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Citations for "Emerging equity market volatility"

by Bekaert, Geert & Harvey, Campbell R.

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  1. Jon Wongswan, 2005. "The response of global equity indexes to U.S. monetary policy announcements," International Finance Discussion Papers 844, Board of Governors of the Federal Reserve System (U.S.).
  2. Lin, Anchor Y. & Swanson, Peggy E., 2008. "U.S. investors and global equity markets," International Review of Financial Analysis, Elsevier, vol. 17(1), pages 83-107.
  3. Luchtenberg, Kimberly F. & Vu, Quang Viet, 2015. "The 2008 financial crisis: Stock market contagion and its determinants," Research in International Business and Finance, Elsevier, vol. 33(C), pages 178-203.
  4. Ian Domowitz & Jack Glen & Ananth Madhavan, 2000. "Liquidity, Volatility, and Equity Trading Costs Across Countries and Over Time," William Davidson Institute Working Papers Series 322, William Davidson Institute at the University of Michigan.
  5. John Cotter & Simon Stevenson, 2011. "Multivariate Modelling of Daily REIT Volatility," Working Papers 200517, Geary Institute, University College Dublin.
  6. Miyakoshi, Tatsuyoshi, 2003. "Spillovers of stock return volatility to Asian equity markets from Japan and the US," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(4), pages 383-399, October.
  7. Tsangyao Chang & Omid Ranjbar & Luis A. Gil-Alana & Goodness C. Aye & Rangan Gupta, 2014. "Testing for Multiple Bubbles in the BRICS Stock Markets," Working Papers 201407, University of Pretoria, Department of Economics.
  8. Diego Bastourre & Jorge Carrera & Javier Ibarlucia, 2008. "Commodity Prices in Argentina. What Does Move the Wind?," Money Affairs, Centro de Estudios Monetarios Latinoamericanos, vol. 0(1), pages 1-30, January-J.
  9. Goodness C. Aye & Mehmet Balcilar & Rangan Gupta & Nicholas Kilimani & Amandine Nakumuryango & Siobhan Redford, 2012. "Predicting BRICS Stock Returns Using ARFIMA Models," Working Papers 201235, University of Pretoria, Department of Economics.
  10. Vo, Xuan Vinh & Batten, Jonathan, 2010. "An Empirical Investigation of Liquidity and Stock Returns Relationship in Vietnam Stock Markets during Financial Crisis," MPRA Paper 29862, University Library of Munich, Germany, revised 10 Jan 2011.
  11. Brian M. Lucey, QiYu Zhang* School of Business, Trinity College Dublin, Ireland, 2009. "Does cultural distance matter in international stock market comovement? Evidence from emerging economies around the world," The Institute for International Integration Studies Discussion Paper Series iiisdp304, IIIS.
  12. L. Baele & R. Vander Vennet & A. Van Landschoot, 2004. "Bank Risk Strategies and Cyclical Variation in Bank Stock Returns," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 04/217, Ghent University, Faculty of Economics and Business Administration.
  13. Bartram, Söhnke M. & Brown, Gregory W. & Stulz, René M., 2012. "Why are U.S. Stocks More Volatile?," MPRA Paper 47341, University Library of Munich, Germany.
  14. 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.
  15. De Moor, Lieven & Sercu, Piet & Vanpée, Rosanne, 2010. "The plausibility of risk estimates and implied costs to international equity investments," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 623-644, September.
  16. 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.
  17. 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.
  18. Emenike, Kalu O., 2010. "Modelling Stock Returns Volatility In Nigeria Using GARCH Models," MPRA Paper 22723, University Library of Munich, Germany.
  19. Laopodis, Nikiforos T., 2004. "Financial market liberalization and stock market efficiency: Evidence from the Athens Stock Exchange," Global Finance Journal, Elsevier, vol. 15(2), pages 103-123, August.
