International financial integration through equity markets: Which firms from which countries go global?
نویسندگان
چکیده
منابع مشابه
Testing for contagion in international financial markets: which way to go?
This paper tests for the existence of contagion during the 1997/98 Asian crisis. We interpret contagion as a significant change in the way that countryspecific shocks are transmitted across international stock markets. Using the full-information framework of Favero and Giavazzi (2002) we find that the null hypothesis of no contagion is widely rejected. We also uncover evidence of an asymmetric ...
متن کاملInternational Financial Integration and Entrepreneurial Firms Dynamics
We explore the relation between international financial integration and the level of entrepreneurial activity in a country. Using a unique firm level data set of approximately 24 million firms in nearly 100 countries in 2004 and 1999, we find suggestive evidence that international financial integration has been associated with higher levels of entrepreneurial activity. Our results are robust to...
متن کاملGlobal private information in international equity markets
This paper studies international equity markets when some investors have private information that is valuable for trading in many countries simultaneously. We use a dynamic model of equity trading to show that global private information helps explain US investors’ trading behavior and performance. In particular, the model predicts global return chasing (positive co-movement of US investors’ net...
متن کاملIn which financial markets do mutual fund theorems hold true?
The mutual fund theorem (MFT) is considered in a general semimartingale financial market S with a finite time horizon T , where agents maximize expected utility of terminal wealth. The main results are: (i) Let N be the wealth process of the numéraire portfolio (i.e., the optimal portfolio for the log utility). If any path-independent option with maturity T written on the numéraire portfolio ca...
متن کاملModelling extreme financial returns of global equity markets
Extreme asset price movements appear to be more pronounced recently and have major consequences for an economy’s financial stability and monetary policies. This paper investigates the extreme behaviour of equity market returns and quantifies the probabilities of these losses. Taking fourteen major equity markets the study is able to ascertain similarities and divergences in the tail returns fro...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of International Money and Finance
سال: 2007
ISSN: 0261-5606
DOI: 10.1016/j.jimonfin.2007.04.002