration of World Equity Markets," NBER Working Papers 6724, National Bureau of Economic Research, Inc.
    14. Carsten Detken & Philipp Hartmann, 2000. "The Euro and International Capital Markets," EUI-RSCAS Working Papers 27, European University Institute (EUI), Robert Schuman Centre of Advanced Studies (RSCAS).
    15. Rene M. Stulz, 1999. "Globalization of Equity Markets and the Cost of Capital," NBER Working Papers 7021, National Bureau of Economic Research, Inc.
    16. Mario Forni & Marc Hallin & Lucrezia Reichlin & Marco Lippi, 2000. "The generalised dynamic factor model: identification and estimation," ULB Institutional Repository 2013/10143, ULB -- Universite Libre de Bruxelles.
    17. John Y. Campbell, 1998. "Asset Prices, Consumption, and the Business Cycle," NBER Working Papers 6485, National Bureau of Economic Research, Inc.
    18. Wayne E. Ferson & Campbell R. Harvey, 1994. "Sources of Risk and Expected Returns in Global Equity Markets," NBER Working Papers 4622, National Bureau of Economic Research, Inc.
    19. Robert J. Hodrick & David Tat-Chee Ng & Paul Sengmueller, 1999. "An International Dynamic Asset Pricing Model," NBER Working Papers 7157, National Bureau of Economic Research, Inc.
    20. Chelley-Steeley, Patricia L & Steeley, James M, 1999. "Changes in the Comovement of European Equity Markets," Economic Inquiry, Western Economic Association International, vol. 37(3), pages 473-88, July.
    21. Schwert, G William, 1990. " Stock Returns and Real Activity: A Century of Evidence," Journal of Finance, American Finance Association, vol. 45(4), pages 1237-57, September.
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