  20. Chen, Nai-fu & Zhang, Feng, 1997. "Correlations, trades and stock returns of the Pacific-Basin markets," Pacific-Basin Finance Journal, Elsevier, vol. 5(5), pages 559-577, December.
  21. 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.
  22. Gregory C. Chow, 2003. "A Time-Series Analysis of the Shanghai and New York Stock Price Indices," General Economics and Teaching 0306008, EconWPA.
  23. Esqueda, Omar A. & Assefa, Tibebe A. & Mollick, André Varella, 2012. "Financial globalization and stock market risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(1), pages 87-102.
  24. Khaled Guesmi & Frédéric Teulon, 2013. "Regional Equity Risk Premium Convergence: The case of Japan," Working Papers 2013-006, Department of Research, Ipag Business School.
  25. Chen, Zhian & Du, Jinmin & Li, Donghui & Ouyang, Rui, 2013. "Does foreign institutional ownership increase return volatility? Evidence from China," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 660-669.
  26. Charles P. Thomas & Francis E. Warnock & Jon Wongswan, 2006. "The Performance of International Equity Portfolios," NBER Working Papers 12346, National Bureau of Economic Research, Inc.
  27. 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.
  28. Skintzi, Vasiliki D. & Refenes, Apostolos N., 2006. "Volatility spillovers and dynamic correlation in European bond markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(1), pages 23-40, February.
  29. Anastasios SARAIDARIS & Stella KARAGIANNI & Catherine KYRTSOU & Anastasios SARAIDARIS, . "Effects of Tax Policy Announcements in the Athens Stock Exchange," EcoMod2010 259600149, EcoMod.
  30. Kim, Jaemin & Landi, James & Yoo, Sean Sehyun, 2009. "Inter-temporal examination of the trading activities of foreign investors in the Korean stock market," Pacific-Basin Finance Journal, Elsevier, vol. 17(2), pages 243-256, April.
  31. Bernd Hayo & Ali Kutan, 2001. "Investor Panic, IMF Actions, and Emerging Stock Market Returns and Volatility," International Finance 0112001, EconWPA.
  32. 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.
  33. Sam Agyei-Ampomah, 2011. "Stock market integration in Africa," Managerial Finance, Emerald Group Publishing, vol. 37(3), pages 242-256, March.
  34. Edison, Hali J. & Warnock, Francis E., 2003. "A simple measure of the intensity of capital controls," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 81-103, February.
  35. Massimo Guidolin & Giovanna Nicodano, 2010. "Ex Post Portfolio Performance with Predictable Skewness and Kurtosis," Carlo Alberto Notebooks 191, Collegio Carlo Alberto.
  36. Xiomara Archibald & Denny Lewis-Bynoe & Winston Moore, 2008. "Labour Market Flexibility in Small Island Developing States," Money Affairs, Centro de Estudios Monetarios Latinoamericanos, vol. 0(1), pages 73-91, January-J.
  37. 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.
  38. Mihir A. Desai & C. Fritz Foley & James R. Hines Jr., 2006. "Capital Structure with Risky Foreign Investment," NBER Working Papers 12276, National Bureau of Economic Research, Inc.
  39. Bekaert, Geert & Harvey, Campbell & Lundblad, Christian T, 2006. "Liquidity and Expected Returns: Lessons from Emerging Markets," CEPR Discussion Papers 5946, C.E.P.R. Discussion Papers.
  40. 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.
  41. Gazi Mainul Hassan & Hisham M. Al refai, 2012. "Can macroeconomic factors explain equity returns in the long run? The case of Jordan," Applied Financial Economics, Taylor & Francis Journals, vol. 22(13), pages 1029-1041, July.
  42. Olan T. Henry & Nilss Olekalns & Kalvinder Shields, 2004. "Time Variation And Asymmetry In The World Price Of Covariance Risk: The Implications For International Diversification," Department of Economics - Working Papers Series 907, The University of Melbourne.
