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A Model of International Asset Pricing with a Constraint on the Foreign Equity Ownership

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Cited by:

  1. Guesmi, Khaled & Kablan, Sandrine, 2015. "Financial integration and Japanese stock market," MPRA Paper 70206, University Library of Munich, Germany.
  2. repec:idb:brikps:349 is not listed on IDEAS
  3. Li, Donghui & Nguyen, Quang N. & Pham, Peter K. & Wei, Steven X., 2011. "Large Foreign Ownership and Firm-Level Stock Return Volatility in Emerging Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 46(4), pages 1127-1155, August.
  4. Wölfle, Marco, 2007. "Price Discovery for Cross-Listed Securities from Emerging Eastern European Countries," ZEW Discussion Papers 07-067, ZEW - Leibniz Centre for European Economic Research.
  5. Harvey, Campbell R, 1995. "Predictable Risk and Returns in Emerging Markets," The Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 773-816.
  6. Kam C. Chan & Louis T. W. Cheng & Joseph K. W. Fung, 2001. "Ownership Restrictions and Stock-Price Behavior in China," Chinese Economy, Taylor & Francis Journals, vol. 34(1), pages 29-48, January.
  7. Andrew Baum & Claudia Murray, 2010. "Understanding the Barriers to Real Estate Investment in Developing Economies," LARES lares-2010-artigo-314-412, Latin American Real Estate Society (LARES).
  8. 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.
  9. Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95.
  10. Coeurdacier, Nicolas & Guibaud, Stéphane, 2011. "International portfolio diversification is better than you think," Journal of International Money and Finance, Elsevier, vol. 30(2), pages 289-308, March.
  11. Nicolas Coeurdacier & Stéphane Guibaud, 2008. "A dynamic equilibrium of imperfectly integrated financial markets," Working Papers hal-03602487, HAL.
  12. repec:hal:wpspec:info:hdl:2441/c8dmi8nm4pdjkuc9g81p80a37 is not listed on IDEAS
  13. Auguste, Sebastian & Dominguez, Kathryn M.E. & Kamil, Herman & Tesar, Linda L., 2006. "Cross-border trading as a mechanism for implicit capital flight: ADRs and the Argentine crisis," Journal of Monetary Economics, Elsevier, vol. 53(7), pages 1259-1295, October.
  14. Garg, Reetika & Dua, Pami, 2014. "Foreign Portfolio Investment Flows to India: Determinants and Analysis," World Development, Elsevier, vol. 59(C), pages 16-28.
  15. Reese, William Jr. & Weisbach, Michael S., 2002. "Protection of minority shareholder interests, cross-listings in the United States, and subsequent equity offerings," Journal of Financial Economics, Elsevier, vol. 66(1), pages 65-104, October.
  16. 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.
  17. Gilberto Loureiro & Sónia Silva, 2015. "Post-Operating Performance of Cross-Delisted Firms From U.S. Stock Exchanges," NIPE Working Papers 17/2015, NIPE - Universidade do Minho.
  18. Elizabeth Berko & John Clark, 1997. "Foreign investment fluctuations and emerging market stock returns: the case of Mexico," Staff Reports 24, Federal Reserve Bank of New York.
  19. Bekaert, Geert & Harvey, Campbell R., 2003. "Emerging markets finance," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 3-56, February.
  20. Madhavan, Ananth, 2000. "Market microstructure: A survey," Journal of Financial Markets, Elsevier, vol. 3(3), pages 205-258, August.
  21. Rene M. Stulz, 1994. "International Portfolio Choice and Asset Pricing: An Integrative Survey," NBER Working Papers 4645, National Bureau of Economic Research, Inc.
  22. Chaieb, Ines & Errunza, Vihang, 2007. "International asset pricing under segmentation and PPP deviations," Journal of Financial Economics, Elsevier, vol. 86(2), pages 543-578, November.
  23. Chakravarty, Sugato & Sarkar, Asani & Wu, Lifan, 1998. "Information asymmetry, market segmentation and the pricing of cross-listed shares: theory and evidence from Chinese A and B shares," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(3-4), pages 325-356, December.
  24. El Hedi Arouri, Mohamed & Rault, Christophe & Sova, Anamaria & Sova, Robert & Teulon, Frédéric, 2013. "Market structure and the cost of capital," Economic Modelling, Elsevier, vol. 31(C), pages 664-671.
