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Citations for "Emerging equity market volatility"

by Bekaert, Geert & Harvey, Campbell R.

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  1. Bekaert, Geert & Harvey, Campbell R. & Lundblad, Christian, 2001. "Emerging equity markets and economic development," Journal of Development Economics, Elsevier, vol. 66(2), pages 465-504, December.
  2. Kin‐Yip Ho & Zhaoyong Zhang, 2012. "Dynamic Linkages among Financial Markets in the Greater China Region: A Multivariate Asymmetric Approach," The World Economy, Wiley Blackwell, vol. 35(4), pages 500-523, 04.
  3. Yang Hou & Steven Li, 2013. "Price Discovery in Chinese Stock Index Futures Market: New Evidence Based on Intraday Data," Asia-Pacific Financial Markets, Springer, vol. 20(1), pages 49-70, March.
  4. 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.
  5. Boulis Ibrahim & Janusz Brzeszczynski, 2013. "Interdependence of Stock Markets Before and After the Global Financial Crisis of 2007," CFI Discussion Papers 1305, Centre for Finance and Investment, Heriot Watt University.
  6. Khwaja, Asim Ijaz & Mian, Atif, 2005. "Unchecked intermediaries: Price manipulation in an emerging stock market," Journal of Financial Economics, Elsevier, vol. 78(1), pages 203-241, October.
  7. Sheng, Hsiao-Ching & Tu, Anthony H., 2000. "A study of cointegration and variance decomposition among national equity indices before and during the period of the Asian financial crisis," Journal of Multinational Financial Management, Elsevier, vol. 10(3-4), pages 345-365, December.
  8. Gregory C. Chow & Caroline C. Lawler, 2003. "A Time Series Analysis of the Shanghai and New York Stock Price Indices," Annals of Economics and Finance, Society for AEF, vol. 4(1), pages 17-35, May.
  9. Kim, Suk Joong & Moshirian, Fariborz & Wu, Eliza, 2005. "Dynamic stock market integration driven by the European Monetary Union: An empirical analysis," Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2475-2502, October.
  10. Romain Rancière & Aaron Tornell & Frank Westermann, 2008. "Systemic Crises and Growth," Post-Print halshs-00754308, HAL.
  11. Bekaert, Geert & Hodrick, Robert J. & Marshall, David A., 1997. "On biases in tests of the expectations hypothesis of the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 44(3), pages 309-348, June.
  12. Aktham Maghyereh & Hiatham Al-Zuobi, 2005. "Free trade agreements and equity market integration: the case of the US and Jordan," Applied Financial Economics, Taylor & Francis Journals, vol. 15(14), pages 995-1005.
  13. Konstantinos Drakos, 2009. "Cross-Country Stock Market Reactions to Major Terror Events: The Role of Risk Perception," Economics of Security Working Paper Series 16, DIW Berlin, German Institute for Economic Research.
  14. Hsin, Chin-Wen & Tseng, Po-Wen, 2012. "Stock price synchronicities and speculative trading in emerging markets," Journal of Multinational Financial Management, Elsevier, vol. 22(3), pages 82-109.
  15. Nildag Basak Ceylan, 2006. "The Effects of G-7 Countries’ Stock Markets on the Istanbul Stock Exchange," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 8(32), pages 37-56.
  16. Philippe Martin & Helene Rey, 2004. "Financial Super-Markets: Size Matters for Asset Trade," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00176904, HAL.
  17. Nicholas Apergis & Christina Christou & Stephen M. Miller, 2010. "Country and Industry Convergence of Equity Markets: International Evidence from Club Convergence and Clustering," Working papers 2010-33, University of Connecticut, Department of Economics, revised Jul 2012.
  18. Hartwell, Christopher A., 2014. "The impact of institutional volatility on financial volatility in transition economies : a GARCH family approach," BOFIT Discussion Papers 6/2014, Bank of Finland, Institute for Economies in Transition.
