Front Matter Page
Monetary and Financial Systems Department
Authorized for distribution by Abdessatar Ouanes
Contents
I. Introduction
II. Theory
A. Market Premium Is Proportional to the Variance of Market Returns
B. Market Premium Is Constant
III. Dating Integration
IV. Data
V. Estimation
A. Baseline Regressions
B. Robustness
VI. Conclusion
References
Tables
1. Opening Dates and Legal Restrictions
2. Means of Key Variables by Country
3. Descriptive Statistics
4. Baseline Regression Results
5. Varying Integration Date and Window
6. Price Changes and Beta
Figures
1. Stock Market Indices in Accession Countries
2. Scatter Plot of the Relationship Between Stock Price Changes and DIFCOV, DIFBETA, and Net Upgrades