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Cointegration of International Stock Market Indices

Cointegration of International Stock Market Indices »

Source: Cointegration of International Stock Market Indices

Volume/Issue: 1994/94

Series: IMF Working Papers

Author(s): Ray Chou , Victor Ng , and Lynn Pi

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 1994

ISBN: 9781451950700

Keywords: stock market, stock markets, stock market prices, international capital

In this paper, we derive evidence on the integration of international stock markets from the cointegration properties of international stock market prices. Using the multivariate cointegration test of Johansen, we...

Firm-Level Evidenceon International Stock Market Comovement

Firm-Level Evidenceon International Stock Market Comovement »

Source: Firm-Level Evidenceon International Stock Market Comovement

Volume/Issue: 2003/55

Series: IMF Working Papers

Author(s): Robin Brooks , and Marco Del Negro

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2003

ISBN: 9781451847642

Keywords: Diversification, risk, stock market, global stock market, stock returns, capital account restrictions, capital markets,

We explore the link between international stock market comovement and the degree to which firms operate globally. Using stock returns and balance sheet data for companies in 20 countries, we estimate a factor model...

Bank Capital

Bank Capital »

Source: Bank Capital : Lessons From the Financial Crisis

Volume/Issue: 2010/286

Series: IMF Working Papers

Author(s): Ouarda Merrouche , Enrica Detragiache , and Asli Demirgüç-Kunt

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2010

ISBN: 9781455210930

Keywords: Basel capital accord, stock returns, stock market, bank stock, tier 2 capital, Financial Institutions and Services: Government Policy and Regulation,

Using a multi-country panel of banks, we study whether better capitalized banks experienced higher stock returns during the financial crisis. We differentiate among various types of capital ratios: the Basel risk-a...

Winner-Loser Reversals in National Stock Market Indices

Winner-Loser Reversals in National Stock Market Indices »

Source: Winner-Loser Reversals in National Stock Market Indices : Can they Be Explained?

Volume/Issue: 1997/182

Series: IMF Working Papers

Author(s): Anthony Richards

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 1997

ISBN: 9781451859232

Keywords: International equity pricing, winner&;amp;#x2013;loser reversals, contrarian strategies, stock market, stock market indices, constant term, predictability, stock markets

This paper examines possible explanations for “winner–loser reversals” in the national stock market indices of 16 countries. There is no evidence that loser countries are riskier than winner co...

The Microstructure of Government Securities Markets

The Microstructure of Government Securities Markets »

Source: The Microstructure of Government Securities Markets

Volume/Issue: 1995/117

Series: IMF Working Papers

Author(s): Peter Dattels

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 1995

ISBN: 9781451853988

Keywords: government securities, central bank, government securities markets, stock exchange

This paper applies the “market microstructure” literature to the specific features of government securities markets and draws implications for the strategy to develop government securities markets. It...

Estimating Spillover Risk Among Large EU Banks

Estimating Spillover Risk Among Large EU Banks »

Source: Estimating Spillover Risk Among Large EU Banks

Volume/Issue: 2007/267

Series: IMF Working Papers

Author(s): Li Ong , and Martin Cihak

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2007

ISBN: 9781451868302

Keywords: contagion, large banks, banking, stock market, bond, government bond,

The paper examines the scope for cross-border spillovers among major EU banks using information contained in the stock prices and financial statements of these banks. The results suggest that spillovers within dome...

Bank Credit, Asset Prices and Financial Stability

Bank Credit, Asset Prices and Financial Stability »

Source: Bank Credit, Asset Prices and Financial Stability : Evidence From French Banks

Volume/Issue: 2012/103

Series: IMF Working Papers

Author(s): Cyril Pouvelle

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2012

ISBN: 9781475502930

Keywords: Credit growth, financial instability, stock price, banking, bank lending, General Financial Markets,

This paper analyses the effect of asset prices on credit growth in France and tries to disentangle credit demand and supply factors, both for the whole 1993-2010 period and during periods of financial instability....

The Impact of the EMUon the Structure of European Equity Returns

The Impact of the EMUon the Structure of European Equity Returns »

Source: The Impact of the EMUon the Structure of European Equity Returns : An Empirical Analysis of the First 21 Months

Volume/Issue: 2001/84

Series: IMF Working Papers

Author(s): Thomas Kraus

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2001

ISBN: 9781451850642

Keywords: EMU, correlations, industry sectors, factor models, correlation, stock markets, stock market, International Monetary Arrangements and Institutions, Financial Aspects of Economic Integration,

Using symmetric data sets of 92 weekly return observations before and after the introduction of the euro, the paper analyzes the impact of the new currency on the return structure of equity markets in the European...

Currency Hedging for International Portfolios

Currency Hedging for International Portfolios »

Source: Currency Hedging for International Portfolios

Volume/Issue: 2010/151

Series: IMF Working Papers

Author(s): Jochen M. Schmittmann

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2010

ISBN: 9781455201341

Keywords: Currency hedging, international investments, currency risk, hedging, hedge, bond, stock market,

This paper examines the benefits from hedging the currency exposure of international investments in single- and multi-country equity and bond portfolios from the perspectives of German, Japanese, British and Americ...

Asset Price Bubbles

Asset Price Bubbles »

Source: Asset Price Bubbles : A Selective Survey

Volume/Issue: 2013/45

Series: IMF Working Papers

Author(s): Anna Scherbina

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 21 February 2013

ISBN: 9781475515299

Keywords: Bubbles, Limits to Arbitrage, stock market, discount rate, mortgage, cash flows, financial economics, General,

Why do asset price bubbles continue to appear in various markets? This paper provides an overview of recent literature on bubbles, with significant attention given to behavioral models and rational models with fric...