  19. Salem Boubakri & Cyriac Guillaumin, 2015. "Regional integration of the East Asian stock markets : an empirical assessment," Post-Print halshs-01195916, HAL.
  20. Kittiakarasakun, Jullavut & Tse, Yiuman, 2011. "Modeling the fat tails in Asian stock markets," International Review of Economics & Finance, Elsevier, vol. 20(3), pages 430-440, June.
  21. Li, Yuming & Zhong, Maosen, 2005. "Consumption habit and international stock returns," Journal of Banking & Finance, Elsevier, vol. 29(3), pages 579-601, March.
  22. Nicole Davis & Ali Kutan, 2003. "Inflation and output as predictors of stock returns and volatility: international evidence," Applied Financial Economics, Taylor & Francis Journals, vol. 13(9), pages 693-700.
  23. Charlotte Christiansen, 2007. "Decomposing European Bond and Equity Volatility," CREATES Research Papers 2007-06, Department of Economics and Business Economics, Aarhus University.
  24. Miyakoshi, Tatsuyoshi & Jalolov, Mirzosharif, 2005. "Money-income causality revisited in EGARCH: Spillovers of monetary policy to Asia from the US," Journal of Asian Economics, Elsevier, vol. 16(2), pages 299-313, April.
  25. Jondeau, E. & Rockinger, M., 2002. "Asset Allocation in Transition Economies," Working papers 90, Banque de France.
  26. Zinna, Gabriele, 2011. "Identifying risks in emerging market sovereign and corporate bond spreads," Bank of England working papers 430, Bank of England.
  27. Radu Tunaru & Ephraim Clark, 2005. "The Evolution of International Political Risk 1956-2001," Money Macro and Finance (MMF) Research Group Conference 2005 37, Money Macro and Finance Research Group.
  28. Camilleri, Silvio John & Galea, Gabriella, 2009. "The Diversification Potential Offered by Emerging Markets in Recent Years," MPRA Paper 62491, University Library of Munich, Germany.
  29. Aaron Tornell, 2005. "Systemic Crises and Growth (September 2006)," UCLA Economics Online Papers 359, UCLA Department of Economics.
  30. Baele, Lieven & Pungulescu, Crina & Ter Horst, Jenke, 2007. "Model uncertainty, financial market integration and the home bias puzzle," Journal of International Money and Finance, Elsevier, vol. 26(4), pages 606-630, June.
  31. Jonathan B. Hill, 2004. "Gaussian Tests of "Extremal White Noise" for Dependent, Heterogeneous, Heavy Tailed Time Series with an Application," Econometrics 0411014, EconWPA, revised 09 Dec 2004.
  32. Muteba Mwamba, John & Mokwena, Paula, 2013. "International diversification and dependence structure of equity portfolios during market crashes: the Archimedean copula approach," MPRA Paper 64384, University Library of Munich, Germany.
  33. Marta Gomez-Puig, 2007. "Eu-15 Sovereign Governments Cost Of Borrowing After Seven Years Of Monetary Union," IREA Working Papers 200711, University of Barcelona, Research Institute of Applied Economics, revised May 2007.
  34. Barry, Christopher B. & Rodriguez, Mauricio, 2004. "Risk and return characteristics of property indices in emerging markets," Emerging Markets Review, Elsevier, vol. 5(2), pages 131-159, June.
  35. Mirzosharif JALOLOV & Tatsuyoshi MIYAKOSHI, 2005. "Who Drives The Russian Financial Markets?," The Developing Economies, Institute of Developing Economies, vol. 43(3), pages 374-395, 09.
  36. Mazzotta, Stefano, 2008. "How important is asymmetric covariance for the risk premium of international assets?," Journal of Banking & Finance, Elsevier, vol. 32(8), pages 1636-1647, August.
  37. ROCKINGER, Michael & JONDEAU, Eric, 2001. "Testing for differences in the tails of stock-market returns," Les Cahiers de Recherche 739, HEC Paris.