  25. Zohreh Shirani Fakhr & Seyed Komail Tayebi, 2009. "Determinants of Financial Integration in the East Asia-Pacific Region," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 14(1), pages 155-173, spring.
  26. Daehwan Kim & Jung Inn Kim & Taeyoon Sung, 2013. "Stock market liberalization and price response: gradualism versus cold turkey," Applied Economics, Taylor & Francis Journals, vol. 45(3), pages 273-285, January.
  27. Winston Moore, 2014. "Managing The Process Of Removing Capital Controls: What Does The Literature Suggest?," Journal of Economic Surveys, Wiley Blackwell, vol. 28(2), pages 209-237, April.
  28. Eun, C. S. & Janakiramanan, S. & Senbet, L. W., 2002. "The pricing of emerging market country funds," Journal of International Money and Finance, Elsevier, vol. 21(6), pages 833-855, November.
  29. 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.
  30. 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.
  31. Coen, Alain, 2001. "Home bias and international capital asset pricing model with human capital," Journal of Multinational Financial Management, Elsevier, vol. 11(4-5), pages 497-513, December.
  32. De la Torre, Augusto & Schmukler, Sergio, 2007. "Emerging Capital Markets and Globalization: The Latin American Experience," IDB Publications (Books), Inter-American Development Bank, number 349.
  33. 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.
  34. Andrew Baum & Claudia Murray, "undated". "Understanding the Barriers to Real Estate Investment in Developing Economies," Real Estate & Planning Working Papers rep-wp2011-08, Henley Business School, University of Reading.
  35. Hargis, Kent & Ramanlal, Pradipkumar, 1998. "When Does Internationalization Enhance the Development of Domestic Stock Markets?," Journal of Financial Intermediation, Elsevier, vol. 7(3), pages 263-292, July.
  36. de la Torre, Augusto & Gozzi, Juan Carlos & Schmukler, Sergio L., 2007. "Stock market development under globalization: Whither the gains from reforms?," Journal of Banking & Finance, Elsevier, vol. 31(6), pages 1731-1754, June.
  37. Oxelheim, Lars, 2001. "Routes to equity market integration -- the interplay between politicians, investors and managers," Journal of Multinational Financial Management, Elsevier, vol. 11(2), pages 183-211, April.
  38. Chiang, Thomas C. & Kim, Doseong & Lee, Euiseong, 2006. "Country-fund discounts and risk: Evidence from stock market volatility and macroeconomic volatility," Journal of Economics and Business, Elsevier, vol. 58(4), pages 303-322.
  39. Rene M. Stulz & Walter Wasserfallen, 1992. "Foreign Equity Investment Restrictions and Shareholder Wealth Maximization," NBER Working Papers 4217, National Bureau of Economic Research, Inc.
  40. Ma, Xianghai, 1996. "Capital controls, market segmentation and stock prices: Evidence from the Chinese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 4(2-3), pages 219-239, July.
  41. Ragunathan, Vanitha, 1999. "Financial deregulation and integration: an Australian perspective1," Journal of Economics and Business, Elsevier, vol. 51(6), pages 505-514.
  42. 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.
  43. repec:ipg:wpaper:2014-351 is not listed on IDEAS
  44. Bae, Sung C. & Li, Mingsheng & Shi, Jing, 2009. "Does the law of one price hold better under a flexible exchange rate system?," Journal of Multinational Financial Management, Elsevier, vol. 19(4), pages 306-322, October.
  45. 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.
  46. Anders C. Johansson, 2011. "Financial Markets in East Asia and Europe during the Global Financial Crisis," The World Economy, Wiley Blackwell, vol. 34, pages 1088-1105, July.
  47. Sebastian Auguste & Kathryn M.E. Dominguez & Herman Kamil & Linda L. Tesar, 2002. "Cross-Border Trading as a Mechanism for Capital Flight: ADRs and the Argentine Crisis," William Davidson Institute Working Papers Series 513, William Davidson Institute at the University of Michigan.
  48. 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.
  49. Bacidore, Jeffrey M. & Battalio, Robert & Galpin, Neal & Jennings, Robert, 2005. "Sources of liquidity for NYSE-listed non-US stocks," Journal of Banking & Finance, Elsevier, vol. 29(12), pages 3075-3098, December.
  50. 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.
