Research Catalog

Title

The Internationalization of equity markets / edited by Jeffrey A. Frankel.

Publication

Chicago, IL : University of Chicago Press, [1994], ©1994.

Items in the Library & Off-site

Holdings

Details

Additional Authors

Frankel, Jeffrey A.

Description

ix, 415 pages : illustrations; 24 cm.

Summary

• This timely volume addresses important recent trends in the internationalization of equity markets.
• These trends include increasing securitization as many countries come to rely more than ever before on markets in equities and bonds, extensive market integration through foreign investment and resulting links among stock prices around the world, and the opening of national financial systems of newly industrializing countries to international financial flows and institutions as governments remove capital controls and other barriers.
• Eight essays examine such issues as the current extent of international market integration, gains to U.S. investors through international diversification, fundamental macroeconomic determinants of securities prices, home-country bias in investing, securities transactions taxes, the role of time and location around the world in stock trading, and the behavior of country funds.
• Other long-standing questions about equity markets are also addressed, such as market efficiency and the accuracy of models of expected returns, including a particular focus on variances, covariances, and the price of risk, as in the Capital Asset Pricing Model. The Internationalization of Equity Markets will interest academic and business economists concerned with stock market behavior around the world.

Series Statement

A National Bureau of Economic Research project report

Uniform Title

National Bureau of Economic Research project report.

Subject

• Securities > Congresses
• International finance > Congresses
• Stock exchanges > Congresses
• Portfolio management > Congresses
• Investments, Foreign > Congresses

Note

• "The papers were originally presented at a conference held in San Francisco, California, on October 1-2, 1993" -- Pref.

Bibliography (note)

• Includes bibliographical references and indexes.

Contents

Introduction / Jeffrey A. Frankel -- 1. A Test of the International CAPM Using Business Cycles Indicators as Instrumental Variables / Bernard Dumas -- 2. An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns / Wayne Ferson and Campbell R. Harvey -- 3. Tests of CAPM on an International Portfolio of Bonds and Stocks / Charles M. Engel -- 4. International Equity Transactions and U.S. Portfolio Choice / Linda L. Tesar and Ingrid M. Werner -- 5. The Effect of Barriers to Equity Investment in Developing Countries / Stijn Claessens and Moon-Whoan Rhee -- 6. International Experiences with Securities Transaction Taxes / John Y. Campbell and Kenneth A. Froot -- 7. Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets / Wen-Ling Lin and Takatoshi Ito -- 8. What Moves the Discount on Country Equity Funds? / Gikas Hardouvelis, Rafael La Porta and Thierry A. Wizman.

ISBN

0226260011 (alk. paper)

LCCN

94025987

OCLC

• 30667643
• ocm30667643

Owning Institutions

Columbia University Libraries