  38. Zhou, Xiangyi & Zhang, Weijin & Zhang, Jie, 2012. "Volatility spillovers between the Chinese and world equity markets," Pacific-Basin Finance Journal, Elsevier, vol. 20(2), pages 247-270.
  39. Chambet, Anthony & Gibson, Rajna, 2008. "Financial integration, economic instability and trade structure in emerging markets," Journal of International Money and Finance, Elsevier, vol. 27(4), pages 654-675, June.
  40. Balcılar, Mehmet & Demirer, Rıza & Hammoudeh, Shawkat, 2015. "Global risk exposures and industry diversification with Shariah-compliant equity sectors," Pacific-Basin Finance Journal, Elsevier, vol. 35(PB), pages 499-520.
  41. 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.
  42. 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.
  43. 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.
  44. Hashmi, Aamir R. & Tay, Anthony S., 2007. "Global regional sources of risk in equity markets: Evidence from factor models with time-varying conditional skewness," Journal of International Money and Finance, Elsevier, vol. 26(3), pages 430-453, April.
  45. Asli Bayar & Zeynep Onder, 2005. "Liquidity and price volatility of cross-listed French stocks," Applied Financial Economics, Taylor & Francis Journals, vol. 15(15), pages 1079-1094.
  46. Söhnke M. Bartram & John M. Griffin & Tae-Hoon Lim & David T. Ng, 2015. "How Important Are Foreign Ownership Linkages for International Stock Returns?," Review of Financial Studies, Society for Financial Studies, vol. 28(11), pages 3036-3072.
  47. Bracker, Kevin & Docking, Diane Scott & Koch, Paul D., 1999. "Economic determinants of evolution in international stock market integration," Journal of Empirical Finance, Elsevier, vol. 6(1), pages 1-27, January.
  48. Bekaert, Geert & Harvey, Campbell R., 2003. "Emerging markets finance," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 3-56, February.
  49. Geert Bekaert & Michael Ehrmann & Marcel Fratzscher & Arnaud Mehl, 2014. "The Global Crisis and Equity Market Contagion," Discussion Papers of DIW Berlin 1352, DIW Berlin, German Institute for Economic Research.
  50. Christoffersen, Peter & Chung, Hyunchul & Errunza, Vihang, 2006. "Size matters: The impact of financial liberalization on individual firms," Journal of International Money and Finance, Elsevier, vol. 25(8), pages 1296-1318, December.
  51. Pereiro, Luis E., 2006. "The practice of investment valuation in emerging markets: Evidence from Argentina," Journal of Multinational Financial Management, Elsevier, vol. 16(2), pages 160-183, April.
  52. 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.
  53. Michael Donadelli, 2013. "Global integration and emerging stock market excess returns," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 6(2), pages 244-279, September.
  54. Tomoe Moore, 2007. "Has entry to the European Union altered the dynamic links of stock returns for the emerging markets?," Applied Financial Economics, Taylor & Francis Journals, vol. 17(17), pages 1431-1446.
  55. Middleton, C.A.J. & Fifield, S.G.M. & Power, D.M., 2008. "An investigation of the benefits of portfolio investment in Central and Eastern European stock markets," Research in International Business and Finance, Elsevier, vol. 22(2), pages 162-174, June.
  56. van der Hart, Jaap & Slagter, Erica & van Dijk, Dick, 2003. "Stock selection strategies in emerging markets," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 105-132, February.
  57. Vázquez Pérez, Jesús & Regúlez Castillo, Marta & Londoño Yarce, Juan Miguel, 2008. "Another Look to the Price-Dividend Ratio: A Markov-Switching Approach," DFAEII Working Papers 2008-09, University of the Basque Country - Department of Foundations of Economic Analysis II.
