The Internationalization of Equity Markets
Will be published approx. on 7. February 1995
Book
Hardback
426 pages
978-0-226-26001-3 (ISBN)
Description
This volume addresses three important recent trends in the internationalization of equity markets. These trends are: extensive market integration through foreign investment and links among stock prices around the world; increasing securitization of other markets at the expense of banks; and the opening of national financial systems of newly industrializing countries to international financial flows and institutions. Eight essays examine such issues as: the current extent of international market integration; gains to US investors through international diversification; home-country bias in investing; the role of time and location around the world in stock-trading; and the behaviour of country funds. Other long-standing questions about equity markets are also addressed, including market efficiency and the accuracy of models of expected returns, with a particular focus on variances, covariances and the price of risk according to the Capital Asset Pricing Model.
More details
Series
Language
English
Place of publication
Chicago
United States
Publishing group
The University of Chicago Press
Target group
College/higher education
Professional and scholarly
Product notice
sewn/stitched
Cloth over boards
Dimensions
Height: 236 mm
Width: 162 mm
Thickness: 29 mm
Weight
744 gr
ISBN-13
978-0-226-26001-3 (9780226260013)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
Additional editions
Jeffrey A. Frankel
Internationalization of Equity Markets
E-Book
04/2008
1st Edition
University of Chicago Press
€137.09
Available for download
Content
Preface Introduction 1 Jeffrey A. Frankel 1: A Test of the International CAPM Using Business Cycles Indicators as Instrumental Variables 23 Bernard Dumas 2: An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns 59 Wayne Ferson, Campbell R. Harvey. 3: Tests of CAPM on an International Portfolio of Bonds and Stocks 149 Charles M. Engel 4: International Equity Transactions and U.S. Portfolio Choice 185 Linda L. Tesar, Ingrid M. Werner. 5: The Effect of Barriers to Equity Investment in Developing Countries 231 Stijn Claessens, Moon-Whoan Rhee. 6: International Experiences with Securities Transaction Taxes 277 John Y. Campbell, Kenneth A. Froot. 7: Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets 309 Wen-Ling Lin, Takatoshi Ito. 8: What Moves the Discount on Country Equity Funds? 345 Gikas Hardouvelis, Rafael La Porta, Thierry A. Wizman. Contributors 405 Author Index 407 Subject Index 411