References

Alaganar, V., Bhar, R., 2001. Diversification Gains from ADRs and Foreign Equities: Evidence from Australian Stocks. Journal of International Financial Markets, Institutions, and Money 11, 97-113.

Asian Development Bank, 2000. Asian Development Outlook 2000. Oxford University Press, Hong Kong.

Auguste, S., Dominguez, K., Kamil, H., Tesar, L., 2006. Cross-Border Trading as a Mechanism for Capital Flight: ADRs and the Argentine Crisis. Journal of Monetary Economics 53, 1259-1295.

Balke, N.S., Wohar, M.E., 1998. Nonlinear Dynamics and Covered Interest Rate Parity. Empirical Economics 23, 535-559.

Bekaert, G., Harvey, C. R., 1995. Time-Varying World Market Integration. Journal of Finance 50, 403-444.

Bekaert, G., Harvey, C. R., Ng, A., 2005. Market Integration and Contagion. Journal of Business 78, 39-70, previous version appeared as NBER Working Paper 9510.

Bracker, K., Docking, D.S., and Koch, P.D., 1999. Economic Determinants of Evolution in International Stock Market Integration. Journal of Empirical Finance 6, 1-27.

Broner, F. A., Lorenzoni, G., Schmukler, S., 2004. Why Do Emerging Markets Borrow Short Term? World Bank Policy Research Working Paper 3389 and NBER Working Paper 13076.

Canjels, C., Prakash-Canjels, G., Taylor, A. M., 2004. Measuring Market Integration: Foreign Exchange Arbitrage and the Gold Standard, 1879-1913. The Review of Economics and Statistics 86, 868-882.

Carrieri, F., Errunza, V., Hogan, K., 2007. Characterizing World Market Integration through Time. Journal of Financial and Quantitative Analysis 41, 511-540.

Cashin, P., Kumar, M. S., McDermott, C. J., 1995. International Integration of Equity Markets and Contagion Effects. IMF Working Paper 95/110.

Chen, G. M., Firth, M., Rui, O. M., 2002. Stock Market Linkages: Evidence from Latin America. Journal of Banking and Finance 26, 1113-1141.

Chortareas, G. E., Driver, R. L., 2001. PPP and the Real Exchange Rate-Real Interest Rate Differential Puzzle Revisited: Evidence from Non-Stationary Panel Data. Bank of England Working Paper 138.

Einzig, P., 1937. The Theory of Forward Exchange. Macmillian, London.

Errunza, V., Losq, E., 1989. Capital Flow Controls, International Asset Pricing, and Investors' Welfare: A Multi-Country Framework. The Journal of Finance 44, 1025-1037.

Eun, C. S., Claessens, S., Jun, K. W., 1995. Pricing Externalities in the World Financial Markets: Theory and Policy Implications. Pacific-Basin Finance Journal 3, 31-55.

Frankel, J., Schmukler, S., 1998. Crisis, Contagion and Country Funds. In: Glick, R. (ed.) Managing Capital Flows and Exchange Rates. Cambridge University Press.

Frankel, J., Schmukler, S., 2000. Country Funds and Asymmetric Information. International Journal of Finance and Economics 5, 177-195.

Froot, K. A., Dabora, E. A., 1999. How Are Stock Prices Affected by the Location of Trade. Journal of Financial Economics 53, 189-216.

Froot, K. A., Obstfeld, M., 1991. Exchange-Rate Dynamics under Stochastic Regime Shifts: A Unified Approach. Journal of International Economics 31, 203-229.

Gagnon, L., Karolyi, G., 2004. Multi-Market Trading and Arbitrage. Mimeo, Queen’s University and Ohio State University.

Gozzi, J. C., Levine, R., Schmukler, S., 2006. Internationalization and the Evolution of Corporate Valuation. Journal of Financial Economics, forthcoming.

Hansen, B. E., 1997. Inference in TAR models. Studies in Non-Linear Dynamics and Econometrics 2, 1-14.

Imbs, J., Mumtaz, H., Ravn, M. O., Rey, H., 2003. Non-Linearities and Real Exchange Rate Dynamics. Journal of the European Economic Association 1, 639-649.

Imbs, J., Mumtaz, H., Ravn, M. O., Rey, H., 2005. PPP Strikes Back: Aggregation and the Real Exchange Rate. Quarterly Journal of Economics 120, 1-43.

Johansson, M. W., 2001. TAR Models and Real Exchange Rates. Working Paper Lund University Department of Economics 2001:21.

Juhl, T., Miles, W., Weidenmier, M., 2006. Covered Interest Arbitrage: Then vs. Now. Economica 73, 341-352.

Lamont, O.A., Thaler, R. H., 2003. Anomalies, The Law of One Price in Financial Markets. Journal of Economic Perspectives 17, 191-202.

Lee, C., Shleiffer A., Thaler, R., 1990. Anomalies: Closed-End Mutual Funds. Journal of Economic Perspectives 4, 153-164.