  58. Monica Billio & Massimiliano Caporin & Lorenzo Frattarolo & Loriana Pelizzon, 2016. "Networks in risk spillovers: a multivariate GARCH perspective," Working Papers 2016:03, Department of Economics, University of Venice "Ca' Foscari".
  59. Sun, Qian & Tong, Wilson & Yu, Qiao, 2002. "Determinants of foreign direct investment across China," Journal of International Money and Finance, Elsevier, vol. 21(1), pages 79-113, February.
  60. Cappiello, Lorenzo & Gérard, Bruno & Kadareja, Arjan & Manganelli, Simone, 2006. "Financial integration of new EU Member States," Working Paper Series 0683, European Central Bank.
  61. Yen-Hsien Lee & Chien-Liang Chiu, 2007. "The Impact of the QFIIs Deregulation on Normal and Abnormal Information Transmission Between the Stock and Exchange rates in Taiwan," Economics Bulletin, AccessEcon, vol. 3(22), pages 1-10.
  62. Petzev, Ivan & Schrimpf, Andreas & Wagner, Alexander F, 2015. "Has the Pricing of Stocks Become More Global?," CEPR Discussion Papers 10966, C.E.P.R. Discussion Papers.
  63. 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.
  64. Magdalena Morgese Borys, 2007. "Testing Multi-Factor Asset Pricing Models in the Visegrad Countries," CERGE-EI Working Papers wp323, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  65. Demirer, Rıza & Jategaonkar, Shrikant P., 2013. "The conditional relation between dispersion and return," Review of Financial Economics, Elsevier, vol. 22(3), pages 125-134.
  66. Jayaraman, Sudarshan, 2012. "The effect of enforcement on timely loss recognition: Evidence from insider trading laws," Journal of Accounting and Economics, Elsevier, vol. 53(1), pages 77-97.
  67. Shamsuddin, Abul F. M. & Kim, Jae H., 2003. "Integration and interdependence of stock and foreign exchange markets: an Australian perspective," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(3), pages 237-254, July.
  68. Guesmi, Khaled & Kablan, Sandrine, 2015. "Financial integration and Japanese stock market," MPRA Paper 70206, University Library of Munich, Germany.
  69. Lim, Lee K., 2008. "A cointegration analysis of price transmission between ADRs and dually listed South Korean stocks," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(2), pages 200-208.
  70. Gerald Kohers & Ninon Kohers & Theodor Kohers, 2006. "The risk and return characteristics of developed and emerging stock markets: the recent evidence," Applied Economics Letters, Taylor & Francis Journals, vol. 13(11), pages 737-743.
  71. Ezzat, Hassan, 2012. "The Application of GARCH and EGARCH in Modeling the Volatility of Daily Stock Returns During Massive Shocks: The Empirical Case of Egypt," MPRA Paper 50530, University Library of Munich, Germany.
  72. Alexei Goriaev & Alexei Zabotkin, 2006. "Risks of investing in the Russian stock market: Lessons of the first decade," Working Papers w0077, Center for Economic and Financial Research (CEFIR).
  73. Lieven Baele & Koen Inghelbrecht, 2005. "Structural versus Temporary Drivers of Country and Industry Risk," International Finance 0511005, EconWPA.
  74. Fedorov, Pavel & Sarkissian, Sergei, 2000. "Cross-sectional variations in the degree of global integration: the case of Russian equities," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(2), pages 131-150, June.
  75. Ben Rejeb, Aymen & Boughrara, Adel, 2013. "Financial liberalization and stock markets efficiency: New evidence from emerging economies," Emerging Markets Review, Elsevier, vol. 17(C), pages 186-208.
  76. Esin Cakan & Rangan Gupta, 2016. "Does U.S. Macroeconomic News Make the South African Stock Market Riskier?," Working Papers 201646, University of Pretoria, Department of Economics.
  77. Söhnke M. Bartram & Gregory Brown & René M. Stulz, 2012. "Why Are U.S. Stocks More Volatile?," Journal of Finance, American Finance Association, vol. 67(4), pages 1329-1370, 08.
