Download or read book International Stock Returns and Market Integration written by Mr.Marco Del Negro and published by INTERNATIONAL MONETARY FUND. This book was released on 2002-11-01 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the relative importance of country and industry effects in international stock returns, with the innovation that we decompose country effects into region and within-region country effects. We divide the global stock market into the Americas, Asia, and Europe and find that most of the variation explained by country effects is actually due to region effects. Over time, these region effects have fallen. Within regions, however, only in Europe has segmentation declined, while it has increased elsewhere. Europe is also the only region where industry effects are now robustly more important than country effects.
Download or read book International Stock Returns and Market Integration written by Ray Brooks and published by . This book was released on 2006 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the relative importance of country and industry effects in international stock returns, with the innovation that we decompose country effects into region and within-region country effects. We divide the global stock market into the Americas, Asia, and Europe and find that most of the variation explained by country effects is actually due to region effects. Over time, these region effects have fallen. Within regions, however, only in Europe has segmentation declined, while it has increased elsewhere. Europe is also the only region where industry effects are now robustly more important than country effects.
Download or read book A Measure of Stock Market Integration for Developed and Emerging Markets written by Robert A. Korajczyk and published by World Bank Publications. This book was released on 1995 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Internationalization of Equity Markets written by Jeffrey A. Frankel and published by University of Chicago Press. This book was released on 2008-04-15 with total page 428 pages. Available in PDF, EPUB and Kindle. Book excerpt: This timely volume addresses three important recent trends in the internationalization of United States equity markets: extensive market integration through foreign investment and links among stock prices around the world; increasing securitization as countries such as Japan come to rely more than ever before on markets in equities and bonds at the expense of banks; and the opening of national financial systems of newly industrializing countries to international financial flows and institutions, as governments remove capital controls and other barriers. Eight essays examine such issues as the current extent of international market integration, gains to U.S. investors through international diversification, home-country bias in investing, the role of time and location around the world in stock trading, and the behavior of country funds. Other, long-standing questions about equity markets are also addressed, including market efficiency and the accuracy of models of expected returns, with a particular focus on variances, covariances, and the price of risk according to the Capital Asset Pricing Model.
Download or read book Stock Return Predictability and Market Integration written by David G. McMillan and published by . This book was released on 2015 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the predictability of a range of international stock markets where we allow the presence of both local and global predictive factors. Recent research has argued that US returns have predictive power for international stock returns. We expand this line of research, following work on market integration, to include a more general definition of the global factor, based on principal components analysis. Results identify three global expected returns factors, one related to the major stock markets of the US, UK and Asia and one related to the other markets analysed. The third component is related to dividend growth. A single dominant realised returns factor is also noted. A forecasting exercise comparing the principal components based factors to a US return factor and local market only factors, as well as the historical mean benchmark find supportive evidence for the former approach. It is hoped that the results from this paper will be informative on three counts. First, to academics interested in understanding the dynamics asset price movement. Second, to market participants who aim to time the market and engage in portfolio and risk management. Third, to those (policy makers and others) who are interested in linkages across international markets and the nature and degree of integration.
Download or read book The Rise in Comovement Across National Stock Markets written by Robin Brooks and published by International Monetary Fund. This book was released on 2002-09 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: The degree of comovement across national stock markets has increased dramatically since the mid-1990s. This has overturned a stylized fact in the international portfolio diversification literature that diversifying across countries is more effective for risk reduction than diversifying across industries. We investigate if this rise in comovement is a permanent phenomenon driven by greater economic and financial integration, or a temporary effect associated with the recent stock market bubble. At the global level, our results point to the bubble. At a regional level, we find evidence of a significant rise in market integration within Europe, possibly a reflection of institutional changes such as the EMU.
Download or read book Achieving Market Integration written by Scott McCleskey and published by Butterworth-Heinemann. This book was released on 2004-01-02 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt: Providing an overview of the infrastructure of European Securities markets, this text offers topical analysis of developments and trends in market integration. The author provides industry professionals with a concise exposition of how the post-Euro market works, as well as offering laymen an entry point into the subject. Topics include: wholesale electronic execution; central counterpart clearing; and consolidation of the securities depositories.