  43. Evans, Martin D.D. & Hnatkovska, Viktoria V., 2014. "International capital flows, returns and world financial integration," Journal of International Economics, Elsevier, vol. 92(1), pages 14-33.
  44. P Martin & H Rey, 2000. "Financial Super-Markets: Size Matters for Asset Trade," CEP Discussion Papers dp0450, Centre for Economic Performance, LSE.
  45. 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.
  46. Phylaktis, Kate & Ravazzolo, Fabiola, 2004. "Currency risk in emerging equity markets," Emerging Markets Review, Elsevier, vol. 5(3), pages 317-339, September.
  47. Michael Funke & Roberta Colavecchio, 2008. "Volatility Transmission between Renminbi and Asia-Pacific on-shore and off-shore U.S. dollar futures," Quantitative Macroeconomics Working Papers 20812, Hamburg University, Department of Economics.
  48. Dellas, Harris & Hess, Martin, 2001. "Financial Development and the Sensitivity of Stock Markets to External Influences," CEPR Discussion Papers 2766, C.E.P.R. Discussion Papers.
  49. Hamao, Yasushi & Mei, Jianping, 2001. "Living with the "enemy": an analysis of foreign investment in the Japanese equity market," Journal of International Money and Finance, Elsevier, vol. 20(5), pages 715-735, October.
  50. Geert Bekaert & Campbell R. Harvey, 1997. "Foreign Speculators and Emerging Equity Markets," NBER Working Papers 6312, National Bureau of Economic Research, Inc.
  51. Jondeau, E. & Rockinger, M., 1999. "The Tail Behavior of Sotck Returns: Emerging Versus Mature Markets," Working papers 66, Banque de France.
  52. Hardouvelis, Gikas A. & Malliaropulos, Dimitrios & Priestley, Richard, 2007. "The impact of EMU on the equity cost of capital," Journal of International Money and Finance, Elsevier, vol. 26(2), pages 305-327, March.
  53. 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.
  54. 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.
  55. Elena Andreou & Maria Matsi & Andreas Savvides, 2013. "Stock and Foreign Exchange Market Linkages in Emerging Economies," University of Cyprus Working Papers in Economics 01-2013, University of Cyprus Department of Economics.
  56. 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.
  57. Geert Bekaert & Campbell R. Harvey & Angela Ng, 2005. "Market Integration and Contagion," The Journal of Business, University of Chicago Press, vol. 78(1), pages 39-70, January.
  58. 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.
  59. 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.
  60. L. Baele & K. Inghelbrecht, 2006. "Structural versus Temporary Drivers of Country and Industry Risk," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 06/413, Ghent University, Faculty of Economics and Business Administration.
  61. 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.
  62. Ritab Al-Khouri & Abdulkhader Abdallah, 2012. "Market liberalization and volatility of returns in emerging markets: The case of Qatar Exchange (QSC)," International Journal of Islamic and Middle Eastern Finance and Management, Emerald Group Publishing, vol. 5(2), pages 106-115, June.
  63. Duc Khuong Nguyen & Mondher Bellalah, 2007. "Testing for Structural Breaks and Dynamic Changes in Emerging Market Volatility," Working Papers 02, Development and Policies Research Center (DEPOCEN), Vietnam.
  64. Mahfuzul Haque & Imen Kouki, 2009. "Effect of 9/11 on the conditional time-varying equity risk premium: evidence from developed markets," Journal of Risk Finance, Emerald Group Publishing, vol. 10(3), pages 261-276, May.
  65. Abou-Zaid, Ahmed S., 2011. "Volatility Spillover Effects in Emerging MENA Stock Markets," Review of Applied Economics, Review of Applied Economics, vol. 7(1-2).
  66. 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.
  67. Bekaert, Geert & Harvey, Campbell R., 2002. "Research in emerging markets finance: looking to the future," Emerging Markets Review, Elsevier, vol. 3(4), pages 429-448, December.
