Nothing Special   »   [go: up one dir, main page]
create a website
Testing Stock Market Convergence: A Non-linear Factor Approach. (2002). Caporale, Guglielmo Maria ; Erdogan, Burcu ; Kuzin, Vladimir .
In: EcoMod2010.
RePEc:ekd:002596:259600051.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 23

References cited by this document

Cocites: 62

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Adam, K., Jappelli, T., Menichini, A., Padula, M., M. Pagano (2002), Analyse, Compare, and Apply Alternative Indicators and Monitoring Methodologies to Measure the Evolution of Capital Market Integration in the European Union, Report to the European Commission, pages 1-95.
    Paper not yet in RePEc: Add citation now

  2. Adjaoute, K., J. P. Danthine (2000), EMU and Portfolio Diversification Opportunities, FAME Research Paper Series, rp31, International Center for Financial Asset Management and Engineering.

  3. Adjaoute, K., J. P. Danthine (2003), European Financial Integration and Equity Returns: A Theory-Based Assessment, FAME Research Paper Series, rp84, International Center for Financial Asset Management and Engineering.

  4. Ayuso, J., R. Blanco (1999), Has Financial Market Integration Increased during the Nineties?, Banco de Espa˜ na Working Papers, 9923.

  5. Baca, S. P., Garbe B. L., R. A. Weiss (2000), The Rise of Sector Effects in Major Equity Markets, Financial Analysts Journal, vol. 56(5), pages 34-40.
    Paper not yet in RePEc: Add citation now

  6. Baele, L., Ferrando, A., Hoerdahl, P., Krylova, E., C. Monnet (2004), Measuring Financial Integration in the Euro Area, Occasional Paper Series, 14, European Central Bank.

  7. Bai, J. (2003), Inferential Theory for Factor Models of Large Dimensions, Econometrica, vol. 71(1), pages 135-171. Campa and Fernandes (2006) show that global industry shocks rise significantly.

  8. Barro, R. J., X. Sala-i-Martin (1991), Convergence across States and Regions, Brookings Papers on Economic Activity, vol. 22(1991-1), pages 107-182.

  9. Bekaert, G., C. R. Harvey (1995), Time-Varying World Market Integration, Journal of Finance, vol. 50(2), pages 403-44.

  10. Bernard, A., S. N. Durlauf (1996), Interpreting Tests of the Convergence Hypothesis, Journal of Econometrics, vol. 71(1-2), pages 161-173.

  11. Brooks, R., M. Del Negro (2004), The Rise in Comovement Across National Stock Markets: Market Integration or IT Bubble?, Journal of Empirical Finance, vol. 11(5), pages 659-680.

  12. Busetti, F., Fabiani, S., A. Harvey (2006), Convergence of Prices and Rates of Inflation, Oxford Bulletin of Economics and Statistics, vol. 68(s1), pages 863-877.

  13. Cavaglia, S., Brightman, C., M. Aked (2000), The Increasing Importance of Industry Factors, Financial Analysts Journal, vol. 56(5), pages 41-54.
    Paper not yet in RePEc: Add citation now

  14. Durlauf, S. N., D. T. Quah (1999), The New Empirics of Economic Growth, in: Taylor J. B., M. Woodford (ed.),Handbook of Macroeconomics, edition 1, volume 1, chapter 4, pages 235-308.

  15. Ferreira M. A., M. A. Ferreira (2006), The Importance of Industry and Country Effects in the EMU Equity Markets, European Financial Management, vol. 12(3), pages 341-373.

  16. Ferreira M. A., P. M. Gama (2005), Have World, Country and Industry Risk Changed Over Time? An Investigation of the Developed Stock Markets Volatility, Journal of Financial and Quantitative Analysis, vol. 40(1), pages 195-222.

  17. Fratzscher, M. (2002), Financial Market Integration in Europe: On the Effects of EMU on Stock Markets, International Journal of Finance and Economics, vol. 7(3), pages 165-93.

  18. Fritsche, U., V. Kuzin (2008), Analysing Convergence in Europe Using a Non-linear Single Factor Model, Macroeconomics and Finance Series, 200802, Hamburg University, Department Wirtschaft und Politik.

