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Citations for " Time-Varying World Market Integration"

by Bekaert, Geert & Harvey, Campbell R

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  1. Mohamed Arouri & Frédéric Teulon & Christophe Rault, 2014. "Equity Risk Premium and Regional Integration," Working Papers 2014-371, Department of Research, Ipag Business School.
  2. Abul Shamsuddin & Jae H Kim, 2009. "Short-Horizon Return Predictability in International Equity Markets," Working Papers 2009.01, School of Economics, La Trobe University.
  3. Javier Biscarri & Fernando Gracia, 2004. "Stock market cycles and stock market development in Spain," Spanish Economic Review, Springer, vol. 6(2), pages 127-151, 07.
  4. María José Melendez & Marco Morales & Guillermo Yáñez, 2010. "Transmisión de Shocks y Acoplamiento con Mercados Accionarios Externos: Efectos Asimétricos y Quiebre Estructural," Working Papers 11, Facultad de Economía y Empresa, Universidad Diego Portales.
  5. repec:ipg:wpaper:6 is not listed on IDEAS
  6. Zinna, Gabriele, 2011. "Identifying risks in emerging market sovereign and corporate bond spreads," Bank of England working papers 430, Bank of England.
  7. Khaled Guesmi & Frédéric Teulon, 2014. "Equity Market Integration and Currency Risk: Empirical Evidence for Indonesia," Working Papers 2014-096, Department of Research, Ipag Business School.
  8. Bhattacharya, Utpal & Groznik, Peter, 2008. "Melting pot or salad bowl: Some evidence from U.S. investments abroad," Journal of Financial Markets, Elsevier, vol. 11(3), pages 228-258, August.
  9. Chia-Hao Lee & Pei-I Chou, 2012. "Trading Activity and Financial Market Integration," The Financial Review, Eastern Finance Association, vol. 47(3), pages 589-616, 08.
  10. 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 West - Nanterre la Défense, EconomiX.
  11. Huseyin Tastan, 2005. "Dynamic Interdependence and Volatility Transmission in Turkish and European Equity Markets," Working Papers 2005/10, Turkish Economic Association.
  12. Fedorova, Elena & Vaihekoski, Mika, 2008. "Global and local sources of risk in Eastern European emerging stock markets," BOFIT Discussion Papers 27/2008, Bank of Finland, Institute for Economies in Transition.
  13. Frank de Jong & Frans A. de Roon, 2001. "Time-Varying Market Integration and Expected Returns in Emerging Markets," Tinbergen Institute Discussion Papers 01-113/2, Tinbergen Institute.
  14. Georgios Kouretas & Manolis Syllignakis, 2012. "Switching Volatility in Emerging Stock Markets and Financial Liberalization: Evidence from the new EU Member Countries," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 4(2), pages 65-93, June.
  15. Gianni De Nicolò & Luciana Juvenal, 2012. "Financial Integration, Globalization, and Real Activity," CESifo Working Paper Series 3737, CESifo Group Munich.
  16. Wu, Shue-Jen & Lee, Wei-Ming, 2015. "Predicting severe simultaneous bear stock markets using macroeconomic variables as leading indicators," Finance Research Letters, Elsevier, vol. 13(C), pages 196-204.
  17. Nicolas Coeurdacier & Hélène Rey, 2013. "Home Bias in Open Economy Financial Macroeconomics," Journal of Economic Literature, American Economic Association, vol. 51(1), pages 63-115, March.
  18. Mohamed El Hedi Arouri & Mondher Bellalah & Duc Khuong Nguyen, 2008. "The Comovements In International Stock Markets: New Evidence From Latin American Emerging Countries," Working Papers halshs-00202943, HAL.
  19. Diamandis, Panayiotis F., 2008. "Financial liberalization and changes in the dynamic behaviour of emerging market volatility: Evidence from four Latin American equity markets," Research in International Business and Finance, Elsevier, vol. 22(3), pages 362-377, September.
  20. Konstantinos Drakos, 2009. "The Determinants of Terrorist Shocks' Cross-Market Transmission," Economics of Security Working Paper Series 17, DIW Berlin, German Institute for Economic Research.
