Co-Movements of European Equity Markets Before and After the 1987 Crash

Meric, Ilhan; Meric, Gulser

doi:10.17578/1-2-4

Cited by 96 publications

(70 citation statements)

References 24 publications

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“…Also, Kim et al (2005) examine the influence of the EMU on the dynamic process of stock market integration using a bi-variate EGARCH framework with time-varying conditional correlations. However, several studies, including Roll (1988), Hamao et al (1990), Lau and McInish (1993), Rahman and Yung (1994), and Meric and Meric (1997), document a significant increase in correlations and volatility transmission between equity markets during, and after, the 1987 international equity market crash. Recently, Kenourgios et al (2011) support the herding behavior after the 2008 US subprime crisis among five emerging Balkan markets.…”

Section: Introductionmentioning

confidence: 99%

International portfolio diversification: an ICAPM approach with currency risk

Dimitriou

Simos

2013

Macroeconomics and Finance in Emerging Market Economies

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This article investigates international stock market integration in largest (based on nominal GDP and purchasing power parity GDP) four developed namely USA, EMU, Japan and UK and two Asian emerging namely China and India international stock markets over the period June 1994 to June 2009. To model stock market integration we estimate a dynamic version of international capital asset pricing model (CAPM) in the absence of purchasing power parity. Conditional variance is modeled via a multivariate GARCH specification. To investigate the evolution of integration overtime we estimate the CAPM in sub-periods. In addition, we connect our results to the timing of world financial crises. Our findings show that the stock markets tend to move in parallel after June of 2002, although from 2002 to 2006 there have not been crises events. These results, supports the increasing globalization and interdependence of both emerging and developed markets in the recent decade, reducing the benefits of portfolio diversification.

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Section: Introductionmentioning

confidence: 99%

International portfolio diversification: an ICAPM approach with currency risk

Dimitriou

Simos

2013

Macroeconomics and Finance in Emerging Market Economies

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“…This topic has attracted considerable attention over the last few decades (see for example, Divecha, Drach & Stefek, 1992;DeFusco, McLeavey, Pinto & Runkle, 1996;Michaud, Bergstrom, Frashure & Wolahan, 1996;Meric & Meric, 1997). More recently Li et al (2003) showed that even though markets were becoming more integrated, this integration does not eliminate the benefit of diversifying into emerging markets.…”

Section: International Studiesmentioning

confidence: 99%

Raising the bar on the foreign portfolio to 25 per cent: Strategic implications for South African investors

Bradfield

Munro

2015

S. Afr. j. econ. manag. sci.

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Regulation 28 of the Pension Funds Act now permits an increased allocation of 25 per cent to foreign investments. The regulation previously only permitted a 20 per cent allocation. Establishing the optimal foreign allocation for South African portfolio managers given the 25 per cent upper bound is an important consideration for strategic portfolio planning. In this paper we consider two methodological approaches to establish a strategic foreign allocation weight. Our first approach considers the strategic role of foreign investment in South African global balanced portfolios by using a mean-variance efficient frontier framework over a long-term period. We also implement a second assessment methodology that utilises a nonparametric procedure. Both the mean-variance and the non-parametric methodology yield compelling evidence for the foreign allocation to be set at the maximum allowable bound of 25 per cent.

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“…Previous studies showed that the worldwide financial markets become more integrated after the major turbulent economic event [19,20] . Furthermore, [21] suggest that contagion between markets occurs as a result of attempts by rational agents to infer information from price changes in other markets.…”

Section: Decomposition Of Stock Returnsmentioning

confidence: 99%

The Mechanism of Stock Market Integration: Evidence for the Taiwan and U.S. Stock Markets

Chiang¹,

Lai²,

Lee³

2004

American J. of Applied Sciences

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This study investigates the sources of the comovement of the Taiwan and U.S. stock market. The empirical evidence shows that both economic fundamentals and equity risk premiums can act as transmission mechanisms of both markets. In the meantime, the financial integration is much stronger than real economic integration. Moreover, the deregulation of foreign investments in Taiwan and the Southeast Asian financial crisis in 1997 did not alter the transmission mechanisms of real economic and equity risk premium factors.

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Co-Movements of European Equity Markets Before and After the 1987 Crash

Cited by 96 publications

References 24 publications

International portfolio diversification: an ICAPM approach with currency risk

International portfolio diversification: an ICAPM approach with currency risk

Raising the bar on the foreign portfolio to 25 per cent: Strategic implications for South African investors

The Mechanism of Stock Market Integration: Evidence for the Taiwan and U.S. Stock Markets

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