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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...

Risk Exposures and Financial Spillovers in Tranquil and Crisis Times

Risk Exposures and Financial Spillovers in Tranquil and Crisis Times »

Source: Risk Exposures and Financial Spillovers in Tranquil and Crisis Times : Bank-Level Evidence

Volume/Issue: 2013/142

Series: IMF Working Papers

Author(s): Helene Poirson Ward , and Jochen M. Schmittmann

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 05 June 2013

ISBN: 9781484311240

Keywords: stock market, stock returns, equity capital, world stock market

For a sample of 83 financial institutions during 2003–2011, this paper attempts to answer three questions: first, what is the evolution of banks’ stock price exposure to country-level and global risk...

Financial Market Volatility and the Implications for Market Regulation: A Survey

Financial Market Volatility and the Implications for Market Regulation: A Survey »

Source: Financial Market Volatility and the Implications for Market Regulation : A Survey

Volume/Issue: 1990/112

Series: IMF Working Papers

Author(s): Louis Scott

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 1990

ISBN: 9781451944594

Keywords: stock market, stock prices, bond, stock index futures, futures markets

Volatility in financial markets has forced economists to reexamine the validity of the efficient markets hypothesis, and new empirical approaches have been applied to the study of this important issue in recent yea...

International Integration of Equity Markets and Contagion Effects

International Integration of Equity Markets and Contagion Effects »

Source: International Integration of Equity Markets and Contagion Effects

Volume/Issue: 1995/110

Series: IMF Working Papers

Author(s): Paul Cashin , Manmohan Kumar , and C. McDermott

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 1995

ISBN: 9781451853285

Keywords: equity markets, cointegration, stock market, stock markets, national equity markets

This paper investigates empirically the degree of international integration of industrial and emerging country equity markets. It analyzes two issues: first, the extent to which equity prices have tended to move si...

Comovements in National Stock Market Returns

Comovements in National Stock Market Returns »

Source: Comovements in National Stock Market Returns : Evidence of Predictability But Not Cointegration

Volume/Issue: 1996/28

Series: IMF Working Papers

Author(s): Anthony Richards

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 1996

ISBN: 9781451844610

Keywords: cointegration, predictability, statistics, stock market, stock prices

This paper is a response to the literature that tests for cointegration between national stock market indices. It argues that apparent findings of cointegration in other studies may often be due to the use of asymp...

Stock Returns and Output Growth in Emerging and Advanced Economies

Stock Returns and Output Growth in Emerging and Advanced Economies »

Source: Stock Returns and Output Growth in Emerging and Advanced Economies

Volume/Issue: 2000/89

Series: IMF Working Papers

Author(s): Paolo Mauro

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2000

ISBN: 9781451851274

Keywords: Leading indicators, emerging markets, stock returns, stock market, correlation, stock price, statistics

This paper studies the correlation between output growth and lagged stock returns in a panel of emerging market economies and advanced economies. It finds that the correlation is as strong in emerging market econom...

Responses of the Stock Market to Macroeconomic Announcements Across Economic States

Responses of the Stock Market to Macroeconomic Announcements Across Economic States »

Source: Responses of the Stock Market to Macroeconomic Announcements Across Economic States

Volume/Issue: 1998/79

Series: IMF Working Papers

Author(s): Zuliu Hu , and Li Li

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 1998

ISBN: 9781451850178

Keywords: Stock markets, macroeconomic news, large caps, small caps, discount rate, stock prices, stock market, inflation, monetary policy

Is the stock market responsive to macroeconomic news? This paper employs the daily returns of the Dow Jones Industrial Index, the S&P 500 index, the Russell 1000 index, and the Russell 2000 index to examine...

Wealth Effects and the New Economy

Wealth Effects and the New Economy »

Source: Wealth Effects and the New Economy

Volume/Issue: 2001/77

Series: IMF Working Papers

Author(s): Torsten Sloek , and Hali Edison

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2001

ISBN: 9781451849998

Keywords: Wealth effects, new economy, stock markets in the 1990s, stock market, stock market capitalization, stock options, stock prices, stock ownership, Macroeconomics: Consumption, Saving

This paper investigates if there is a different impact from changes in "new" and "old" economy stock valuations on private consumption. Estimating a reduced-form VAR for seven OECD countries for the 1990s, it is fo...

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...

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...