The Linkages Between National Stock Markets
Author | : Gökçe Soydemir |
Publisher | : |
Total Pages | : 318 |
Release | : 1997 |
Genre | : Stock exchanges |
ISBN | : |
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Author | : Gökçe Soydemir |
Publisher | : |
Total Pages | : 318 |
Release | : 1997 |
Genre | : Stock exchanges |
ISBN | : |
Author | : Liu Yuan Tang |
Publisher | : |
Total Pages | : 142 |
Release | : 2008 |
Genre | : |
ISBN | : |
Author | : Gyorgy Konda |
Publisher | : |
Total Pages | : 74 |
Release | : 1997 |
Genre | : |
ISBN | : |
Author | : Mervyn King |
Publisher | : |
Total Pages | : 34 |
Release | : 1990 |
Genre | : |
ISBN | : |
Author | : Mervyn King |
Publisher | : |
Total Pages | : |
Release | : 1990 |
Genre | : Multivariate analysis |
ISBN | : |
Abstract: given primarily by movements in unobservable variables.
Author | : Mervyn A. King |
Publisher | : |
Total Pages | : 32 |
Release | : 1995 |
Genre | : Multivariate analysis |
ISBN | : |
Author | : Mervyn A. King |
Publisher | : |
Total Pages | : |
Release | : 1990 |
Genre | : |
ISBN | : |
Author | : José L. Fernández-Serrano |
Publisher | : |
Total Pages | : |
Release | : 2000 |
Genre | : |
ISBN | : |
Author | : Sarkis J. Khoury |
Publisher | : North Holland |
Total Pages | : 524 |
Release | : 1991-01-01 |
Genre | : Banks and banking |
ISBN | : 9780444886262 |
This book contains theoretical and applied papers dealing with issues at the cutting edge of international banking and finance. Some of these papers were presented at the fifth symposium on International Banking and Finance held in Baden Baden, Germany, April 1990, organized by The Foundation for Research in International Banking and Finance (FBRIF). The symposium was decidedly focused on Eastern Europe and Western Europe after 1991 and represented a balance between academic and nonacademic presentations. In addition to these lectures, more papers within this scope are published in the book. The book constitutes excellent material for academic or advanced training courses in international banking and finance. It can be used as a source of authoritative information on the frontiers of international banking research.
Author | : John Ammer |
Publisher | : |
Total Pages | : |
Release | : 2010 |
Genre | : |
ISBN | : |
We decompose domestic and foreign equity return innovations into components associated with news about dividend growth, interest rates, exchange rates, and future equity risk premiums. This decomposition enables us to determine the extent to which common real and financial shocks contribute to covariation between the returns on different national stock markets. An application to U.S. and U.K. data from 1957 to 1989 reveals substantial degrees of both real and financial integration between the two economies. Although common news about future risk premiums accounts for the bulk of the covariance between the two country's stock markets, the dividend growth components of the two returns are also highly correlated. Both real and financial linkages are found to be greater after the Bretton Woods currency arrangement was abandoned in the early 1970's. In a further application of our methodology to data from 15 countries from 1974 to 1990, we find that both real and financial integration typically contribute to the (consistently positive) correlations between the returns on national stock markets. In most cases, news about future dividend growth in two countries is more highly correlated than contemporaneous output measures. This suggests that there are lags in the international transmission of real economic shocks.