The Internationalization of Equity Markets

This introduction to a forthcoming NBER volume on 'The Internationalization of Equity Markets' argues that the existing finance literature has in some respects not kept pace with world trends. Most empirical studies fail to take due account of the diversity of assets offered by countries around the world, the diversity of locales in which investors live, and the diversity of institutional peculiarities that characterize the markets in which assets and investors are brought together. Four of the papers in the volume are econometric studies of asset pricing and home-country bias in internationally integrated equity markets. The other four examine such issues as emerging markets, country funds, trading volume, location, taxes, controls, and other imperfections in international markets.

[1]  C. Engel,et al.  Tests of International CAPM with Time-Varying Covariances , 1987 .

[2]  B. Dumas.  Partial-Equilibrium vs General-Equilibrium Models of International Capital Market Equilibrium , 1992 .

[3]  An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns , 1993 .

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[5]  J. Stock,et al.  A Procedure for Predicting Recessions with Leading Indicators: Econometric Issues and Recent Experience , 1992 .

[6]  C. Engel.  Tests of CAPM on an International Portfolio of Bonds and Stocks , 1993 .

[7]  Stephen S. Golub.  International diversification of social and private risk: the U.S. and Japan , 1994 .

[8]  Wenling Lin,et al.  Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets , 1993 .

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[10]  M. King,et al.  Transmission of Volatility between Stock Markets , 1989 .

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[13]  Takatoshi Ito,et al.  Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market , 1988 .

[14]  J. Tobin,et al.  On the Internationalization of Portfolios , 1992 .

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[18]  V. Errunza,et al.  International Asset Pricing under Mild Segmentation: Theory and Test , 1985 .

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[21]  Mike Dumas.  International Portfolio Choice and Corporation Finance: A Survey , 1982 .

[22]  Ingrid M. Werner,et al.  International Equity Transactions and U.S. Portfolio Choice , 1994 .

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[24]  J. Macedo,et al.  Exchange Rates and the International Adjustment Process , 1978 .

[25]  Lemma W. Senbet,et al.  The pricing of country funds and their role in capital mobilization for emerging economies , 1992 .

[26]  Andre F. Perold,et al.  The Free Lunch in Currency Hedging: Implications for Investment Policy and Peformance Standards , 1988 .

[27]  Campbell R. Harvey.  Time-Varying Conditional Covariances in Tests of Asset Pricing Models , 1989 .

[28]  R. Litzenberger,et al.  Sharing rules and equilibrium in an international capital market under uncertainty , 1976 .

[29]  Cheol S. Eun,et al.  International Transmission of Stock Market Movements , 1989, Journal of Financial and Quantitative Analysis.

[30]  G. M. Furstenberg,et al.  International Stock Price Movements: Links and Messages , 1989 .

[31]  R. Dornbusch.  Exchange Rate Risk and the Macroeconomics of Exchange Rate Determination , 1980 .

[32]  Jiang Wang,et al.  Trading Volume and Serial Correlation in Stock Returns , 1992 .

[33]  Campbell R. Harvey,et al.  An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns , 1993 .

[34]  Campbell R. Harvey,et al.  Sources of Risk and Expected Returns in Global Equity Markets , 1994 .

[35]  C. Engel,et al.  Tests of mean-variance efficiency of international equity markets , 1993 .

[36]  Greggory A. Brauer,et al.  International Investment Restrictions and Closed‐End Country Fund Prices , 1990 .

[37]  Bruno H. Solnik,et al.  An equilibrium model of the international capital market , 1974 .

[38]  R. G. Hawkins,et al.  The Internationalization of financial markets and national economic policy , 1983 .

[39]  René M. Stulz,et al.  Pricing Capital Assets in an International Setting: An Introduction , 1984 .

[40]  The Constrained Asset Share Estimation (Case) Method: Testing Mean-Variance Efficiency of the U.S. Stock Market , 1993 .

[41]  Campbell R. Harvey,et al.  The Risk and Predictability of International Equity Returns , 1993 .