Market Integration and Contagion
By Geert Bekaert, Campbell R. Harvey, A. Ng. 2005
319 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/9178c792102a763e42c53beeaae6311870536dff
Citations in the corpus
- On the global financial market integration “swoosh” and the trilemma (2019, unknown): “To obtain an intuitive interpretation of the estimates of the factor loadings, we orthogonalize the two factors as in Bekaert, Harvey and Ng (2005), Bekaert, Hodrick, and Zhang (2009) and Bekaert et al. (2014). The regional market factor is orthogonalized by regressing regional market returns on glo”
- Emerging Equity Markets in a Globalizing World (2017, unknown): “The second aspect is financial openness, for which we show two indicators: the Capital Account Openness Index from Quinn and Toyoda (2008), and the Equity Market Openness indicator from Bekaert, Harvey and Ng (2005).”
- Euro area government bonds – Fragmentation and contagion during the sovereign debt crisis (2017, unknown): “…has adopted various definitions of the concept of contagion.1 While some contributions define contagion as the transmission of shocks across countries or markets (e.g. Allen and Gale, 2000), others understand contagion as a strengthening in the transmission of shocks (Bekaert et al., 2005, 2014).”
- Volatility-Spillover Effects in European Bond Markets (2007, unknown): “Bekaert et al. (2005).”
- Measuring European Financial Integration (2004, unknown): “Bekaert et al. (2005) share of equity funds29 that invest domestically, estimate a similar model as in this paper for a large European-wide, and worldwide, respectively, over number of emerging markets.”
- Market integration and contagion: Evidence from Asian emerging stock and foreign exchange markets (2007, unknown): “Instead of focusing on how market liberalization affects market integration, Obstfeld (1994), Bekaert et al. (2001, 2005a) and Henry (2000a) study the impact of market liberalization on the economic development of the underlying countries.”
- No contagion, only globalization and flight to quality (2012, unknown): “Contagion and globalization are not necessarily mutually exclusive, but they are difficult to separate econometrically (Bekaert et al. (2005)).”