  78. Sin, Chor-Yiu (CY), 2013. "Using CARRX models to study factors affecting the volatilities of Asian equity markets," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 552-564.
  79. Balli, Faruk & Basher, Syed Abul & Ghassan, Hassan B. & Alhajhoj, Hassan R., 2014. "An Analysis of Returns and Volatility Spillovers and their Determinants in Emerging Asian and Middle Eastern Countries," MPRA Paper 63860, University Library of Munich, Germany, revised 23 Apr 2015.
  80. Vo, Xuan Vinh, 2015. "Foreign ownership and stock return volatility – Evidence from Vietnam," Journal of Multinational Financial Management, Elsevier, vol. 30(C), pages 101-109.
  81. G. Andrew Karolyi & David T. Ng & Eswar S. Prasad, 2015. "The Coming Wave: Where Do Emerging Market Investors Put Their Money?," NBER Working Papers 21661, National Bureau of Economic Research, Inc.
  82. 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.
  83. Chun-Da Chen & Alex YiHou Huang & Chih-Chun Chen, 2011. "The Effects of Abolishing a Foreign Institutional Investment Quota in Taiwan," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 47(2), pages 74-98, March.
  84. Rui Albuquerue & Neng Wang, 2008. "Agency Conflicts, Investment, and Asset Pricing," Journal of Finance, American Finance Association, vol. 63(1), pages 1-40, 02.
  85. Appiah-Kusi, Joe & Menyah, Kojo, 2003. "Return predictability in African stock markets," Review of Financial Economics, Elsevier, vol. 12(3), pages 247-270.
  86. 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, February.
  87. Francis E. Warnock & Hali J. Edison, 2001. "A Simple Measure of the Intensity of Capital Controls," IMF Working Papers 01/180, International Monetary Fund.
  88. Baele, Lieven, 2005. "Volatility Spillover Effects in European Equity Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 40(02), pages 373-401, June.
  89. 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.
  90. Beirne, John & Caporale, Guglielmo Maria & Schulze-Ghattas, Marianne & Spagnolo, Nicola, 2009. "Volatility spillovers and contagion from mature to emerging stock markets," Working Paper Series 1113, European Central Bank.
  91. Andrew Ang & Geert Bekaert, 2004. "The term structure of real rates and expected inflation," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
  92. Neely, Christopher J. & Weller, Paul, 2000. "Predictability in International Asset Returns: A Reexamination," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 35(04), pages 601-620, December.
  93. Konstantinos Drakos, 2010. "The determinants of terrorist shocks' cross-market transmission," Journal of Risk Finance, Emerald Group Publishing, vol. 11(2), pages 147-163, February.
  94. Assaf, Ata, 2016. "MENA stock market volatility persistence: Evidence before and after the financial crisis of 2008," Research in International Business and Finance, Elsevier, vol. 36(C), pages 222-240.
  95. Cotter, John & Stevenson, Simon, 2005. "Multivariate Modeling of Daily REIT Volatility," MPRA Paper 3524, University Library of Munich, Germany.
  96. Yohane Khamfula, 2005. "African capital markets and real sector investment," Journal of International Development, John Wiley & Sons, Ltd., vol. 17(4), pages 511-525.
  97. M. Lucey, Brian & Voronkova, Svitlana, 2005. "Russian equity market linkages before and after the 1998 crisis: Evidence from time-varying and stochastic cointegration tests," BOFIT Discussion Papers 12/2005, Bank of Finland, Institute for Economies in Transition.
  98. Jondeau, E. & Rockinger, M., 2004. "Optimal Portfolio Allocation Under Higher Moments," Working papers 108, Banque de France.
  99. Bley, Jorg & Saad, Mohsen, 2011. "The effect of financial liberalization on stock-return volatility in GCC markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(5), pages 662-685.