  68. Arouri, Mohamed El Hedi & Foulquier, Philippe, 2012. "Financial market integration: Theory and empirical results," Economic Modelling, Elsevier, vol. 29(2), pages 382-394.
  69. Bekaert, Geert & Harvey, Campbell R., 2003. "Emerging markets finance," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 3-56, February.
  70. de Pooter, M.D. & van Dijk, D.J.C., 2004. "Testing for changes in volatility in heteroskedastic time series - a further examination," Econometric Institute Research Papers EI 2004-38, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  71. Dellas, Harris & Hess, Martin, 2005. "Financial development and stock returns: A cross-country analysis," Journal of International Money and Finance, Elsevier, vol. 24(6), pages 891-912, October.
  72. John Beirne & Guglielmo Maria Caporale & Marianne Schulze-Ghattas & Nicola Spagnolo, 2009. "Volatility Spillovers and Contagion from Mature to Emerging Stock Markets," CESifo Working Paper Series 2545, CESifo Group Munich.
  73. Jun, Sang-Gyung & Marathe, Achla & Shawky, Hany A., 2003. "Liquidity and stock returns in emerging equity markets," Emerging Markets Review, Elsevier, vol. 4(1), pages 1-24, March.
  74. 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.
  75. Tamara Teplova & Evgeniya Shutova, 2011. "A Higher Moment Downside Framework for Conditional and Unconditional Capm in the Russian Stock Market," Eurasian Economic Review, Eurasia Business and Economics Society, vol. 1(2), pages 157-178, December.
  76. Jondeau, Eric & Rockinger, Michael, 2003. "Testing for differences in the tails of stock-market returns," Journal of Empirical Finance, Elsevier, vol. 10(5), pages 559-581, December.
  77. Michael Donadelli & Marcella Lucchetta, 2013. "Emerging Stock Premia: Some Evidence From Industrial Stock Market Data," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 3(4), pages 398-422, April.
  78. Bekaert, Geert & Wu, Guojun, 2000. "Asymmetric Volatility and Risk in Equity Markets," Review of Financial Studies, Society for Financial Studies, vol. 13(1), pages 1-42.
  79. Wen-Hsiu Kuo & Shih-Ju Chan, 2006. "The Impact of Introduction of QFIIs Trading on the Lead and Volatility Behavior: Evidence for Taiwan Index Futures Market," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 9(01), pages 25-49.
  80. Andrew Worthington & Helen Higgs, 2001. "A multivariate GARCH analysis of equity returns and volatility in Asian equity markets," School of Economics and Finance Discussion Papers and Working Papers Series 089, School of Economics and Finance, Queensland University of Technology.
  81. Garcia, Rene & Ghysels, Eric, 1998. "Structural change and asset pricing in emerging markets," Journal of International Money and Finance, Elsevier, vol. 17(3), pages 455-473, June.
  82. Charles P. Thomas & Francis E. Warnock & Jon Wongswan, 2004. "The performance of international portfolios," International Finance Discussion Papers 817, Board of Governors of the Federal Reserve System (U.S.).
  83. 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.
  84. Albuquerque, Rui & Loayza, Norman & Serven, Luis, 2003. "World market integration through the lens of foreign direct investors," Policy Research Working Paper Series 3060, The World Bank.
  85. Hatice Ozer Balli & Faruk Balli & Rosmy Jean Louis, 2013. "Time-Varying Spillover Effects on Sectoral Equity Returns," International Review of Finance, International Review of Finance Ltd., vol. 13(1), pages 67-91, 03.
  86. Goriaev, Alexei & Zabotkin, Alexei, 2006. "Risks of investing in the Russian stock market: Lessons of the first decade," Emerging Markets Review, Elsevier, vol. 7(4), pages 380-397, December.
  87. Chiou, Wan-Jiun Paul & Lee, Alice C. & Lee, Cheng-Few, 2010. "Stock return, risk, and legal environment around the world," International Review of Economics & Finance, Elsevier, vol. 19(1), pages 95-105, January.
