179
Views
5
CrossRef citations to date
0
Altmetric
Original Articles

Time varying equity market beta as an index of financial openness?

, &
Pages 921-928 | Published online: 29 Apr 2013

References

  • Abiad, A., Leigh, D. and Mody, A. (2007) International finance and income convergence: Europe is different. IMF Working Paper WP/07/64.
  • Adam, K., Jappelli, T., Menichini, A., et al. (2002) Analyse, compare, and apply alternative indicators and monitoring methodologies to measure the evolution of capital market integration in the European Union. European Commission Report.
  • Babecky , J. , Frait , J. and Komarek , L. 2009 . Price and news based measures of financial integration among new EU member states and the euro area . Economic Research Bulletin, Czech National Bank , 7 : 2 et al
  • Bauwens , L. , Laurent , S. and Rombouts , J. V. 2006 . Multivariate GARCH models: a survey . Journal of Applied Econometrics , 21 : 79 – 109 .
  • Bekaert, G., Harvey, C. R. and Lundblad, C. T. (2002) Equity market liberalization in emerging markets. Available at SSRN. http://ssrn.com/abstract=795345 (http://ssrn.com/abstract=795345) (Accessed: 26 February 2012 ).
  • Bollerslev , T. , Engle , R. F. and Wooldridge , J. M. 1988 . A capital asset pricing model with time varying covariances . Journal of Political Economy , 96 : 116 – 31 .
  • Cavoli, T., Rajan, R. S. and Siregar, R. (2004) A survey of financial integration in east Asia; how far? How much further to go? CIES Discussion Paper, 0401.
  • Chinn , M. D. and Ito , H. 2006 . What matters for financial development? Capital controls, institutions, and interactions . Journal of Development Economics , 81 : 163 – 92 .
  • Cowen, D., Salgado, R., Shah, H., et al. (2006) Financial integration in Asia: recent developments and newt steps. IMF Working Paper Series 06/196.
  • De Brouwer , G. 1999 . Financial Integration in East Asia , Cambridge : Cambridge University Press .
  • Engle , R. and Kroner , F. K. 1995 . Multivariate simultaneous generalized ARCH . Econometric Theory , 11 : 122 – 50 .
  • Fujiki, H. and Terada-Hagiwara, A. (2007) Financial integration in east Asia. Working Paper 2007–30, Federal Reserve Bank of San Francisco. Available at. http://www.frbsf.org/publications/economics/papers/2007/wp07-30bk.pdf (http://www.frbsf.org/publications/economics/papers/2007/wp07-30bk.pdf) (Accessed: 26 February 2013 ).
  • Fung, L. K., Tam, C. and Yu, I. (2008) Assessing the integration of Asia's equity and bond markets. BIS Papers No. 42.
  • Hodrick, R. and Prescott, E. (1981) Post-war U.S. business cycles: an empirical investigation. Working Paper, Carnegie-Mellon, University. Reprinted in Journal of Money, Credit and Banking, 29 (1 February 1997).
  • Kim, S. and Yang, D. Y. (2008) Managing capital flows: the caseof Republic of Korea. ADB Institute Discussion Paper No. 88.
  • Kramer , C. and Kohli , R. 2007 . How financially open is India? . Indian Economic Review , 4 34–42. 
  • Kramer, C. F., Poirson, H. K. and Prasad, A. (2008) Challenges to monetary policy from financial globalization: the case of India. IMF Working Paper Series 08/131.
  • Lane, P. R. and Milesi-Ferretti, G. M. (2006) The external wealth of nations mark II: revised and extended estimates of foreign assets and liabilities, 1970–2004. IMF Working Paper Series 06/69.
  • Lane, P. R. and Schmukler, S. L. (2006) The international financial integration of China and India. IIIS Discussion Paper No. 174.
  • Le, H.-G. (2000) Financial openness and financial integration. Asia Pacific School of Economics and Management, Australian National University, Working Paper No. 00-4.
  • Marelli, E. and Signorelli, M. (2011) China and India: openness, trade and effects on economic growth. European Journal of Comparative Economics, 8, 129–54.
  • McCauley, R. and Ma, G. (2008) Resisting financial globalisation in Asia. Bank of Thailand International Symposium, 7–8 November 2008.
  • Mosley , L. and Singer , D. A. 2008 . Taking stock seriously: equity market performance, government policy, and financial globalization . International Studies Quarterly , 52 : 405 – 25 .
  • Pasricha, G. K. (2008) Financial integration in emerging market economies. Available at. http://ssrn.com/abstract=1282198 (http://ssrn.com/abstract=1282198) (Accessed: 26 February 2013 ).
  • Potchamanawong, P. (2007) A new measure of capital controls and its relation to currency crisis. Ph.D. Dissertation, Claremont Graduate University.
  • Quinn , D. and Voth , H. J. 2008 . A century of global equity market correlations . American Economic Review , 98 : 535 – 40 .
  • Raj, J. and Dhal, S. (2008) Integration of India's stock market with global and major regional markets. BIS Papers No. 42.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.