The current study focuses on the problem of determining investment attrаctiveness of countries by means of monitoring regional stock markets. The method of using the permutation entropy as a model of investment attractiveness estimation is suggested. We have calculated the permutation entropy for the time series of stock markets of countries for the period from 2005 to 2018. The countries with ...

This paper investigates how China’s stock market reforms have affected the stock market linkages between China and Korea, Japan and the US respectively. We firstly use a 4 × 4 asymmetric GARCH-BEKK model and a series of likelihood ratio tests to uncover China’s regional and global linkages between 1992 and 2010 and during three sub-periods representing the stages of the Chinese reforms. The res...

The consequences of regional trade agreements (RTAs) on countries’ welfare are disputed. In this paper, we assess these effects using stock returns from a recent data set that spans over two hundred RTA announcements, eighty economies, and twenty years. We measure the effects of news concerning RTAs on the returns of national stock markets, after adjusting these returns for international stock ...

We estimate multivariate quantile models to measure the responses of the six main Latin American (LA) stock markets to a shock in the United States (US) stock index. We compare the regional responses with those of seven developed markets. In general, we document weaker tailcodependences between the US and LA than those between the US and the mature markets. Our results suggest possible diversif...

This paper examines the linkages between the Russian stock market and those of its largest neighbors in Central and Eastern Europe, and the world stock markets over the 10 year period 1995-2004. What we find is that there was a major change in the nature of these relationships after the so called Russian Crisis of 1997-1998. The nature of this change is such that we can no longer rely on the th...