Economic determinants of emerging stock market interdependence

By E. Pretorius. 2002

232 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/28bca7e0cbf08bbbbc13c767cb90bb6255070971

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In Economics and Econometrics

Citations in the corpus

Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic (2020, unknown): “New research, which started to emerge after the COVID-19 pandemic began at the end of 2019, includes such studies as Ramelli and Wagner (2020), who explored a link between the differences in the responses of the financial market in the US to the COVID-19 outbreak and to the Asian financial crisis in”
Impact of the 2007 US financial crisis on the emerging equity markets (2009, background): “(1999) and Pretorius (2002) which state that the geographic distance between different stock markets is one of important factors contributing to a greater extent of”
Integration of 22 emerging stock markets: A three-dimensional analysis (2012, background): “…global industry factors (Baca, Garbe, & Weiss, 2000; Cavaglia, Brightman, & Aked, 2000), the stock market bubble of the late 1990s (Brooks & Del Negro, 2004), the increase in equity market integration in the 1990s (Ayuso & Blanco, 2001) and an increase in bilateral trade flows (Pretorius, 2002).”
Cointegration relationship and time varying co-movements among Indian and Asian developed stock markets (2010, background): “International investors are generally interested in emerging stock markets but the interdependence among these markets and developed markets may affect the scope for diversification possibilities (Pretorious, 2002).”
Liberalisation and stock market co-movement between emerging economies (2011, methodology): “Here, we follow the usual approach adopted in most studies (Dellas and Hess 2005, Pretorius 2002, Wälti 2005) by capturing synchronisation as the value of the pairwise correlation of stock returns across countries over a given period.”