  88. 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.
  89. Daal, Elton & Naka, Atsuyuki & Yu, Jung-Suk, 2007. "Volatility clustering, leverage effects, and jump dynamics in the US and emerging Asian equity markets," Journal of Banking & Finance, Elsevier, vol. 31(9), pages 2751-2769, September.
  90. Koutmos, Gregory, 1997. "Do emerging and developed stock markets behave alike? Evidence from six pacific basin stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(3), pages 221-234, October.
  91. Bruner, Robert & Chaplinsky, Susan & Ramchand, Latha, 2006. "Coming to America: IPOs from emerging market issuers," Emerging Markets Review, Elsevier, vol. 7(3), pages 191-212, September.
  92. Kole, Erik & Koedijk, Kees & Verbeek, Marno, 2006. "Portfolio implications of systemic crises," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2347-2369, August.
  93. 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.
  94. Enrico Pennings & Carlo Altomonte, 2006. "The Hazard Rate of Foreign Direct Investment: A Structural Estimation of a Real-option Model," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(5), pages 569-593, October.
  95. 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.
  96. 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.
  97. Andrade, Sandro C., 2009. "A model of asset pricing under country risk," Journal of International Money and Finance, Elsevier, vol. 28(4), pages 671-695, June.
  98. Lee Chee Tong, 2005. "Does Stock Market Liberalisation Benefit The Economy? Evidence From Industry-Level Data," SCAPE Policy Research Working Paper Series 0516, National University of Singapore, Department of Economics, SCAPE.
  99. 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.
  100. Oh, Swee-Ling & Lau, Evan & Puah, Chin-Hong & Abu Mansor, Shazali, 2010. "Volatility Co-movement of ASEAN-5 Equity Markets," MPRA Paper 22244, University Library of Munich, Germany.
  101. 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.
  102. Camilleri, Silvio John & Galea, Gabriella, 2009. "The Diversification Potential Offered by Emerging Markets in Recent Years," MPRA Paper 62491, University Library of Munich, Germany.
  103. Hayo, Bernd & Kutan, Ali M., 2005. "IMF-related news and emerging financial markets," Journal of International Money and Finance, Elsevier, vol. 24(7), pages 1126-1142, November.
  104. Jondeau, E. & Rockinger, M., 2002. "Asset Allocation in Transition Economies," Working papers 90, Banque de France.
  105. Ana Paula Serra, 2002. "The Cross-Sectional Determinants of Returns: Evidence from Emerging Markets' Stocks," FEP Working Papers 120, Universidade do Porto, Faculdade de Economia do Porto.
  106. Panait, Iulian & Slavescu, Ecaterina Oana, 2011. "Volatility and causality study of the daily returns on the Bucharest Stock Exchange during 2007-2011," MPRA Paper 41786, University Library of Munich, Germany.
  107. Thomas Lagoarde-Segot & Brian M. Lucey, 2006. "Portfolio allocations in the Middle East and North Africa," The Institute for International Integration Studies Discussion Paper Series iiisdp141, IIIS.
  108. 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.
  109. 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.
  110. Andrew Ang & Geert Bekaert, 2004. "The term structure of real rates and expected inflation," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
  111. Gregory James & Michail Karoglou, 2009. "Financial Liberalisation and Stock Market Volatility: The Case of Indonesia," Discussion Paper Series 2009_11, Department of Economics, Loughborough University, revised Sep 2009.
  112. Geert Bekaert & Campbell R. Harvey, 1998. "Capital Flows and the Behavior of Emerging Market Equity Returns," NBER Working Papers 6669, National Bureau of Economic Research, Inc.
  113. Balli, Faruk & Balli, Hatice O., 2011. "Sectoral equity returns in the Euro region: Is there any room for reducing portfolio risk?," Journal of Economics and Business, Elsevier, vol. 63(2), pages 89-106, March.