Download or read book Examining International Stock Market Integration written by Justin Kingsley Hanig and published by . This book was released on 2016 with total page 101 pages. Available in PDF, EPUB and Kindle. Book excerpt: The internet provides individuals with the ability to find instantaneous information on nearly every corner of the earth. Increasing correlations of international stock markets suggests investors may use information from different parts of the world to assess the value of the assets they hold in their portfolios. This dissertation examines changes in international stock market behavior to identify the effects of international market integration across a time. More specifically, this dissertation studies the effects of integration on the ability of diversification to reduce risk and skewness of portfolios, how global-wide risks significantly impact country-level index returns, and the equity purchasing behavior of foreign investors.The first paper in this dissertation measures the benefit to international portfolio diversification through time. The investigation observes the change in the standard deviation and skewness of increasingly more diversified portfolio returns from 1973 to 2010. Previous literature implies diversification reduces standard deviation, but diversification also reduces positive skewness in a portfolio. Increasing correlations of international stock markets suggests the reduction in standard deviation and positive skewness of a portfolio could be mitigated in recent time periods. This paper studies the changes of risk and positive skewness of international index portfolios over time. The results show that the reduction in standard deviation and skewness occurs at a much faster rate in more recent time periods. Robustness checks demonstrate the rate of standard deviation and skewness reduction varies across different investment strategies.The second paper examines the impact of global-wide risk measures on country-level asset prices in an international capital asset pricing model (ICAPM). Integrated international markets imply assets returns with similar risks should not vary across countries, but segmented international markets suggest asset returns vary only through risks within a particular country. Previous literature documents that international financial markets became more correlated and integrated in the late 1990s. This investigation in this paper, therefore, studies the impact of global-wide risks on returns in an integrated international stock market environment. The results show insignificant global-market risk factors on returns before and after 2000, which implies world financial markets have not become integrated in the recent time period when looking across a sample of 37 stock markets. However, global-wide risk factors significantly impact index returns for a sub-set of advanced economies.The third paper investigates the effect of international equity market integration on equity purchasing behavior of investors in different countries across different time periods. This study observes the relationship between net equity purchases by U.S. residents from foreign investors on stock market index returns in a segmented and integrated international stock market environment. The results of the examination indicate international equity integration did not affect equity purchasing differences across foreign and domestic investors.
Download or read book Global Stock Market Integration written by Sabur Mollah and published by Springer. This book was released on 2016-02-10 with total page 172 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock market integration between developing and emerging markets has numerous benefits for creating a global - yet stable - world economy. It increases competition and the efficiency of local markets, in turn reducing price volatility and the cost of capital among integrated markets. It also generates capital flows, which enhance financial stability and spur economic growth. At its core, stock market integration has an important role to play in both developing and emerging markets still reeling from the global financial crisis. Global Stock Market Integration analyzes the financial makeup of developing and emerging markets around the world, providing empirical insights into market integration, co-movements in price, crises, and efficiency linkages. Mobarek and Mollah argue that the relationship between market integration and market efficiency within developing and emerging countries is not the only measure necessary for effecting real financial growth. This work brings the review of theories and empirical research on the topic up-to-date and expands the existing literature with new perspectives on developed and emerging markets.
Download or read book Global Capital Markets written by Maurice Obstfeld and published by Cambridge University Press. This book was released on 2004 with total page 386 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is an economic survey of international capital mobility from the late nineteenth century to the present.