Lee, C., Shleiffer A., Thaler, R., 1991. Investor Sentiment and the Closed-end Fund Puzzle. Journal of Finance 46, 75-109.

Levine, R., Schmukler, S., 2006. Internationalization and Stock Market Liquidity. Review of Finance-Journal of the European Finance Association 10, 153-187.

Levine, R., Schmukler, S., 2007. Migration, Spillovers, and Trade Diversion: The Impact of Internationalization on Domestic Stock Market Liquidity. Journal of Banking & Finance 31, 1595-1612.

Levy Yeyati, E., Schmukler, S., Van Horen, N., 2004. The Price of Inconvertible Deposits: The Stock Market Boom during the Argentine Crisis. Economic Letters 83, 7-13.

Levy Yeyati, E., Schmukler, S., Van Horen, N., 2006. International Financial Integration through the Law of One Price. World Bank Policy Research Working Paper 3897.

Levy Yeyati, E., Uribe, A., 2000. Crisis, Contagion and the Closed-End Country Fund Puzzle. IMF Staff Papers 47, 54-89.

MacDonald R., Nagayasu, J., 2000. The Long-Run Relationship between Real Exchange Rates and Real Interest Rate Differentials: A Panel Study. IMF Staff Papers 47, 116- 128.

Mancuso, A. J., Goodwin, B. K., Grennes, T. J., 2003. Nonlinear Aspects of Capital Market Integration and Real Interest Rate Equalization. International Review of Economics and Finance 3, 283-303.

Masih, R., Masih, A. M. M., 2001. Long and Short Term Dynamic Causal Transmission amongst International Stock Markets. Journal of International Money and Finance 20, 563-587.

Melvin, M., 2003. A Stock Market Boom during a Financial Crisis? ADRs and Capital Outflows in Argentina. Economics Letters 81, 129-136.

Meese, R. A., Rogoff, K., 1988. Was It Real? The Exchange Rate-Interest Differential Relation over the Modern Floating-Rate Period. Journal of Finance 43, 933-948.

Michael, P., Nobay, R. A., Peel, D. A., 1997. Transaction Costs and Nonlinear Adjustment in Real Exchange Rates: An Empirical Investigation. Journal of Political Economy 105, 862-879.

Obstfeld, M. and A. M. Taylor, 1997. Non-linear Aspects of Goods-Market Arbitrage and Adjustment: Heckscher’s Commodity Points Revisited. Journal of the Japanese and International Economies 11, 441-479.

Obstfeld, M., Taylor, A. M., 2002. Globalization and Capital Markets. In Bordo, M. D., Taylor, A. M., Williamson, J. G., (eds). Globalization and Capital Markets. University of Chicago Press.

Pasquariello, P., 2007. The Anatomy of Financial Crises: Evidence from the Emerging ADR Market. Mimeo University of Michigan.

Peel, D. A., Taylor, M. P., 2002. Covered Interest Rate Arbitrage in the Interwar Period and the Keynes-Einzig Conjecture. Journal of Money, Credit, and Banking 34, 51-75.

Prasad, E. S., Rogoff, K., Wei, S. J., Kose, M. A., 2003. Effects of Financial Globalization on Developing Countries: Some Empirical Evidence. International Monetary Fund Occasional Paper 220.

Rabinovitch, R., Silva, A. C., Susmel, R., 2003. Returns on ADRs and Arbitrage in Emerging Markets. Emerging Markets Review 4, 225-247.

Scheicher, M., 2001. The Comovements of Stock Markets in Hungary, Poland, and the Czech Republic. International Journal of Finance and Economics 6, 27-39.

Schmukler, S., Serven, L., 2002. Pricing Currency Risk under Currency Boards. Journal of Development Economics 69, 367-391.

Sercu, P., Uppal, R., Van Hulle, C., 1995. The Exchange Rate in the Presence of Transaction Costs: Implications for Tests of Purchasing Power Parity. Journal of Finance 50, 1309-1319.

Soydemir, G., 2000. International Transmission Mechanism of Stock Market Movements: Evidence from Emerging Equity Markets. Journal of Forecasting 19, 149-176.

Tong, H., Lim, K. S., 1980. Threshold Autoregression, Limit Cycles and Cyclical Data. Journal of the Royal Statistical Society 42, 245-292.

Tong H., 1983. Threshold Models and Non-linear Time Series Analysis. Lecture Notes in Statistics Volume 21. Springer-Verlag, Heidelberg.

Tong, H., 1978. On a Threshold Model. In Chen, C. H. (ed.). Pattern Recognition and Signal Processing. Sijthoff and Noordoff, Amsterdam.

Yang S.Y., 2007. Intra-Day Return and Volatility Dynamics between Japanese ADRs and their Underlying Securities. Applied Financial Economics 1, 837-853.

Download this Discussion Paper [ PDF 755.8KB| 39 pages ].

Comment(s)

There are [0] comment(s) for this entry. Post a comment.