  51. repec:spo:wpecon:info:hdl:2441/c8dmi8nm4pdjkuc9g70969520 is not listed on IDEAS
  52. Fung, Joseph K.W. & Girardin, Eric & Hua, Jian, 2022. "How does the exchange-rate regime affect dual-listed share price parity? Evidence from China’s A- and H-share markets," Journal of International Money and Finance, Elsevier, vol. 129(C).
  53. Karolyi, G. Andrew, 2012. "Corporate governance, agency problems and international cross-listings: A defense of the bonding hypothesis," Emerging Markets Review, Elsevier, vol. 13(4), pages 516-547.
  54. Sema Bayraktar, 2009. "The impact of exchange rate risk on international asset pricing under various market structures," Review of Quantitative Finance and Accounting, Springer, vol. 32(2), pages 169-195, February.
  55. Lee, Khang Min & Moyen, Nathalie, 2006. "Optimal liberalization of financial markets," Journal of International Money and Finance, Elsevier, vol. 25(8), pages 1319-1335, December.
  56. Donadelli, Michael & Prosperi, Lorenzo, 2012. "On the role of liquidity in emerging markets stock prices," Research in Economics, Elsevier, vol. 66(4), pages 320-348.
  57. Peter Klibanoff & Owen Lamont & Thierry A. Wizman, "undated". "Investor Reaction to Salient News in Closed-End Country Funds," CRSP working papers 346, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  58. Lehkonen, Heikki & Heimonen, Kari, 2014. "Timescale-dependent stock market comovement: BRICs vs. developed markets," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 90-103.
  59. Duo Qin, 1999. "How Much Did Excess Debt Contribute to the 1997 Currency Crisis in Korea?," Working Papers 407, Queen Mary University of London, School of Economics and Finance.
  60. Huang, Ying & Jacoby, Gady & Jiang, Christine X., 2016. "The bonding hypothesis and the home market liquidity of Chinese cross-listed stocks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 43(C), pages 146-157.
  61. Alotaibi, Abdullah R. & Mishra, Anil V., 2017. "Time varying international financial integration for GCC stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 66-78.
  62. Kumar Patro, Dilip, 2000. "Return behavior and pricing of American depositary receipts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(1), pages 43-67, January.
  63. 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.
  64. Sin-Yu Ho & Bernard Njindan Iyke, 2017. "Determinants of stock market development: a review of the literature," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 34(1), pages 143-164, March.
  65. Wolfgang Breuer & Santiago Ruiz de Vargas, 2021. "Some key developments in international financial management," Journal of Business Economics, Springer, vol. 91(5), pages 595-615, July.
  66. Zheng, Yao & Osmer, Eric & Zheng, Liancun, 2018. "The relative pricing of cross-listed securities: The case of Chinese A- and H-share," The Quarterly Review of Economics and Finance, Elsevier, vol. 67(C), pages 297-310.
  67. Li, Shi & Li, Tianze & Mittoo, Usha & Song, Xiaoping & Zheng, Steven Xiaofan, 2019. "ADR valuation and listing of foreign firms in U.S. Equity markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 58(C), pages 284-298.
  68. William Goetzmann & Andrey Ukhov, 2005. "British Investment Overseas 1870-1913: A Modern Portfolio Theory Approach," Yale School of Management Working Papers ysm445, Yale School of Management.
  69. Stijn Claessens & M. Ayhan Kose, 2017. "Asset prices and macroeconomic outcomes: A survey," CAMA Working Papers 2017-76, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  70. Bekaert, Geert & Harvey, Campbell R. & Lumsdaine, Robin L., 2002. "Dating the integration of world equity markets," Journal of Financial Economics, Elsevier, vol. 65(2), pages 203-247, August.
  71. Khoury, Nabil & Martel, Jean-Marc & Veilleux, Marc, 1993. "Méthode multicritère de sélection de portefeuilles indiciels internationaux," L'Actualité Economique, Société Canadienne de Science Economique, vol. 69(1), pages 171-190, mars.
  72. Arturo Bris & Yrjö Koskinen & Mattias Nilsson, 2009. "The Euro and Corporate Valuations," The Review of Financial Studies, Society for Financial Studies, vol. 22(8), pages 3171-3209, August.
  73. Umutlu, Mehmet & Yargı, Seher Gören & Zaremba, Adam, 2023. "Market segmentation and international diversification across country and industry portfolios," Research in International Business and Finance, Elsevier, vol. 65(C).
