An Anatomy of Central and Eastern European Equity Markets

Baele, Lieven; Bekaert, Geert; Schäfer, Larissa

doi:10.2139/ssrn.2636900

Cited by 15 publications

(10 citation statements)

References 31 publications

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“…In the context of this one-factor model, the correlation has three main determinants (for more discussion, see Baele, Bekaert & Schäfer 2015): a volatility bias (the ratio of global to local volatility), the beta, and the idiosyncratic (country-specific) volatility. We also examine the time variation in country-specific volatilities.…”

Section: Measurementmentioning

confidence: 99%

Globalization and Asset Returns

Bekaert

Harvey

Kiguel

et al. 2016

Annu. Rev. Financ. Econ.

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We provide a comprehensive analysis of the impact of economic and financial globalization on asset return comovements over the past 35 years. Our globalization indicators draw a distinction between de jure openness that results from changes in the regulatory environment and de facto or realized openness, as well as between capital market restrictions across different asset classes. Although globalization has trended positively for most of our sample, the global financial crisis and its aftermath have provided new headwinds. Equity, bond, and foreign exchange returns often have different responses to globalization. We generally find weak evidence of comovement measures reacting to globalization and often find other economic factors to be equally or more important determinants.

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Section: Measurementmentioning

confidence: 99%

Globalization and Asset Returns

Bekaert

Harvey

Kiguel

et al. 2016

Annu. Rev. Financ. Econ.

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“…Using Pukthuanthong and Roll's (2009) measure of financial integration, they show that the integration between frontier and advanced economies has not increased substantially over time. Finally, looking at Central and Eastern European equity markets, Baele et al (2015) find that smaller frontier markets provide much higher diversification opportunities than larger economies; however, differently from Berger et al (2011), they find that the increase in correlation up to 2011 is a long-term phenomenon, which is not driven by increases in the volatility of global factors, such as the MSCI World index.…”

Section: Introductionmentioning

confidence: 89%

Risk management in global value chains

Golovin¹,

Tolkachenko²

2018

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This paper computes a new financial globalization index for a large sample of countries for 1992-2016. Unlike other measures, the financial globalization index corrects for the heteroscedasticity of global volatility. This leads to a downward adjustment of financial globalization trends for developed, emerging, and frontier markets. The paper also shows that financial globalization reduces market volatility (measured by the volatility of stock returns) in tranquil times, and increases it in turbulent ones. On average, the first effect dominates, so that financial globalization leads to a decrease in market volatility, which is more pronounced in frontier markets.

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Section: Introductionmentioning

confidence: 89%

Financial Globalization and Market Volatility: An Empirical Appraisal

Cordella¹,

Rojas

2017

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The Policy Research Working Paper Series disseminates the findings of work in progress to encourage the exchange of ideas about development issues. An objective of the series is to get the findings out quickly, even if the presentations are less than fully polished. The papers carry the names of the authors and should be cited accordingly. The findings, interpretations, and conclusions expressed in this paper are entirely those of the authors. They do not necessarily represent the views of the International Bank for Reconstruction and Development/World Bank and its affiliated organizations, or those of the Executive Directors of the World Bank or the governments they represent.

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An Anatomy of Central and Eastern European Equity Markets

Cited by 15 publications

References 31 publications

Globalization and Asset Returns

Globalization and Asset Returns

Risk management in global value chains

Financial Globalization and Market Volatility: An Empirical Appraisal

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