Download or read book Information Spillovers and Market Integration in International Finance written by Suk-Joong Kim and published by World Scientific Publishing Company. This book was released on 2017 with total page 626 pages. Available in PDF, EPUB and Kindle. Book excerpt: The contents in this volume are based on the program Sets and Computations that was held at the Institute for Mathematical Sciences, National University of Singapore from 30 March until 30 April 2015. This special collection reports on important and recen
Download or read book World Market Integration Through the Lens of Foreign Direct Investors written by Luis Serven and published by World Bank Publications. This book was released on 2003 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: Albuquerque, Loayza, and Serven analyze the unparalleled increase in foreign direct investment to emerging market economies in the past 25 years. Using a large cross-country timeseries data set, the authors evaluate the dependence of foreign direct investment on global factors or worldwide sources of risk (that is, factors that drive foreign direct investment across several countries). They construct a globalization measure that equals the share of explained variation in direct investment attributable to global factors. The authors show that the globalization measure has increased steadily for industrial and developing countries. For the full sample of countries, the globalization measure rose eightfold from 1985 to 1999. Furthermore, in recent years developing countries' exposure to global factors has approached that of industrial countries, particularly for Latin America. Finally, the globalization measure correlates strongly with measures of capital market liberalization. Overall, the authors find strong support for the hypothesis of increased market integration which implies a greater role for worldwide sources of risk. They discuss the implications of the results for public policies regarding capital market liberalization and policies directed at attracting foreign investment.This paper - a product of Macroeconomics and Growth, Development Research Group - is part of a larger effort in the group to understand international capital flows.
Download or read book International Financial Integration written by Mr.Gian Milesi-Ferretti and published by International Monetary Fund. This book was released on 2003-04-01 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent decades, the foreign assets and liabilities of advanced economies have grown rapidly relative to GDP, with the increase in gross cross-holdings far exceeding changes in the size of net positions. Moreover, the portfolio equity and FDI categories have grown in importance relative to international debt stocks. This paper describes the broad trends in international financial integration for a sample of industrial countries and seeks to explain the cross-country and time-series variation in the size of international balance sheets. It also examines the behavior of the rates of return on foreign assets and liabilities, relating them to "market" returns.
Download or read book Stock Market Integration and the Pricing for Regionalism written by Chee Wooi Hooy and published by . This book was released on 2010 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Structure of International Stock Returns and the Integration of Capital Markets written by Steven L. Heston and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the structure of international stock returns in Europe and the U.S., and examines whether international capital markets are integrated. Using data on 6000 firms in the U.S. and twelve European countries from 1978 to 1990, we find evidence that countries share multiple risk factors. We test whether capital markets are integrated by examining the pricing of country indices and comparing the pricing of risk accross countries. Our tests support the hypothesis that capital markets in our sample are internationally integrated in the sense that the rewards for risks are identical accross countries. However, we find a widespread size effect that is uncorrelated accross countries. This finding provides international evidence against the joint hypothesis of our pricing model and the hypothesis that capital markets for large firms are integrated with the markets for small firms.
Download or read book International Integration of Equity Markets and Contagion Effects written by Mr.Paul Cashin and published by International Monetary Fund. This book was released on 1995-11-01 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates empirically the degree of international integration of industrial and emerging country equity markets. It analyzes two issues: first, the extent to which equity prices have tended to move similarly across countries and regions in the long run; and second, the strength of cross-country “contagion” effects. The paper’s findings suggest that both intra-regional and inter-regional linkages across national equity markets have strengthened in recent years. In addition, using impulse response functions, the paper shows that cross-country contagion effects of country-specific shocks dissipate in a matter of weeks while contagion effects of global shocks take several months to unwind themselves.
Download or read book The Stock Connect Programs written by Jiadi Cheng and published by . This book was released on 2020 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Stock Connect programs are important steps for China to liberate its relatively restricted financial market. The Shanghai - Hong Kong Stock Connect program launched in 2014, and the Shenzhen - Hong Kong program launched in 2016 allowed both institutional and individual international investors access to the Chinese stock market for the first time. This paper studies the impact of the Stock Connect programs on Chinese stock returns and Chinese stock market's integration with international stock markets using 2SLS regression analysis. Regression results show that the launch of the SH - HK Stock Connect program increased daily returns of all four eligible indexes under Stock Connect programs but did not increase correlation between daily performances of Chinese stock market and global stock markets with statistical significance.
