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Capital Market Integration in the Middle East and North Africa
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Capital Market Integration in the Middle East and North Africa (2007)Capital Market Integration in the Middle …‘Some contagion, some interdependence’: More pitfalls in tests of financial contagion (2005)‘Some contagion, some interde…International equity market integration: Theory, evidence and implications (2004)International equity market i…Equity market integration in Central European emerging markets: A cointegration analysis with shifting regimes (2004)Equity market integration in …The Making of the Turkish Financial Crisis (2003)The Making of the Turkish Fin…Nonparametric tests for unit roots and cointegration (2002)Nonparametric tests for unit …Measuring Contagion: Conceptual and Empirical Issues (2001)Measuring Contagion: Conceptu…Long-Term Global Market Correlations (2001)Long-Term Global Market Corre…Nonparametric cointegration analysis (1997)Nonparametric cointegration a…Emerging equity market volatility (1997)Emerging equity market volati…Residual-based tests for cointegration in models with regime shifts (1996)Residual-based tests for coin…Cointegration tests in the presence of structural breaks (1996)Cointegration tests in the pr…Time‐Varying World Market Integration (1995)Time‐Varying World Market Int…Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios (1969)Risk, The Pricing of Capital …Mutual Fund Performance (1966)Mutual Fund PerformanceInstitutional Determinants of Financial Development in MENA Countries (2014)Institutional Determinants of…Robust global stock market interdependencies (2011)Robust global stock market in…Go Long or Short in Pyramids? News from the Egyptian Stock Market (2007)Go Long or Short in Pyramids?…Foreign Speculators and Emerging Equity Markets (2000)Extreme Correlation of International Equity Markets (2001)Modeling financial contagion using mutually exciting jump processes (2015)Virtual currency, tangible return: Portfolio diversification with bitcoin (2015)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Further evidence on breaking trend functions in macroeconomic variables (1997)The saving and investment nexus for China: evidence from cointegration tests (2005)Introductory Econometrics for Finance (2008)Inference About the Change-Point in a Sequence of Random Variables (1970)Testing for the Constancy of Parameters Over Time (1989)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)What is an Oil Shock? (2000)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility between Stock Markets (1990)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Family succession and firm performance: Evidence from Italian family firms (2007)Assessing financial contagion in the interbank market: Maximum entropy versus observed interbank lending patterns (2010)Service Regulation and Growth: Evidence from OECD Countries (2011)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)International Asset Allocation With Regime Shifts (2002)Does financial liberalization spur growth? (2005)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric correlations of equity portfolios (2002)Individualism and Momentum around the World (2010)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Performance Hypothesis Testing with the Sharpe and Treynor Measures (1981)Time-varying conditional covariances in tests of asset pricing models (1989)Measuring abnormal performance (1992)Correlations in Price Changes and Volatility across International Stock Markets (1990)Is the correlation in international equity returns constant: 1960–1990? (1995)Chapter 16 Are financial assets priced locally or globally? (2003)Asset Fire Sales and Purchases and the International Transmission of Funding Shocks (2012)WHAT DRIVES CAPITAL FLOWS TO EMERGING MARKETS? A SURVEY OF THE EMPIRICAL LITERATURE (2018)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)
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References

  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
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  • 2002Nonparametric tests for unit roots and cointegration454 cited
  • 2003The Making of the Turkish Financial Crisis294 cited
  • 1996Cointegration tests in the presence of structural breaks253 cited
  • 2004International equity market integration: Theory, evidence and implications252 cited
  • 2004Equity market integration in Central European emerging markets: A cointegration analysis with shifting regimes250 cited

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  • 1997Nonparametric cointegration analysis202 cited
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    • 2011Robust global stock market interdependencies32 cited
    • 2007Go Long or Short in Pyramids? News from the Egyptian Stock Market27 cited
    • 2014Institutional Determinants of Financial Development in MENA Countries20 cited