  114. Geert Bekaert & Robert J. Hodrick, 2000. "Expectations Hypotheses Tests," NBER Working Papers 7609, National Bureau of Economic Research, Inc.
  115. Teulon, Frédéric & Guesmi, Khaled & Mankai, Selim, 2014. "Regional stock market integration in Singapore: A multivariate analysis," Economic Modelling, Elsevier, vol. 43(C), pages 217-224.
  116. Eric Jondeau & Michael Rockinger, 2005. "Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion?," FAME Research Paper Series rp132, International Center for Financial Asset Management and Engineering.
  117. Stéphanie Prat & Sophie Brana, 2010. "The Introduction of Emerging Currencies into a Portfolio: Towards a more Complete Diversification Model," Economie Internationale, CEPII research center, issue 121, pages 5-24.
  118. Gilmore, Claire G. & McManus, Ginette M. & Tezel, Ahmet, 2005. "Portfolio allocations and the emerging equity markets of Central Europe," Journal of Multinational Financial Management, Elsevier, vol. 15(3), pages 287-300, July.
  119. Balli, Faruk & Basher, Syed Abul & Jean Louis, Rosmy, 2013. "Sectoral equity returns and portfolio diversification opportunities across the GCC region," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 25(C), pages 33-48.
  120. 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.
  121. Michail Karoglou & Panicos Demetriades & Siong Law, 2011. "One date, one break?," Empirical Economics, Springer, vol. 41(1), pages 7-24, August.
  122. Kabir Hassan, M. & Maroney, Neal C. & Monir El-Sady, Hassan & Telfah, Ahmad, 2003. "Country risk and stock market volatility, predictability, and diversification in the Middle East and Africa," Economic Systems, Elsevier, vol. 27(1), pages 63-82, March.
  123. Gencay, Ramazan & Selcuk, Faruk & Whitcher, Brandon, 2005. "Multiscale systematic risk," Journal of International Money and Finance, Elsevier, vol. 24(1), pages 55-70, February.
  124. Anders Johansen & Didier Sornette, 2000. "The Nasdaq crash of April 2000: Yet another example of log-periodicity in a speculative bubble ending in a crash," Papers cond-mat/0004263, arXiv.org, revised May 2000.
  125. 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.
  126. 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.
  127. Baele, Lieven & Inghelbrecht, Koen, 2010. "Time-varying integration, interdependence and contagion," Journal of International Money and Finance, Elsevier, vol. 29(5), pages 791-818, September.
  128. George Leledakis & Ian Davidson & George Karathanassis, 2003. "Cross-sectional estimation of stock returns in small markets: The case of the Athens Stock Exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 13(6), pages 413-426.
  129. Chiang, Thomas C. & Zheng, Dazhi, 2010. "An empirical analysis of herd behavior in global stock markets," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1911-1921, August.
  130. Sohnke M. Bartram & John Griffin & David T. Ng, 2012. "How Important are Foreign Ownership Linkages for International Stock Returns?," Working Papers 122012, Hong Kong Institute for Monetary Research.
  131. Melike E. Bildirici & Mehmet Salman, 2006. "Measuring Default Risk in Turkey: Econometric Approach," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 8(32), pages 11-36.
  132. 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.
  133. Antell, Jan & Vaihekoski, Mika, 2007. "International asset pricing models and currency risk: Evidence from Finland 1970-2004," Journal of Banking & Finance, Elsevier, vol. 31(9), pages 2571-2590, September.
  134. Demirer, Rıza & Jategaonkar, Shrikant P., 2013. "The conditional relation between dispersion and return," Review of Financial Economics, Elsevier, vol. 22(3), pages 125-134.
  135. Maitra Debasish & Dey Kushankur, 2011. "Volatility And Spill Over Effects In Indian Commodity Markets: A Case Of Pepper," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 6(3), pages 119-145, December.
  136. 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.
  137. 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.
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