  21. Khaled Guesmi & Frederic Teulon & Ahmed Taneem Muzaffar, 2014. "The Evolution of Risk Premium as a Measure for Intra-regional Equity Market Integration," Working Papers 2014-365, Department of Research, Ipag Business School.
  22. T. Berger & L. Pozzi, 2011. "A new model-based approach to measuring time-varying financial market integration," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 11/714, Ghent University, Faculty of Economics and Business Administration.
  23. Hali J. Edison & Francis E. Warnock, 2003. "Cross-Border Listings, Capital Controls, and U.S. Equity Flows to Emerging Markets," IMF Working Papers 03/236, International Monetary Fund.
  24. Sebastian Edwards, 2005. "Capital Controls, Sudden Stops and Current Account Reversals," NBER Working Papers 11170, National Bureau of Economic Research, Inc.
  25. Christos Savva & Nektarios Aslanidis, 2010. "Stock market integration between new EU member states and the Euro-zone," Empirical Economics, Springer, vol. 39(2), pages 337-351, October.
  26. Jianping Mei & Limin Guo, 2004. "Political Uncertainty, Financial Crisis and Market Volatility," European Financial Management, European Financial Management Association, vol. 10(4), pages 639-657.
  27. Bruno Milani & Paulo Sérgio Ceretta, 2014. "A multiscale approach to emerging market pricing," Economics Bulletin, AccessEcon, vol. 34(2), pages 784-792.
  28. John Beirne & Guglielmo Maria Caporale & Marianne Schulze-Ghattas & Nicola Spagnolo, 2009. "Global and Regional Spillovers in Emerging Stock Markets: A Multivariate GARCH-in-mean Analysis," CESifo Working Paper Series 2794, CESifo Group Munich.
  29. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2008. "Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience," Working papers 2008-49, University of Connecticut, Department of Economics.
  30. Sohel Azad, A.S.M. & Batten, Jonathan A. & Fang, Victor & Wickramanayake, Jayasinghe, 2015. "International swap market contagion and volatility," Economic Modelling, Elsevier, vol. 47(C), pages 355-371.
  31. repec:wyi:journl:002183 is not listed on IDEAS
  32. Pozzi, Lorenzo & Wolswijk, Guido, 2012. "The time-varying integration of euro area government bond markets," European Economic Review, Elsevier, vol. 56(1), pages 36-53.
  33. Eric Jondeau & Michael Rockinger, 2002. "Conditional Dependency of Financial Series: The Copula-GARCH Model," FAME Research Paper Series rp69, International Center for Financial Asset Management and Engineering.
  34. de Groot, W. & Pang, J. & Swinkels, L.A.P., 2012. "The Cross-Section of Stock Returns in Frontier Emerging Markets," ERIM Report Series Research in Management ERS-2012-012-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  35. 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.
  36. Bansal, Ravi & Dahlquist, Magnus, 2002. "Expropriation Risk and Return in Global Equity Markets," SIFR Research Report Series 8, Institute for Financial Research.
  37. Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2010. "Econometric Measures of Systemic Risk in the Finance and Insurance Sectors," NBER Chapters, in: Market Institutions and Financial Market Risk National Bureau of Economic Research, Inc.
  38. Michael Ehrmann & Marcel Fratzscher, 2006. "Global Financial Transmission of Monetary Policy Shocks," CESifo Working Paper Series 1710, CESifo Group Munich.
  39. Khaled Guesmi & Frédéric Teulon, 2014. "The determinants of regional stock market integration in middle east: A conditional ICAPM approach," Economie Internationale, CEPII research center, issue 137, pages 22-31.
  40. Chollete, Lorán & de la Peña, Victor & Lu, Ching-Chih, 2012. "International diversification: An extreme value approach," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 871-885.
  41. Mohamed El Hedi Arouri & Christophe Rault & Robert Sova & Anamaria Sova, 2013. "Market Structure and the Cost of Capital," CESifo Working Paper Series 4097, CESifo Group Munich.