  100. Harris Dellas & Martin K. Hess, 2002. "Financial development and stock returns: A cross country analysis," Diskussionsschriften dp0218, Universitaet Bern, Departement Volkswirtschaft.
  101. Jayasuriya, Shamila, 2005. "Stock market liberalization and volatility in the presence of favorable market characteristics and institutions," Emerging Markets Review, Elsevier, vol. 6(2), pages 170-191, June.
  102. Mohamed El Hedi Arouri & Mondher Bellalah & Duc Khuong Nguyen, 2010. "The comovements in international stock markets: new evidence from Latin American emerging countries," Applied Economics Letters, Taylor & Francis Journals, vol. 17(13), pages 1323-1328.
  103. Stivers, Christopher T., 2003. "Firm-level return dispersion and the future volatility of aggregate stock market returns," Journal of Financial Markets, Elsevier, vol. 6(3), pages 389-411, May.
  104. Domowitz, Ian & Glen, Jack & Madhavan, Ananth, 2001. "Liquidity, Volatility and Equity Trading Costs across Countries and over Time," International Finance, Wiley Blackwell, vol. 4(2), pages 221-55, Summer.
  105. Hou, Yang & Li, Steven, 2016. "Information transmission between U.S. and China index futures markets: An asymmetric DCC GARCH approach," Economic Modelling, Elsevier, vol. 52(PB), pages 884-897.
  106. Billio, Monica & Pelizzon, Loriana, 2003. "Volatility and shocks spillover before and after EMU in European stock markets," Journal of Multinational Financial Management, Elsevier, vol. 13(4-5), pages 323-340, December.
  107. Sequeira, John M. & Lan, Dong, 2003. "Does world-level volatility matter for the average firm in a global equity market?," Journal of Multinational Financial Management, Elsevier, vol. 13(4-5), pages 341-357, December.
  108. Fausto Hernández-Trillo & Ricardo Smith-Ramírez, 2009. "Credit Ratings in the Presence of Bailout: The Case of Mexican Subnational Government Debt," ECONOMIA JOURNAL OF THE LATIN AMERICAN AND CARIBBEAN ECONOMIC ASSOCIATION, ECONOMIA JOURNAL OF THE LATIN AMERICAN AND CARIBBEAN ECONOMIC ASSOCIATION, vol. 0(Fall 2009), pages 45-79, August.
  109. Schäfer, Larissa, 2015. "Essays in banking and international finance," Other publications TiSEM 54db9c22-05fa-4444-97d5-1, Tilburg University, School of Economics and Management.
  110. López Milla, Julián & Rubia, Antonio, 2011. "Liquidez del mercado a plazo y volatilidad de precios a contado en el mercado de electricidad en España/Liquidity in the Contract Market and Price Volatility in the Spanish Electricity Spot Market," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 29, pages 575-596, Agosto.
  111. Aymen Ben Rejeb & Adel Boughrara, 2015. "Financial integration in emerging market economies: Effects on volatility transmission and contagion," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 15(3), pages 161-179, September.
  112. Salem Boubakri & Cyriac Guillaumin, 2011. "Financial integration and currency risk premium in CEECs : evidence from the ICAPM," Post-Print halshs-00639224, HAL.
  113. 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.
  114. Benjamin Miranda Tabak & Eduardo José Araújo Lima, 2002. "The Effects of the Brazilian ADRs Program on Domestic Market Efficiency," Working Papers Series 43, Central Bank of Brazil, Research Department.
  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. 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.
  117. 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.
  118. Konstantinos Tolikas, 2011. "The rare event risk in African emerging stock markets," Managerial Finance, Emerald Group Publishing, vol. 37(3), pages 275-294, March.
  119. Stéphanie Prat & Sophie Brana, 2010. "The Introduction of Emerging Currencies into a Portfolio: Towards a more Complete Diversification Model," International Economics, CEPII research center, issue 121, pages 5-24.
