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Time-Varying World Market Integration

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References

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512 cited

1992Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets499 cited

Cited by

1998The Effects of Market Segmentation and Investor Recognition on Asset Prices: Evidence from Foreign Stocks Listing in the U.S.175 cited
2005The Drivers of Expected Returns in International Markets162 cited
2001Emu and European Stock Market Integration161 cited
2010Modeling Financial Contagion Using Mutually Exciting Jump Processes122 cited
2007A New Variance Ratio Test of Random Walk in Emerging Markets: A Revisit120 cited
2009A Study of Market-Wide Short-Selling Restrictions104 cited
2012The "Big C": Identifying and Mitigating Contagion*90 cited
2011Sovereign Risk Premia90 cited
2013Financial integration, globalization, and real activity76 cited
2004Country Risk Components, the Cost of Capital, and Returns in Emerging Markets71 cited
1998The Halloween Indicator, 'Sell in May and Go Away': Another Puzzle69 cited
2014Modeling Volatility in the Stock Markets using GARCH Models: European Emerging Economies and Turkey65 cited
2016Chinese stock market volatility and the role of U.S. economic variables52 cited
1999A Measure of Stock Market Integration for Developed and Emerging Markets51 cited
1997What Happens to Stocks that List Shares Abroad? A Survey of the Evidence and its Managerial Implications49 cited
2010The European Union, the Euro, and Equity Market Integration49 cited