  42. Dvorak, Tomas & Podpiera, Richard, 2005. "European Union enlargement and equity markets in accession countries," Working Paper Series 0552, European Central Bank.
  43. Duc Khuong Nguyen, 2010. "La dynamique de la volatilité boursière autour de l’ouverture des marchés de capitaux," Économie et Prévision, Programme National Persée, vol. 192(1), pages 65-82.
  44. Billio, Monica & Getmansky, Mila & Pelizzon, Loriana, 2012. "Dynamic risk exposures in hedge funds," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3517-3532.
  45. Monica Billio & Mila Getmansky & Loriana Pelizzon, 2006. "Phase-Locking and Switching Volatility in Hedge Funds," Working Papers 2006_54, Department of Economics, University of Venice "Ca' Foscari".
  46. Banegas, Ayelen & Gillen, Ben & Timmermann, Allan & Wermers, Russ, 2013. "The cross section of conditional mutual fund performance in European stock markets," Journal of Financial Economics, Elsevier, vol. 108(3), pages 699-726.
  47. Campbell R. Harvey, 1994. "Predictable Risk and Returns in Emerging Markets," NBER Working Papers 4621, National Bureau of Economic Research, Inc.
  48. Khaled GUESMI & Ilyes ABID & Olfa KAABIA, 2014. "Stock Market Integration and Risk Premium: Empirical Evidence for Emerging Economies of South Asia," Working Papers 2014-444, Department of Research, Ipag Business School.
  49. Bekaert, Geert & Harvey, Campbell R. & Lundblad, Christian T. & Siegel, Stephan, 2013. "The European Union, the Euro, and equity market integration," Journal of Financial Economics, Elsevier, vol. 109(3), pages 583-603.
  50. Guntram B. Wolff & Alexander Schulz, 2008. "Sovereign bond market integration: the euro, trading platforms and globalisation," European Economy - Economic Papers 332, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
  51. William N. Goetzmann & Lingfeng Li & K. Geert Rouwenhorst, 2001. "Long-Term Global Market Correlations," NBER Working Papers 8612, National Bureau of Economic Research, Inc.
  52. Mika Vaihekoski, 2000. "Unconditional international asset pricing models: empirical tests," Finnish Economic Papers, Finnish Economic Association, vol. 13(2), pages 71-88, Autumn.
  53. Geert Bekaert & Campbell R. Harvey, 1997. "Foreign Speculators and Emerging Equity Markets," NBER Working Papers 6312, National Bureau of Economic Research, Inc.
  54. 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.
  55. Zied Ftiti & Aviral Tiwari & Amél Belanès & Khaled Guesmi, 2014. "Tests of Financial Market Contagion: Evolutionary Cospectral Analysis V.S. Wavelet Analysis," Working Papers 2014-577, Department of Research, Ipag Business School.
  56. Mouna Cherkaoui & Eric Ghysels, 1999. "Emerging Markets and Trading Costs," CIRANO Working Papers 99s-04, CIRANO.
  57. Geert Bekaert & Campbell R. Harvey, 2000. "Capital Flows and the Behavior of Emerging Market Equity Returns," NBER Chapters, in: Capital Flows and the Emerging Economies: Theory, Evidence, and Controversies, pages 159-194 National Bureau of Economic Research, Inc.
  58. Lombardo, Davide & Pagano, Marco, 1999. "Legal Determinants of the Return on Equity," CEPR Discussion Papers 2275, C.E.P.R. Discussion Papers.
  59. Chollete, Loran & de la Pena , Victor & Lu, Ching-Chih, 2009. "International Diversification: An Extreme Value Approach," UiS Working Papers in Economics and Finance 2009/26, University of Stavanger.
  60. Georgy chabakauri & Suleyman Basak, 2009. "Dynamic Hedging in Incomplete Markets: A Simple Solution," 2009 Meeting Papers 594, Society for Economic Dynamics.
  61. 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.
  62. ROCKINGER, Michael & JONDEAU, Eric, 2001. "Conditional dependency of financial series : an application of copulas," Les Cahiers de Recherche 723, HEC Paris.