  120. Chiao, Chaoshin & Hung, Ken & Srivastava, Suresh C., 2003. "Taiwan stock market and four-moment asset pricing model," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(4), pages 355-381, October.
  121. Li, Hong, 2012. "The impact of China's stock market reforms on its international stock market linkages," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(4), pages 358-368.
  122. Marcel Aloy & Gilles de Truchis & Gilles Dufrénot & Benjamin Keddad, 2014. "Shift-Volatility Transmission in East Asian Equity Markets," AMSE Working Papers 1402, Aix-Marseille School of Economics, Marseille, France, revised Mar 2014.
  123. Roszkowska Paulina & Prorokowski Łukasz, 2013. "Model of Financial Crisis Contagion: A Survey-based Simulation by Means of the Modified Kaplan-Meier Survival Plots," Folia Oeconomica Stetinensia, De Gruyter Open, vol. 13(1), pages 22-55, December.
  124. Bailey, Warren & Mao, Connie X. & Zhong, Rui, 2003. "Exchange rate regimes and stock return volatility: some evidence from Asia's silver era," Journal of Economics and Business, Elsevier, vol. 55(5-6), pages 557-584.
  125. Sabur Mollah & Asma Mobarek, 2009. "Market volatility across countries – evidence from international markets," Studies in Economics and Finance, Emerald Group Publishing, vol. 26(4), pages 257-274, October.
  126. Geert Bekaert & Campbell R. Harvey & Christian Lundblad, 2005. "Liquidity and Expected Returns: Lessons From Emerging Markets," NBER Working Papers 11413, National Bureau of Economic Research, Inc.
  127. 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.
  128. Hamao, Y. & Mei, J., 1995. "Living with the "Enemy": An Analysis of Foreign Investment in the Japanese Equity Market," Papers 95-15, Columbia - Graduate School of Business.
  129. Geert Bekaert & Campbell R. Harvey, 2003. "Market Integration and Contagion," NBER Working Papers 9510, National Bureau of Economic Research, Inc.
  130. Su, Dongwei & Fleisher, Belton M., 1998. "Risk, Return and Regulation in Chinese Stock Markets," Journal of Economics and Business, Elsevier, vol. 50(3), pages 239-256, May.
  131. Wu, Feng & Guan, Zhengfei, 2009. "The Volatility Spillover Effects and Optimal Hedging Strategy in the Corn Market," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49453, Agricultural and Applied Economics Association.
  132. 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," Discussion Papers of DIW Berlin 942, DIW Berlin, German Institute for Economic Research.
  133. Nihat Aktas & Eric de Bodt & Michel Levasseur, 2004. "Heterogeneity effects from market interventions," The European Journal of Finance, Taylor & Francis Journals, vol. 10(5), pages 412-436.
  134. Naser Ibrahim Abumustafa, . "Potential Integration of Middle Eastern Countries' Stock Markets," Fordham Economics Dissertations, Fordham University, Department of Economics, number 2002.1.
  135. Varas, Felipe & Walker, Eduardo, 2011. "Optimal close-to-home biases in asset allocation," Journal of Business Research, Elsevier, vol. 64(3), pages 328-337, March.
  136. Panait, Iulian & Constantinescu, Alexandru, 2012. "Stylized facts of the daily and monthly returns for the European stock indices during 2007-2012," MPRA Paper 44249, University Library of Munich, Germany.
  137. Lim, Lee K., 2009. "Convergence and interdependence between ASEAN-5 stock markets," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(9), pages 2957-2966.
  138. Karen K. Lewis, 2011. "Global asset pricing," Globalization and Monetary Policy Institute Working Paper 88, Federal Reserve Bank of Dallas.
  139. Jiang, Jingze & Marsh, Thomas L. & Tozer, Peter R., 2015. "Policy induced price volatility transmission: Linking the U.S. crude oil, corn and plastics markets," Energy Economics, Elsevier, vol. 52(PA), pages 217-227.
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This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.