The paper contributes to the literature on integration of stock markets by addressing the issue of non-synchronous trading. We argue that controlling for time differences in trading hours of stock markets is important and show that time-adjustment improves estimates of market integration. We also show that using weekly frequency does not sidestep the consequences of the time-match problem but leads to significant loss of information. We show that the nature of integration of stock exchanges operating in the czech republic, hungary, and poland with the stock markets of germany, uk and us in the period 1994–2004 is very dynamic. Finally, the study shows that the autocorrelation of returns on the main market indices of these emerging markets h...
In this paper, we investigate the extent to which the three emerging Central Eastern European stock ...
This paper examines the short and long run behaviour of emerging stock markets in Bulgaria, the Czec...
Thesis (M.A.)--Özyeğin University, Graduate School of Sciences and Engineering, Department of Financ...
The paper contributes to the literature on integration of stock markets by addressing the issue of n...
The paper contributes to the literature on integration of stock markets by addressing the issue of n...
The paper contributes to the literature on integration of stock markets by addressing the issue of n...
The paper contributes to the literature on integration of stock markets by addressing the issue of n...
Cahier de Recherche du Groupe HEC Paris, n° 635This paper introduces a model, based on the Kalman fi...
Cahier de Recherche du Groupe HEC Paris, n° 635This paper introduces a model, based on the Kalman fi...
This essay investigates the extent to which the four emerging Central Eastern European stock markets...
This paper measures the degree in stock market integration between five Eastern European countries a...
This paper measures the degree in stock market integration between five Eastern European countries a...
The paper considers the empirical dimension of financial integration among stock markets in four new...
In this paper, we perform Granger causality analysis on stock market indices from several Asian, Eur...
∗This paper focuses on friction in trading processes in the context of the implications of nonsynchr...
In this paper, we investigate the extent to which the three emerging Central Eastern European stock ...
This paper examines the short and long run behaviour of emerging stock markets in Bulgaria, the Czec...
Thesis (M.A.)--Özyeğin University, Graduate School of Sciences and Engineering, Department of Financ...
The paper contributes to the literature on integration of stock markets by addressing the issue of n...
The paper contributes to the literature on integration of stock markets by addressing the issue of n...
The paper contributes to the literature on integration of stock markets by addressing the issue of n...
The paper contributes to the literature on integration of stock markets by addressing the issue of n...
Cahier de Recherche du Groupe HEC Paris, n° 635This paper introduces a model, based on the Kalman fi...
Cahier de Recherche du Groupe HEC Paris, n° 635This paper introduces a model, based on the Kalman fi...
This essay investigates the extent to which the four emerging Central Eastern European stock markets...
This paper measures the degree in stock market integration between five Eastern European countries a...
This paper measures the degree in stock market integration between five Eastern European countries a...
The paper considers the empirical dimension of financial integration among stock markets in four new...
In this paper, we perform Granger causality analysis on stock market indices from several Asian, Eur...
∗This paper focuses on friction in trading processes in the context of the implications of nonsynchr...
In this paper, we investigate the extent to which the three emerging Central Eastern European stock ...
This paper examines the short and long run behaviour of emerging stock markets in Bulgaria, the Czec...
Thesis (M.A.)--Özyeğin University, Graduate School of Sciences and Engineering, Department of Financ...