  63. Garrett, Ian & Kamstra, Mark J. & Kramer, Lisa A., 2005. "Winter blues and time variation in the price of risk," Journal of Empirical Finance, Elsevier, vol. 12(2), pages 291-316, March.
  64. Guesmi, Khaled & Moisseron, Jean-Yves & Teulon, Frédéric, 2014. "Integration versus segmentation in Middle East North Africa Equity Market: Time variations and currency risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 28(C), pages 204-212.
  65. Arouri, Mohamed El Hedi & Foulquier, Philippe, 2012. "Financial market integration: Theory and empirical results," Economic Modelling, Elsevier, vol. 29(2), pages 382-394.
  66. Philipp Hartmann & Angela Maddaloni & Simone Manganelli, 2003. "The Euro-area Financial System: Structure, Integration, and Policy Initiatives," Oxford Review of Economic Policy, Oxford University Press, vol. 19(1), pages 180-213.
  67. Kpate Adjaoute & Jean-Pierre Danthine, 2004. "Portfolio diversification: alive and well in Euro-land!," Applied Financial Economics, Taylor & Francis Journals, vol. 14(17), pages 1225-1231.
  68. Fratzscher, Marcel, 2002. "Financial Market Integration in Europe: On the Effects of EMU on Stock Markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 7(3), pages 165-93, July.
  69. Glen Donaldson & Mark Kamstra & Lisa Kramer, 2003. "Stare down the barrel and center the crosshairs: Targeting the ex ante equity premium," Working Paper 2003-4, Federal Reserve Bank of Atlanta.
  70. Lingfeng Li, 2003. "An Economic Measure of Diversification Benefits," Yale School of Management Working Papers ysm371, Yale School of Management, revised 01 Jul 2003.
  71. Lee, Bong-Soo & Rui, Oliver M., 2002. "The dynamic relationship between stock returns and trading volume: Domestic and cross-country evidence," Journal of Banking & Finance, Elsevier, vol. 26(1), pages 51-78, January.
  72. Sarantis Tsiaplias, 2007. "Co-movement and Integration among Developed Equity Markets," Melbourne Institute Working Paper Series wp2007n25, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  73. Vesna Bucevska, 2013. "An Empirical Evaluation of GARCH Models in Value-at-Risk Estimation: Evidence from the Macedonian Stock Exchange," Business Systems Research, Society for Promotion of Business Information Technology (BIT), vol. 4(1), pages 49-64.
  74. Heinemann, Friedrich & Schüler, Martin, 2002. "How integrated are the European retail financial markets? A cointegration analysis," ZEW Discussion Papers 02-22, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  75. MARINESCU Ion-Iulian, 2015. "Central And East European Non-Euro Zone Capital Markets: Are They Worth The Risk?," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 67(1), pages 90-98.
  76. Lahrech, Abdelmounaim & Sylwester, Kevin, 2011. "U.S. and Latin American stock market linkages," Journal of International Money and Finance, Elsevier, vol. 30(7), pages 1341-1357.
  77. William N. Goetzmann & Philippe Jorion, 1997. "Re-emerging Markets," NBER Working Papers 5906, National Bureau of Economic Research, Inc.
  78. Fredj Jawadi & Nicolas Million & Mohamed El Hedi Arouri, 2009. "Stock market integration in the Latin American markets: further evidence from nonlinear modeling," Post-Print hal-00387110, HAL.
  79. Colavecchio, Roberta & Funke, Michael, 2008. "Volatility transmissions between renminbi and Asia-Pacific on-shore and off-shore U.S. dollar futures," China Economic Review, Elsevier, vol. 19(4), pages 635-648, December.
  80. Garcia, René, 1998. "Modèles d’évaluation des actifs financiers dans les marchés boursiers en émergence : identification des facteurs de risque et tests de changement structurel," L'Actualité Economique, Société Canadienne de Science Economique, vol. 74(3), pages 467-484, septembre.