  19. Hardouvelis, G. A., Malliaropulos, D., R. Priestley (2007), The Impact of EMU on the Equity Cost of Capital, Journal of International Money and Finance, vol. 26(2), pages 305-327.

  20. Hobijn, B., P. H. Franses (2000), Asymptotically Perfect and Relative Convergence of Productivity, Journal of Applied Econometrics, vol. 15(1), pages 59-81.

  21. Islam, N. (2003), What have We Learnt from the Convergence Debate?, Journal of Economic Surveys, vol. 17(3), pages 309-362.

  22. Lessard, D. R. (1973), World, National, and Industry Factors in Equity Returns, Journal of Finance, vol. 29(2), pages 379-391, Papers and Proceedings of the ThirtySecond Annual Meeting of the American Finance Association.
    Paper not yet in RePEc: Add citation now

  23. Phillips, P.C., D. Sul (2007), Transition Modeling and Econometric Convergence Tests, Econometrica, vol. 75(6), pages 1771-1855.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Financial integration in Europe through the lens of composite indicators. (2019). Kremer, Manfred ; Zaharia, Sonia ; Hoffmann, Peter.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20192319.

    Full description at Econpapers || Download paper

  2. Time-varying importance of country and industry factors in European corporate bonds. (2016). Verschoor, Willem ; Zwinkels, Remco ; Qian, Zhaowen ; Pieterse-Bloem, Mary .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:38:y:2016:i:pa:p:429-448.

    Full description at Econpapers || Download paper

  3. Testing stock market convergence: a non-linear factor approach. (2015). Caporale, Guglielmo Maria ; Kuzin, Vladimir ; Erdogan, Burcu .
    In: Empirica.
    RePEc:kap:empiri:v:42:y:2015:i:3:p:481-498.

    Full description at Econpapers || Download paper

  4. European financial market dependence: An industry analysis. (2015). Bartram, Söhnke ; Wang, Yaw-Huei.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:59:y:2015:i:c:p:146-163.

    Full description at Econpapers || Download paper

  5. Financial markets in CEE countries and their role in transmission of euro area monetary policy shocks. (2015). Wierzbowska, Agata .
    In: European Journal of Business and Economics.
    RePEc:aad:ejbejj:v:10:y:2015:i:2:p:732.

    Full description at Econpapers || Download paper

  6. A Nonlinear Model to Estimate the Long Term Correlation between Market Capitalization and GDP per capita in Eastern EU Countries. (2014). Lupu, Radu ; Calin, Adrian Cantemir ; Albu, Lucian.
    In: Working Papers of Institute for Economic Forecasting.
    RePEc:rjr:wpiecf:141115.

    Full description at Econpapers || Download paper

  7. Country and industry convergence of equity markets: International evidence from club convergence and clustering. (2014). Miller, Stephen ; Apergis, Nicholas ; Christou, Christina.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:29:y:2014:i:c:p:36-58.

    Full description at Econpapers || Download paper

  8. Sectoral equity returns and portfolio diversification opportunities across the GCC region. (2013). Balli, Faruk ; Basher, Syed ; Louis, Rosmy Jean.
    In: MPRA Paper.
    RePEc:pra:mprapa:43687.

    Full description at Econpapers || Download paper

  9. Equity Home Bias and the Euro. (2012). Foad, Hisham S.
    In: Quarterly Journal of Finance (QJF).
    RePEc:wsi:qjfxxx:v:02:y:2012:i:01:n:s2010139212500048.

    Full description at Econpapers || Download paper

  10. Convergence of EMU Equity Portfolios. (2012). Giofre', Maela.
    In: Open Economies Review.
    RePEc:kap:openec:v:23:y:2012:i:2:p:381-419.

    Full description at Econpapers || Download paper

  11. What Is the Degree of Convergence among Developed Equity Markets?. (2012). Dorodnykh, Ekaterina .
    In: International Journal of Financial Research.
    RePEc:jfr:ijfr11:v:3:y:2012:i:2:p:2-16.

    Full description at Econpapers || Download paper

  12. Government bond market integration and the EMU: Correlation based evidence. (2012). Missio, Sebastian .
    In: Working Papers.
    RePEc:bav:wpaper:125_missio.

