a r t i c l e i n f o JEL classification: G12 F31 C32 Keywords: Time-varying integration Asian markets Risk premium ICAPM GDC-GARCH This article investigates the dynamics of regional financial integration and its determinants in an international setting. We test a conditional version of the International Capital Asset Pricing Model (ICAPM) accounting for the deviations from Purchasing Power Par...

The paper examines risk spillover among major European, American and Japanese stock exchanges using daily stock prices from 1998 to 2011 period. More specifically, we focus more on risk spillover among major north-western stock markets (i.e. France, Germany, and United Kingdom) and southern European stock markets (Greece, Italy, Portugal, and Spain). The main motivation of the study is to use t...

creating confidence in the stock market through a secure environment is one of the main achievements of stock markets in the world. in the stock markets of developed countries, there are markets which provide confidence and reduce the risks resulting from the fluctuation of share prices. these markets are called “stock transaction choice markets”. while comparing stock transaction choice contra...

the purpose of this study is to concentrate on the investigation of days-of-week effect on tehran stock exchange and its comparison with other emerging markets. using classical linear regression (clr) as well as autoregressive conditional heteroskedasticity (arch) models it in indicated has indicated that there is significantly positive total return on saturdays and significantly negative total...

This paper provides a detailed analysis of the difference between Chinese stock market and U.S. under development financial technology. In conclusion, we find that is more dominated by retail investors, but United States owns stocks, mostly held institutional has better mindset. The behavior investors in mainly excessive speculation market. one reasons for many fluctuations Due to speculative n...

This paper examines the relationship of financial liberalization and stock markets integration among ASEAN-5 (Note 1) stock markets: Indonesia, Malaysia, the Philippines, Singapore and Thailand. Three sample periods are covered based on the progress of financial liberalization. By using Johansen and Juselius multivariate cointegration procedures, Granger-causality tests and variances decomposit...

  The main purpose of present study is to analyze the relationship between stock and exchange markets in two Asian countries, Iran and South Korea. A monthly time series of stock price and exchange rate are used over the period 2002: 05 - 2012: 03. The data is collected from the Central Bank of each country and WDI. The calculated stock return and real exchange rate change are used in analysis....

Artificial stock markets are designed with the aim to study and understand market dynamics by representing (part of) real stock markets. Since there is a large variety of real stock markets with several partially observable elements and hidden processes, artificial markets differ regarding their structure and implementation. In this paper we analyze to what degree current artificial stock marke...