  81. Karen K. Lewis & Sandy Lai, 2012. "Are the Gains from Foreign Diversification Diminishing? Assessing the Impact with Cross-listed Stocks," NBER Working Papers 18627, National Bureau of Economic Research, Inc.
  82. Marco Antonio Bonomo & Rene Garcia, 1997. "Tests of conditional asset pricing models in the Brazilian stock market," Textos para discussão 368, Department of Economics PUC-Rio (Brazil).
  83. Menezes, Rui & Dionísio, Andreia & Hassani, Hossein, 2012. "On the globalization of stock markets: An application of Vector Error Correction Model, Mutual Information and Singular Spectrum Analysis to the G7 countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(4), pages 369-384.
  84. Raghuram G. Rajan & Luigi Zingales, . "Financial Dependence and Growth," CRSP working papers 344, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  85. Michael Funke & Roberta Colavecchio, 2009. "Volatility dependence across Asia-Pacific onshore and offshore currency forwards markets," Quantitative Macroeconomics Working Papers 20903, Hamburg University, Department of Economics.
  86. Abad, Pilar & Chuliá, Helena & Gómez-Puig, Marta, 2009. "EMU and European government bond market integration," Working Paper Series 1079, European Central Bank.
  87. Narayan, S. & Sriananthakumar, S. & Islam, S.Z., 2014. "Stock market integration of emerging Asian economies: Patterns and causes," Economic Modelling, Elsevier, vol. 39(C), pages 19-31.
  88. Boubakri, Salem & Guillaumin, Cyriac, 2011. "Financial integration and currency risk premium in CEECs: Evidence from the ICAPM," Emerging Markets Review, Elsevier, vol. 12(4), pages 460-484.
  89. Gilles De Truchis & Benjamin Keddad, 2013. "Analyzing Financial Integration in East Asia through Fractional Cointegration in Volatilities," Working Papers halshs-00862256, HAL.
  90. Soyoung Kim & Jong-Wha Lee & Kwanho Shin, 2006. "Regional and Global Financial Integration in East Asia," Discussion Paper Series 0602, Institute of Economic Research, Korea University.
  91. Nikkinen, Jussi & Omran, Mohammed & Sahlstrom, Petri & Aijo, Janne, 2006. "Global stock market reactions to scheduled U.S. macroeconomic news announcements," Global Finance Journal, Elsevier, vol. 17(1), pages 92-104, September.
  92. Albuquerque, Rui & Loayza, Norman & Serven, Luis, 2005. "World market integration through the lens of foreign direct investors," Journal of International Economics, Elsevier, vol. 66(2), pages 267-295, July.
  93. Marcella Lucchetta & Michael Donadelli, 2012. "Emerging Stock Premia: Do Industries Matter?," Working Papers 2012_22, Department of Economics, University of Venice "Ca' Foscari".
  94. G. Everaert & L. Pozzi, 2014. "The dynamics of European financial market integration," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 14/877, Ghent University, Faculty of Economics and Business Administration.
  95. de Bandt,O. & Malik, S., 2010. "Is there Evidence of Shift-Contagion in International Housing Markets?," Working papers 295, Banque de France.
  96. Manolis Syllignakis & Georgios Kouretas, 2010. "German, US and Central and Eastern European Stock Market Integration," Open Economies Review, Springer, vol. 21(4), pages 607-628, September.
  97. Bekaert, Geert & Hodrick, Robert J. & Zhang, Xiaoyan, 2005. "International Stock Return Comovements," Working Papers 06-3, University of Pennsylvania, Wharton School, Weiss Center.
  98. 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.
  99. Guidi, Francesco & Ugur, Mehmet, 2012. "Are South East Europe stock markets integrated with regional and global stock markets?," MPRA Paper 44133, University Library of Munich, Germany, revised Dec 2012.
  100. Samuel Mongrut Montalván & Didac Ramírez Sarrió, 2005. "Discount Rates in Emerging Capital Markets," Finance 0501013, EconWPA.
  101. Abdul Karim, Zulkefly & Abdul Karim, Bakri, 2008. "Stock market integration: Malaysia and its major trading partners," MPRA Paper 26976, University Library of Munich, Germany, revised Jun 2009.