    Full description at Econpapers || Download paper

  13. The effect of Emu on bond market integration and investor portfolio allocations. (2011). Pieterse-Bloem, M..
    In: Other publications TiSEM.
    RePEc:tiu:tiutis:3c6ce80d-9260-424a-b889-bf521d2e0313.

    Full description at Econpapers || Download paper

  14. Time-varying Diversification Benefits: The Impact of Capital Market Integration on European Portfolio Holdings. (2011). Horobet, Alexandra ; Dumitrescu, Sorin .
    In: Chapters.
    RePEc:elg:eechap:14130_13.

    Full description at Econpapers || Download paper

  15. Sectoral equity returns in the Euro region: Is there any room for reducing portfolio risk?. (2011). Balli, Hatice.
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:63:y:2011:i:2:p:89-106.

    Full description at Econpapers || Download paper

  16. Towards a common European Monetary Union risk free rate. (2011). Mayordomo, Sergio ; Schwartz, Eduardo S ; Pea, Juan Ignacio.
    In: CNMV Working Papers.
    RePEc:cnv:wpaper:dt_51en.

    Full description at Econpapers || Download paper

  17. From Home Bias to Euro Bias: Disentangling the Effects of Monetary Union on the European Financial Markets. (2010). Balli, Hatice ; Basher, Syed ; Ozer-Balli, Hatice .
    In: MPRA Paper.
    RePEc:pra:mprapa:22430.

    Full description at Econpapers || Download paper

  18. Financial Integration in European Countries: Some Panel Evidence. (2010). Ferreira, Candida.
    In: Working Papers Department of Economics.
    RePEc:ise:isegwp:wp212010.

    Full description at Econpapers || Download paper

  19. Convergence of EMU Equity Portfolios. (2009). Giofre', Maela.
    In: FIW Working Paper series.
    RePEc:wsr:wpaper:y:2009:i:028.

    Full description at Econpapers || Download paper

  20. Are Capital Markets Integrated? A Test of Information Transmission within the European Union. (2009). Lupu, Radu ; Horobet, Alexandra .
    In: Journal for Economic Forecasting.
    RePEc:rjr:romjef:v:6:y:2009:i:2:p:64-80.

    Full description at Econpapers || Download paper

  21. Openness and geographic neutrality: How do they contribute to international banking integration?. (2009). Tortosa-Ausina, Emili ; perez, francisco ; Arribas, Iván.
    In: MPRA Paper.
    RePEc:pra:mprapa:17211.

    Full description at Econpapers || Download paper

  22. Sectoral Equity Returns in the Euro Region: Is There any Room for Reducing the Portfolio Risk?. (2009). Balli, Hatice.
    In: MPRA Paper.
    RePEc:pra:mprapa:14554.

    Full description at Econpapers || Download paper

  23. Does the Law of One Price Hold in Euro-Area Retail Banking? An Empirical Analysis of Interest Rate Differentials across the Monetary Union. (2009). Affinito, Massimiliano ; Farabullini, Fabio .
    In: International Journal of Central Banking.
    RePEc:ijc:ijcjou:y:2009:q:1:a:1.

    Full description at Econpapers || Download paper

  24. Are fundamentals still relevant for European economies in the post-Euro period?. (2009). Laopodis, Nikiforos.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:26:y:2009:i:5:p:835-850.

    Full description at Econpapers || Download paper

  25. Convergence of EMU Equity Portfolios. (2009). Giofre', Maela.
    In: CeRP Working Papers.
    RePEc:crp:wpaper:88.

    Full description at Econpapers || Download paper

  26. Testing for Convergence in Stock Markets: A Non-Linear Factor Approach. (2009). Caporale, Guglielmo Maria ; Erdogan, Burcu ; Kuzin, Vladimir .
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_2845.

    Full description at Econpapers || Download paper

  27. Financial Integration of Stock Markets among New EU Member States and the Euro Area. (2008). Komarek, Lubos ; Komarkova, Zlatuse ; Babecký, Jan.
    In: The Warwick Economics Research Paper Series (TWERPS).
    RePEc:wrk:warwec:849.

    Full description at Econpapers || Download paper

  28. Extreme Coexceedances in New EU Member States Stock Markets. (2008). Ranaldo, Angelo ; Christiansen, Charlotte.
    In: Working Papers.
    RePEc:snb:snbwpa:2008-10.

