Has entry to the European Union altered the dynamic links of stock returns for the emerging markets?

Applied Financial Economics

Volumn 17, Issue 17, 2007, Pages 1431-1446

  Moore, Tomoe ^a  

^a Faculty of Engineering and Computing   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

ECONOMIC IMPACT; ECONOMIC INTEGRATION; EUROPEAN UNION; STOCK MARKET; TRANSITIONAL ECONOMY;

CENTRAL EUROPE; CZECH REPUBLIC; EURASIA; EUROPE; HUNGARY; POLAND; SLOVAKIA;

EID: 36148980093     PISSN: 09603107     EISSN: 14664305     Source Type: Journal    
DOI: 10.1080/09603100600993794     Document Type: Article

References (36)

1. Abdalla, I. and Murinde, V. (1997) Exchange rate and stock price interactions in emerging financial markets: Evidence of India, Korea, Pakistan and the Philippines. Applied Financial Economics, 7, pp. 25-35.
2. Azman-Saini, WNW, Azali, M., Habibullah, MS and Matthews, KG (2002) Financial integration and the ASEAN-5 equity markets. Applied Economics, 34, pp. 2283-2288.
3. Bekaert, G. and Harvey, CR (1997) Emerging equity market volatility. Journal of Financial Economics, 43, pp. 29-77.
4. Billio, M. and Pelizzon, L. (2003) Volatility and schocks spillover before and after EMU in european stock markets. Journal of Multinational Financial Management, 13, pp. 323-340.
5. Caner, S. and Onder, Z. (2005) Sources of volatility in stock returns in emerging markets. Applied Economics, 37, pp. 929-941.
6. Chelley-Steeley, PL (2005) Modelling equity market integration using smooth transition analysis: A study of eastern European stock markets. Journal of International Money and Finance, 24, pp. 818-831.
7. Cheung, YW and Westermann, F. (2001) Equity price dynamics before and after the introduction of the euro. Multinational Finance Journal, 5, pp. 113-128.
8. Conrad, J. and Kaul, G. (1988) Time-variation in expected return. Journal of Business, 61, pp. 409-425.
9. Dickinson, DG (2000) Stock market integration and macroeconomic fundamentals: An empirical analysis, 1980-95. Applied Financial Economics, 10, pp. 261-276.
10. Dumas, B. and Solnik, B. (1995) The world price of foreign exchange risk. The Journal of Finance, 50, pp. 445-479.
11. Engle, RF and Yoo, BS (1987) Forecasting and testing in co-integrated systems. Journal of Econometrics, 35, pp. 143-159.
12. Eun, C. and Shim, S. (1989) International transmission of stock market movements. Journal of Financial and Quantitative Analysis, 24, pp. 241-256.
13. Fama, EF and French, KR (1988) Permanent and transitory components of stock prices. Journal of Political Economy, 96, pp. 246-273.
14. Fratzscher, M. (2002) Financial market integration in Europe: On the effects of the EMU on stock markets. International Journal of Finance and Economics, 7, pp. 165-193.
15. Freimann, E. (1998) Economic integration and country allocation in Europe. Financial Analysts Journal, 54, pp. 32-41.
16. Fujii, E. (2005) Intra and inter-regional causal linkages of emerging stock markets: Evidence from Asia and Latin America in and out of crises. International Financial Markets, Institutions and Money, 15, pp. 315-342.
17. Glosten, LR, Jaganathan, R. and Runkle, D. (1993) On the relation between the expected value and the volatility of the normal excess return on stocks. Journal of finance, 48, pp. 1779-1801.
18. Granger, CWJ (1986) Developments in the study of cointegrated economic variables. Oxford Bulletin of Economics and Statistics, 48, pp. 213-228.
19. Hatemi, JA and Roca, E. (2005) Exchange rates and stock prices interaction during good and bad times: Evidence from the ASEAN4 countries. Applied Financial Economics, 15, pp. 539-549.
20. Kasa, K. (1992) Common stochastic trends in international stock markets. Journal of Monetary Economics, 29, pp. 95-124.
21. Kim, SJ and Moshirian, F. (2005) Dynamic stock market integration driven by the European Monetary Union: An empirical analysis. Journal of Banking and Finance, 29, pp. 2475-2502.
22. Koutmos, G. (1997) Feedback trading and the autocorrelation pattern of stock returns: Further empirical evidence. Journal of International Money and Finance, 16, pp. 625-636.
23. Koutmos, G. and Booth, G. (1995) Asymmetric volatility transmission in international stock markets. Journal of International Money and Finance, 14, pp. 747-762.
24. Lo, AW and MacKinlay, AC (1990) An econometric analysis of nonsynchronous trading. Journal of Econometrics, 45, pp. 181-211.
25. Morana, C. and Beltratti, A. (2002) The effects of the introduction of the euro on the volatility of European stock markets. Journal of Banking and Finance, 26, pp. 2047-2064.
26. Nelson, DB (1991) Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59, pp. 347-370.
27. Piesse, J. and Hearn, B. (2002) Equity market integration versus segmentation in three dominant markets of the Southern African Customs Union: Cointegration and causality tests. Applied Economics, 34, pp. 1711-1722.
28. Richard, A. (1995) Co-movements in national stock market returns: evidence of predictability, but not cointegration. Journal of Monetary Economics, 36, pp. 631-654.
29. Scholes, M. and Williams, J. (1977) Estimating betas from nonsynchronous data. Journal of Financial Economics, 5, pp. 309-327.
30. Sentana, E. and Wadhwani, W. (1992) Feedback traders and stock return autocorrelations: Evidence from a century of daily data. The Economic Journal, 102, pp. 415-425.
31. Shamsuddin, AFM and Kim, JH (2003) Integration and interdependence of stock and foreign exchange markets: An Australian perspective. International Financial Markets, Institutions and Money, 13, pp. 237-254.
32. Shiller, RJ (1984) Stock price and social dynamics. Brookings Papers on Economic Activity, 2, pp. 457-498.
33. Smyth, R. and Nandha, M. (2003) Bivariate causality between exchange rates and stock prices in South Asia. Applied Economics Letters, 10, pp. 699-704.
34. Tse, YK (2000) A test for constant correlations in a multivariate GARCH model. Journal of Econometrics, 98, pp. 107-127.
35. Westermann, F. (2004) does the Euro affect the dynamic interactions of stock markets in Europe? Evidence from France, Germany and Italy. The European Journal of Finance, 10, pp. 139-148.
36. Zakoian, JM (1990) Threshold heteroskedastic models, manuscript. CREST, INSEE, Paris