  102. Thadavillil Jithendranathan, 2004. "Time-varying Correlations of Russian and U.S. Equity Returns," International Finance 0403006, EconWPA.
  103. Albuquerque, Rui & Ramadorai, Tarun & Watugala, Sumudu, 2011. "Trade Credit and International Return Comovement," CEPR Discussion Papers 8222, C.E.P.R. Discussion Papers.
  104. Mohamed El Hedi Arouri & Jamel Jouini, 2009. "Structural Breaks in the Mexico's Integration into the World Stock Market," Working Papers hal-00387114, HAL.
  105. Ahmad, Wasim & Sehgal, Sanjay & Bhanumurthy, N.R., 2013. "Eurozone crisis and BRIICKS stock markets: Contagion or market interdependence?," Economic Modelling, Elsevier, vol. 33(C), pages 209-225.
  106. Huseyin Gulen & Yuhang Xing & Lu Zhang, 2011. "Value versus Growth: Time‐Varying Expected Stock Returns," Financial Management, Financial Management Association International, vol. 40(2), pages 381-407, 06.
  107. António Rua & Luís Catela Nunes, 2012. "A wavelet-based assessment of market risk: The emerging markets case," Working Papers w201203, Banco de Portugal, Economics and Research Department.
  108. Kristin Forbes, 2012. "The "Big C": Identifying Contagion," NBER Working Papers 18465, National Bureau of Economic Research, Inc.
  109. Arie Melnik & Doron Nissim, 2004. "Liquidity and Issue Costs in the Eurobond Market: the Effects of Market Integration," ICER Working Papers 03-2004, ICER - International Centre for Economic Research.
  110. 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.
  111. Martin Evans and Richard K. Lyons, 2002. "Informational Integration and FX Trading," Working Papers gueconwpa~02-02-11, Georgetown University, Department of Economics.
  112. Thomas Flavin & Ekaterini Panopoulou, 2006. "Shift versus traditional contagion in Asian markets," The Institute for International Integration Studies Discussion Paper Series iiisdp176, IIIS.
  113. repec:ebl:ecbull:v:6:y:2004:i:3:p:1-13 is not listed on IDEAS
  114. Hali J. Edison & Francis E. Warnock, 2006. "Cross-border Listings, Capital Controls, and Equity Flows To Emerging Markets," NBER Working Papers 12589, National Bureau of Economic Research, Inc.
  115. Carrieri, Francesca & Errunza, Vihang & Sarkissian, Sergei, 2006. "The Dynamics of Geographic versus Sectoral Diversification: Is There a Link to the Real Economy?," Working Papers 06-4, University of Pennsylvania, Wharton School, Weiss Center.
  116. Harris Dellas & Martin K. Hess, 2002. "Financial development and stock returns: A cross country analysis," Diskussionsschriften dp0218, Universitaet Bern, Departement Volkswirtschaft.
  117. Levine, Ross & Zervos, Sara, 1996. "Stock Market Development and Long-Run Growth," World Bank Economic Review, World Bank Group, vol. 10(2), pages 323-39, May.
  118. Manuel Ammann & Michael Verhofen, 2006. "The Effect of Market Regimes on Style Allocation," Financial Markets and Portfolio Management, Springer, vol. 20(3), pages 309-337, September.
  119. Benitez, Pablo C. & McCallum, Ian & Obersteiner, Michael & Yamagata, Yoshiki, 2007. "Global potential for carbon sequestration: Geographical distribution, country risk and policy implications," Ecological Economics, Elsevier, vol. 60(3), pages 572-583, January.
  120. 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.
  121. Raúl Susmel, 1998. "Extreme Observations and Diversification in Latin American Emerging Equity Markets," CEMA Working Papers: Serie Documentos de Trabajo. 138, Universidad del CEMA.
  122. Matthieu Bussière & Marcel Fratzscher, 2008. "Financial Openness and Growth: Short-run Gain, Long-run Pain?," Review of International Economics, Wiley Blackwell, vol. 16(1), pages 69-95, 02.