    Full description at Econpapers || Download paper

  29. Convergence of EMU Equity Portfolios. (2008). Giofre', Maela ; Giofre, Maela/M., .
    In: MPRA Paper.
    RePEc:pra:mprapa:13927.

    Full description at Econpapers || Download paper

  30. EMU Effects on Stock Markets: From Home Bias to Euro Bias. (2008). Giofre', Maela ; Giofre, Maela/M., .
    In: MPRA Paper.
    RePEc:pra:mprapa:13926.

    Full description at Econpapers || Download paper

  31. New Patterns in International Portfolio Allocation and Income Smoothing. (2008). Balli, Faruk.
    In: MPRA Paper.
    RePEc:pra:mprapa:10121.

    Full description at Econpapers || Download paper

  32. Realized portfolio selection in the euro area. (2008). MORANA, CLAUDIO.
    In: ICER Working Papers - Applied Mathematics Series.
    RePEc:icr:wpmath:10-2008.

    Full description at Econpapers || Download paper

  33. Changes in Investors Risk Appetite - An Assessment of Financial Integration and Interdependence. (2008). Tam, Chi-sang ; Fung, Laurence ; Yu, Ip-wing .
    In: Working Papers.
    RePEc:hkg:wpaper:0812.

    Full description at Econpapers || Download paper

  34. European Economic and Monetary Integration, and the Optimum Currency Area Theory. (2008). Mongelli, Francesco.
    In: European Economy - Economic Papers 2008 - 2015.
    RePEc:euf:ecopap:0302.

    Full description at Econpapers || Download paper

  35. Regulation versus Competition on European Financial Markets. (2007). Ilie, Livia ; Horobet, Alexandra .
    In: MPRA Paper.
    RePEc:pra:mprapa:6133.

    Full description at Econpapers || Download paper

  36. Financial Integration of Stock Markets among New EU Member States and the Euro Area. (2007). Komarek, Lubos ; Komarkova, Zlatuse ; Babecký, Jan ; Babetskii, Ian .
    In: Czech Journal of Economics and Finance (Finance a uver).
    RePEc:fau:fauart:v:57:y:2007:i:7-8:p:341-362.

    Full description at Econpapers || Download paper

  37. Real Interest Parity in the EU and the Consequences for Euro Area Membership: Panel Data Evidence, 1979-2005. (2007). O'Brien, Martin.
    In: Papers.
    RePEc:esr:wpaper:wp183.

    Full description at Econpapers || Download paper

  38. European banking: An overview. (2007). Wilson, John ; Molyneux, Philip ; Goddard, John ; Wilson, John O. S., ; Tavakoli, Manouche .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:31:y:2007:i:7:p:1911-1935.

    Full description at Econpapers || Download paper

  39. The Euro and European financial market dependence. (2007). Bartram, Söhnke ; Taylor, Stephen J. ; Wang, Yaw-Huei.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:31:y:2007:i:5:p:1461-1481.

    Full description at Econpapers || Download paper

  40. Financial Integration of Stock Markets among New EU Member States and the Euro Area. (2007). Komarek, Lubos ; Komarkova, Zlatuse ; Babecký, Jan.
    In: Working Papers.
    RePEc:cnb:wpaper:2007/7.

    Full description at Econpapers || Download paper

  41. Extreme Coexceedances in New EU Member States’ Stock Markets. (2007). Ranaldo, Angelo ; Christiansen, Charlotte.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-34.

    Full description at Econpapers || Download paper

  42. The Euro and Financial Integration. (2006). Waelti, Sébastien ; Lane, Philip ; Walti, Sebastien .
    In: The Institute for International Integration Studies Discussion Paper Series.
    RePEc:iis:dispap:iiisdp139.

    Full description at Econpapers || Download paper

  43. Macroeconomic Differentials and Adjustment in the Euro Area. (2006). SIEDSCHLAG, IULIA.
    In: Papers.
    RePEc:esr:wpaper:wp175.

    Full description at Econpapers || Download paper

  44. Economic Assessment of the Euro Area: Forecasts and Policy Analysis, Autumn Report 2006. (2006). Bergin, Adele ; Fitzgerald, John ; Traistaru-Siedschlag, Iulia ; Barrett, Alan.
    In: Research Series.
    RePEc:esr:resser:sustat22.

