2004
DOI: 10.1016/j.irfa.2004.02.013
|View full text |Cite
|
Sign up to set email alerts
|

International equity market integration: Theory, evidence and implications

Help me understand this report

Search citation statements

Order By: Relevance

Paper Sections

Select...
4
1

Citation Types

10
95
1
5

Year Published

2009
2009
2019
2019

Publication Types

Select...
5
2

Relationship

0
7

Authors

Journals

citations
Cited by 191 publications
(111 citation statements)
references
References 81 publications
10
95
1
5
Order By: Relevance
“…The insurgence of spillovers from external markets, especially from US, intensely impacted the stock return of EAGLEs markets. The return and volatility spillovers varies across time, which is consistent with the findings of Kearney and Lucey (2004) and Gallo and Velucchi (2009).…”
Section: Resultssupporting
confidence: 87%
See 1 more Smart Citation
“…The insurgence of spillovers from external markets, especially from US, intensely impacted the stock return of EAGLEs markets. The return and volatility spillovers varies across time, which is consistent with the findings of Kearney and Lucey (2004) and Gallo and Velucchi (2009).…”
Section: Resultssupporting
confidence: 87%
“…Kearney and Lucey (2004) point out that any attempt to model the integration of stock markets without taking into account the time-variation may yield partial and confusing results. Moreover, Gallo and Velucchi (2009) highlight the existence of unstable volatility spillover effects across markets in the pre-crisis or post 1997 crisis.…”
Section: Related Literaturementioning
confidence: 99%
“…The CIP relationship is a popular measure of testing for financial integration as in the absence of risk differences and market shocks, there should be equality between the interest rate differential and the forward exchange rate premium, hence signalling financial integration. Kearney and Lucey (2004) refer to the price-based measures as a direct measure since it invokes the law of one price whereby unrestricted international capital flows would lead to an equalisation of the rates of return across countries. The second category refers to volume-based measures.…”
Section: Literature Reviewmentioning
confidence: 99%
“…Often capital controls and legal restrictions such as restrictions on foreign equity holdings are employed to assess the extent of financial integration (e.g., Grilli and Milesi-Ferretti, 1995;Magud and Reinhart, 2006). Alternatively, Kearney and Lucey (2004) categorise two broad categories of financial integration -direct and indirect measures. The former refers to measures based on the law of one price, namely CIP, UIP and RIP as mentioned above.…”
Section: Literature Reviewmentioning
confidence: 99%
See 1 more Smart Citation