  123. de Jong, F.C.J.M. & de Roon, F.A., 2001. "Time Varying Market Integration and Expected Rteurns in Emerging Markets," Discussion Paper 2001-78, Tilburg University, Center for Economic Research.
  124. AROURI Mohamed El Hedi, 2004. "The Impact of Increasing Stock Market Integration on Expected Gains from International Portfolio Diversification: Evidence from a Multivariate Approach with Time Varying Risk," Economics Bulletin, AccessEcon, vol. 6(3), pages 1-13.
  125. Lucey, Brian M. & Zhang, QiYu, 2010. "Does cultural distance matter in international stock market comovement? Evidence from emerging economies around the world," Emerging Markets Review, Elsevier, vol. 11(1), pages 62-78, March.
  126. Leonidas Sandoval Junior & Italo De Paula Franca, 2011. "Correlation of financial markets in times of crisis," Papers 1102.1339, arXiv.org, revised Mar 2011.
  127. Assaf, Ata, 2015. "Value-at-Risk analysis in the MENA equity markets: Fat tails and conditional asymmetries in return distributions," Journal of Multinational Financial Management, Elsevier, vol. 29(C), pages 30-45.
  128. Kroencke, Tim Alexander & Schindler, Felix, 2011. "International diversification with securitized real estate and the veiling glare from currency risk," ZEW Discussion Papers 11-012, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  129. Massa, Massimo & Schumacher, David, 2015. "Subcontracting in International Asset Management: New Evidence on Market Integration," CEPR Discussion Papers 10465, C.E.P.R. Discussion Papers.
  130. Wolfgang Drobetz & Susanne Stürmer & Heinz Zimmermann, 2002. "Conditional Asset Pricing in Emerging Stock Markets," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 138(IV), pages 507-526, December.
  131. Jahan-Parvar, Mohammad & Waters, George, 2009. "Equity Price Bubbles in the Middle Eastern and North African Financial Markets," MPRA Paper 17859, University Library of Munich, Germany.
  132. Kho, Bong-Chan & Stulz, Rene M. & Warnock, Francis E., 2006. "Financial Globalization, Governance, and the Evolution of the Home Bias," Working Paper Series 2006-12, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  133. 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.
  134. Tseng, Hsiou-Ying, 2010. "How does the removal of the United States short-sale rules impact three Latin American markets?," International Review of Financial Analysis, Elsevier, vol. 19(2), pages 127-133, March.
  135. Lee, Chien-Chiang & Chang, Chi-Hung & Chen, Mei-Ping, 2015. "Industry co-movements of American depository receipts: Evidences from the copula approaches," Economic Modelling, Elsevier, vol. 46(C), pages 301-314.
  136. Dennis Quinn & Joachim Voth, 2006. "A century of global equity market correlations," Economics Working Papers 1119, Department of Economics and Business, Universitat Pompeu Fabra, revised Oct 2008.
  137. Desislava Chetalova & Thilo A. Schmitt & Rudi Sch\"afer & Thomas Guhr, 2013. "Portfolio return distributions: Sample statistics with non-stationary correlations," Papers 1308.3961, arXiv.org, revised Jun 2014.
  138. Donadelli, Michael & Persha, Lauren, 2014. "Understanding emerging market equity risk premia: Industries, governance and macroeconomic policy uncertainty," Research in International Business and Finance, Elsevier, vol. 30(C), pages 284-309.
  139. Geert Bekaert & Campbell R. Harvey & Christian Lundblad, 2004. "Does Financial Liberalization Spur Growth?," Working Paper Research 53, National Bank of Belgium.
  140. Franco Parisi, 1997. "Los ADRS Chilenos y sus Implicancias en Precio y Varianza en sus Activos Subyacentes," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 34(102), pages 217-236.
  141. Mohamed AROURI & Makram BELLALAH & D.-K. NGUYEN, 2008. "The Commovements in International Stock Markets : New Evidence from Lating American Emerging Countries," Working Papers 1562, Orleans Economic Laboratorys, University of Orleans.
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