    Full description at Econpapers || Download paper

  45. Euro area banking sector integration: using hierarchical cluster analysis techniques. (2006). Kok, Christoffer ; Puigvert, Josep Maria .
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2006627.

    Full description at Econpapers || Download paper

  46. European Union Enlargement and Equity Markets in Accession Countries. (2005). Dvorak, Tomas ; Podpiera, Richard.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2005/182.

    Full description at Econpapers || Download paper

  47. Portfolio diversification benefits within Europe: Implications for a US investor. (2005). Laopodis, Nikiforos.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:14:y:2005:i:4:p:455-476.

    Full description at Econpapers || Download paper

  48. European Union enlargement and equity markets in accession countries. (2005). Podpiera, Richard ; Dvorak, Tomas .
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2005552.

    Full description at Econpapers || Download paper

  49. Endogeneities of Optimum Currency Areas: What brings Countries Sharing a Single Currency Closer together?. (2005). Mongelli, Francesco ; De Grauwe, Paul ; DeGrauwe, Paul.
    In: Working Papers de Economia (Economics Working Papers).
    RePEc:ave:wpaper:292005.

    Full description at Econpapers || Download paper

  50. Are the new and old EU countries financially integrated?. (2004). Chris R. A. Geiregat, ; Dvorak, Tomas .
    In: Department of Economics Working Papers.
    RePEc:wil:wileco:2004-09.

    Full description at Econpapers || Download paper

  51. The Euro and European Financial Market Integration. (2004). Bartram, Söhnke ; Taylor, Stephen ; Wang, Yaw-Huei.
    In: Money Macro and Finance (MMF) Research Group Conference 2004.
    RePEc:mmf:mmfc04:49.

    Full description at Econpapers || Download paper

  52. Developing statistical indicators of the integration of the euro area banking system. (2004). Manna, Michele.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2004300.

    Full description at Econpapers || Download paper

  53. Country pair-correlations as a measure of financial integration: the case of the Euro equity markets. (2004). Croci, Manuela .
    In: Working Papers.
    RePEc:anc:wpaper:201.

    Full description at Econpapers || Download paper

  54. Divergent Inflation Rates in EMU. (2003). Lane, Philip ; Honohan, Patrick.
    In: Trinity Economics Papers.
    RePEc:tcd:tcduee:20034.

    Full description at Econpapers || Download paper

  55. Divergent Inflation Rates in EMU. (2003). Lane, Philip ; Honohan, Patrick.
    In: The Institute for International Integration Studies Discussion Paper Series.
    RePEc:iis:dispap:iiisdp05.

    Full description at Econpapers || Download paper

  56. Country and sector-specific spillover effects in the euro area, the United States and Japan. (2003). Kaltenhaeuser, Bernd.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2003286.

    Full description at Econpapers || Download paper

  57. An empirical analysis of international equity market co-movements: implications for informational efficiency. (2003). Croci, Manuela .
    In: Working Papers.
    RePEc:anc:wpaper:197.

    Full description at Econpapers || Download paper

  58. Return and volatility spillovers to industry returns: Does EMU play a role?. (2002). Kaltenhauser, Bernd .
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:200205.

    Full description at Econpapers || Download paper

  59. Home Bias, Transaction Costs, and Prospects for the Euro: A More Detailed Analysis. (2002). Meade, Ellen ; Mann, Catherine.
    In: Working Paper Series.
    RePEc:iie:wpaper:wp02-3.

    Full description at Econpapers || Download paper

  60. Testing Stock Market Convergence: A Non-linear Factor Approach. (2002). Caporale, Guglielmo Maria ; Erdogan, Burcu ; Kuzin, Vladimir .
    In: EcoMod2010.
    RePEc:ekd:002596:259600051.

    Full description at Econpapers || Download paper

  61. FOREIGN DIRECT INVESTMENTS IN ROMANIA IN THE CONTEXT OF ECONOMIC AND FINANCIAL CRISIS. (). ANDREEA, AVADANEI ; Bintintan, Petru ; Afrasinei, Catalin .
    In: Description: Managerial Challenges of the Contemporary Society.
    RePEc:bbu:wpaper:1.

    Full description at Econpapers || Download paper

  62. Too much cocited documents. This list is not complete

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-01-18 01:55:26 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.