  74. Gerard, Bruno & Thanyalakpark, Kessara & Batten, Jonathan A., 2003. "Are the East Asian markets integrated? Evidence from the ICAPM," Journal of Economics and Business, Elsevier, vol. 55(5-6), pages 585-607.
  75. 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.
  76. Tsai, Pei-Jung, 2009. "International equity flows and country funds," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(5), pages 862-894, December.
  77. Kodongo, Odongo & Ojah, Kalu, 2011. "Foreign exchange risk pricing and equity market segmentation in Africa," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2295-2310, September.
  78. Arouri, Mohamed El Hedi & Foulquier, Philippe, 2012. "Financial market integration: Theory and empirical results," Economic Modelling, Elsevier, vol. 29(2), pages 382-394.
  79. 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.
  80. repec:hal:spmain:info:hdl:2441/c8dmi8nm4pdjkuc9g81p80a37 is not listed on IDEAS
  81. 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.
  82. Dominique Pépin, 2004. "Globalisation des marchés de capitaux et valorisation des actifs financiers," Revue économique, Presses de Sciences-Po, vol. 55(2), pages 207-226.
  83. Madura, Jeff & Ngo, Thanh & Viale, Ariel M., 2011. "Convergent synergies in the global market for corporate control," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2468-2478, September.
  84. Bhamra, Harjoat S. & Coeurdacier, Nicolas & Guibaud, Stéphane, 2014. "A dynamic equilibrium model of imperfectly integrated financial markets," Journal of Economic Theory, Elsevier, vol. 154(C), pages 490-542.
  85. 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.
  86. 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.
  87. Kee-Hong Bae & Young Sup Yun & Warren Bailey, 2006. "Determinants of bond holdings by foreign investors," BIS Papers chapters, in: Bank for International Settlements (ed.), Asian bond markets: issues and prospects, volume 30, pages 102-128, Bank for International Settlements.
  88. Wu, Congsheng & Kwok, Chuck C. Y., 2003. "The pricing of global and domestic initial public offerings by US companies," Journal of Banking & Finance, Elsevier, vol. 27(6), pages 1167-1184, June.
  89. G. Booth & Mustafa Chowdhury & Teppo Martikainen, 1994. "The effect of foreign ownership restrictions on stock price dynamics," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 130(4), pages 730-746, December.
  90. Mohamed El Hedi Arouri & Christophe Rault & Ana Maria Sova & Robert Sova & Frédéric Teulon, 2013. "Market Structure and the Cost of Capital," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00798048, HAL.
  91. Bartram, Sohnke M. & Taylor, Stephen J. & Wang, Yaw-Huei, 2007. "The Euro and European financial market dependence," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1461-1481, May.
  92. Chen, Chunhua & Shi, Songhe & Song, Xiaoping & Zheng, Steven Xiaofan, 2021. "Financial constraints and cross-listing," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 71(C).
  93. 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.
  94. Dey, Malay K. & Wang, Chaoyan, 2012. "Return spread and liquidity: Evidence from Hong Kong ADRs," Research in International Business and Finance, Elsevier, vol. 26(2), pages 164-180.
  95. Kwan, Clarence C. Y., 1997. "Portfolio selection under institutional procedures for short selling: Normative and market-equilibrium considerations," Journal of Banking & Finance, Elsevier, vol. 21(3), pages 369-391, March.
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  98. Komulainen, Tuomas, 1999. "Currency crisis theories: Some explanations for the Russian case," BOFIT Discussion Papers 1/1999, Bank of Finland Institute for Emerging Economies (BOFIT).
  99. 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.
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  105. Bhamra, Harjoat S. & Coeurdacier, Nicolas & Guibaud, Stéphane, 2014. "A dynamic equilibrium model of imperfectly integrated financial markets," Journal of Economic Theory, Elsevier, vol. 154(C), pages 490-542.
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  132. David Morelli, 2009. "Capital market integration: evidence from the G7 countries," Applied Financial Economics, Taylor & Francis Journals, vol. 19(13), pages 1043-1057.
  133. Chua, Choong Tze & Lai, Sandy & Wu, Yangru, 2008. "Effective fair pricing of international mutual funds," Journal of Banking & Finance, Elsevier, vol. 32(11), pages 2307-2324, November.
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  137. Chan, Kalok & Covrig, Vicentiu & Ng, Lilian, 2009. "Does home bias affect firm value? Evidence from holdings of mutual funds worldwide," Journal of International Economics, Elsevier, vol. 78(2), pages 230-241, July.
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