The focus of this thesis is on the emerging markets. It assesses intra- and inter-market

mean and volatility spillover, investigates the impact of the Mexican currency crisis

on international portfolio diversification, and employ international asset pricing to test

the integration of the emerging markets

Hunter, Delroy M.

English

Warwick Research Archives Portal Repository

A Capital Asset Pricing Model with Time-Varying Covariances, &quot;

A Further Analysis of the Lead-Lag Relationship Between Cash Market and the Stock Index Futures Market, &quot;

A New Approach to International Arbitrage Pricing, &quot;

A S., (MSCI)

A Test of Increased Capital Market Integration, &quot;

A Unified Beta Pricing Theory, &quot;

A Variance Decomposition for Stock Returns, &quot;

An Intertemporal Model of International Capital Market Segmentation, &quot;

An Introduction to Multivariate Statistical Analysis,

Anomalies in Relationships Between Securities' Yields and Yield Surrogates, &quot;

ARCH Modeling in Finance: A Review of Theory and Empirical Evidence, &quot;

ARCH Models: Properties, Estimation and Testing, &quot;

Asset Pricing and Dual Listing on Foreign Capital Markets: A Note, &quot;

Asset Pricing and Portfolio Diversification: Evidence form Emerging Financial Markets, &quot; USC WP

Asymmetric Predictability of Conditional Variances, &quot;

Bank of New York (BNY), Global Offerings of Depositary Receipts: A Transaction Guide

Benefits of International Diversification: The Case of the Pacific Basin Stock Markets, &quot;

Capital Market Equilibrium with Restricted Borrowing, &quot;

Capital Market Integration, Volatility and Persistence, &quot; NBER WP #5241,

Characterizing Predictable Components

Comparative Analysis of Risk Measures: France and the United States, &quot;

Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts, &quot;

Consumption Risk and International Equilibrium Returns: Some Empirical Evidence, &quot;

Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence, &quot;

Default Premiums in Commodity Markets: Theory and Evidence, &quot;

Depositary Receipts, Country Funds, and the Peso Crash: The Intraday Evidence. &quot; Cornell University WP,

Diversification, Integration and Emerging Market Closedend Funds, &quot;

Does the Stock Market Overreact?, &quot;

Economic Forces and the Stock Market, &quot;

Emerging Equity Market Volatility, &quot;

Emerging Stock Markets and International Asset Pricing, &quot;

Estimating and Adjusting for the Intervalling-Effect Bias in Beta, &quot;

Estimating Betas on Daily Data for a Small Stock Market, &quot;

Estimation and Inference in Nonlinear Structural Models, &quot;

Exchange Rate Fluctuations, Political Risk, and Stock Returns: Some Evidence from an Emerging Market, &quot;

Expected Returns and Economic Factors: A GARCH Approach, &quot;

Friction in the Trading Process and the Estimation of Systematic Risk, &quot;

Generalized Autoregressive Conditional Heteroskedasticity, &quot;

Global Financial Markets and the Risk Premium on US Equity, &quot;

Good News, Bad News, Volatility and Betas, &quot;

Home Bias in Equity Portfolios, Inflation Hedging, and International Capital Market Equilibrium&quot; Review o Financial Studies, 7,

International Arbitrage Pricing Theory: An Empirical Investigation, &quot;

International Capital Market Equilibrium with Investment Barriers&quot;,

International Diversification through Closed-End Country Funds, &quot;

International Investment Restrictions and Closed-End Country Fund Prices, &quot;

International Listings and Stock Returns: Some Empirical Evidence, &quot;

International Portfolio Choice and Corporation Finance: A Synthesis, &quot;

International Stock Market Linkages: Evidence from the Pre- and Post-October

Intra-day and Inter-Market Volatility in Foreign Exchange Rates, &quot; Review of Economic Statistics,

Investment Performance of Common Stocks' in Relation to Their PriceEarnings Ratios: A Test of the Efficient Market Hypothesis, &quot;

Market Integration and Investment Barriers in Emerging Equity Markets, &quot;

Market Microstructure and Asset Pricing: On the Compensation for Illiquidity in Stock Returns, &quot;

Measurement of Market Integration and Arbitrage, &quot;

Measuring International Economic Linkages with Stock Market Data, &quot;

Modeling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized ARCH Model, &quot; The Review of Economics and Statistics,

Nonstationary Expected Returns: Implications for Tests of Market Efficiency and Serial Correlation in Returns, &quot;

Nonsynchronous Security Trading and Market Index Autocorrelation, &quot;

On the Assessment of Risk, &quot;

On the Existence of Serial Correlation

Order Imbalances and Stock Price Movements on October 19 and 20,1987, &quot;

Portfolio Theory, &quot;

Predictable Stock Returns in US and Japan: A Study of Long-term Stock Market Integration, &quot;

Private Information, Trading Volume, and Stock-Return Variances, &quot;

Quasi-maximum Likelihood Estimation and Inference in Dynamic Models With Time-Varying Covariances, &quot;

Some Evidence on the

Speculative Dynamics, &quot;

Stock Market Development and Financial Intermediaries: Stylized Facts, &quot; World Bank,

Stock Market Volatility and the Information Content of Stock Index Options, &quot;

Testing the CAPM with Time-Varying Risk and Returns, &quot;

The Arbitrage Pricing Theory and Multifactor Models of Asset Returns, &quot;

The Cross-Section of Stock Returns: Evidence from Emerging Markets, &quot; World Bank Policy Research,

The Determinants of Common Stock Returns Volatility:

The Econometrics of Financial Markets, &quot;

The Emergence of Equity Investment in Developing Countries: Overview, &quot;

The Implications of the Home Bias in Equity Portfolios&quot; Business Strategy Review,

The International Transmission of Stock Market Fluctuation between the Developed Markets and the Asian-Pacific Markets, &quot;

The Microstructure of Securities Markets, &quot;

The Relationship Between Earnings Yield, Market Value and Return for NYSE Common Stocks: Further Evidence, &quot;

The Relationship Between Return and Market Value of Common Stocks, &quot;

The Returns Generation Process, Returns Variance, and the Effect of Thinness in Securities Markets, &quot;

Theoretical Relations Between Risk Premiums and Conditional Variances, &quot;

Time-Varying World Market Integration, &quot; NBER WP #4843,

Volatility Bounds for Stochastic Discount Factors: Tests and

What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns, &quot;

Integration, diversification, and spillover : an assessment of the emerging markets using American Depository Receipts (ADRs)

http://wrap.warwick.ac.uk/4003/1/WRAP_THESIS_Hunter_1999.pdf

Integration, diversification, and spillover : an assessment of the emerging markets using American Depository Receipts (ADRs)

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