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Kate Phylaktis

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Kate Phylaktis & Lichuan Xia, 2004. "Sources of Industry and Country Effects in Firm Level Returns," Money Macro and Finance (MMF) Research Group Conference 2004 10, Money Macro and Finance Research Group.

    Cited by:

    1. Lee, Chien-Chiang & Chen, Mei-Ping & Chang, Chi-Hung, 2014. "Industry co-movement and cross-listing: Do home country factors matter?," Japan and the World Economy, Elsevier, vol. 32(C), pages 96-110.

  2. Ms. Kate Phylaktis, 1995. "Capital Market Integration in the Pacific Basin Region: An Analysis of Real Interest Rate Linkages," IMF Working Papers 1995/133, International Monetary Fund.

    Cited by:

    1. Aggarwal, Raj & Mougoue, Mbodja, 1998. "Common Stochastic Trends among Asian Currencies: Evidence for Japan, ASEANs, and the Asian Tigers," Review of Quantitative Finance and Accounting, Springer, vol. 10(2), pages 193-206, March.
    2. Ji, Philip Inyeob & Kim, Jae H., 2009. "Real interest rate linkages in the Pacific-Basin region," International Review of Economics & Finance, Elsevier, vol. 18(3), pages 440-448, June.
    3. Ibrahim, M.H, 2004. "A VAR Analysis of US and Japanese Effects on Malaysian Aggregate and Sectoral Output," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 1(1), pages 5-28.
    4. Phylaktis, Kate & Ravazzolo, Fabiola, 2005. "Stock prices and exchange rate dynamics," Journal of International Money and Finance, Elsevier, vol. 24(7), pages 1031-1053, November.
    5. Angelos Kanas & Georgios Tsiotas, 2005. "Real interest rates linkages between the USA and the UK in the postwar period," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(3), pages 251-262.
    6. Cécile Couharde & Cyriac Guillaumin, 2011. "Chocs externes et perspective d'union monétaire en Asie de l'Est : les enseignements d'un modèle VAR structurel," Post-Print halshs-00632373, HAL.
    7. de Brouwer,Gordon, 1999. "Financial Integration in East Asia," Cambridge Books, Cambridge University Press, number 9780521651486, January.
    8. Chan, Tze-Haw, 2012. "Assessing the international parity conditions and transmission mechanism for Malaysia-China," MPRA Paper 38930, University Library of Munich, Germany.
    9. Otilia-Roxana Oprea & Ovidiu Stoica, 2018. "Capital Markets Integration and Economic Growth," Montenegrin Journal of Economics, Economic Laboratory for Transition Research (ELIT), vol. 14(3), pages 23-35.
    10. Chien, Mei-Se & Lee, Chien-Chiang & Hu, Te-Chung & Hu, Hui-Ting, 2015. "Dynamic Asian stock market convergence: Evidence from dynamic cointegration analysis among China and ASEAN-5," Economic Modelling, Elsevier, vol. 51(C), pages 84-98.
    11. Zixiong Xie & Shyh-Wei Chen & An-Chi Wu, 2023. "Real interest rate parity in the Pacific Rim countries: new empirical evidence," Empirical Economics, Springer, vol. 64(3), pages 1471-1515, March.
    12. Chan, Tze-Haw & Khong, Wye Leong Roy & Baharumshah, Ahmad Zubaidi, 2003. "Dynamic Financial Linkages of Japan and ASEAN Economies: An Application of Real Interest Parity," MPRA Paper 2209, University Library of Munich, Germany, revised 2003.
    13. Kim, Suk-Joong, 2005. "Information leadership in the advanced Asia-Pacific stock markets: Return, volatility and volume information spillovers from the US and Japan," Journal of the Japanese and International Economies, Elsevier, vol. 19(3), pages 338-365, September.
    14. Baharumshah, Ahmad Zubaidi & Chan, Tze-Haw & Masih, A. Mansur A., 2005. "Financial Integration of East Asian Economies: Evidence from Real Interest Parity," MPRA Paper 2210, University Library of Munich, Germany, revised 2007.
    15. Sergei A. Aivazian & Mikhail Yu. Afanasiev & Alexander V. Kudrov, 2018. "Indicators of Regional Development Using Differentiation Characteristics," Montenegrin Journal of Economics, Economic Laboratory for Transition Research (ELIT), vol. 14(3), pages 7-22.
    16. Hazar Altinbas, 2020. "Examining Time-Varying Integrity And Interrelationships Among Global Stock Markets," International Journal of Economic Sciences, International Institute of Social and Economic Sciences, vol. 9(1), pages 1-24, June.
    17. Zhaoyong Zhang & Kiyotaka Sato & Michael McAleer, 2003. "Asian Monetary Integration: A Structural VAR Approach," CIRJE F-Series CIRJE-F-212, CIRJE, Faculty of Economics, University of Tokyo.
    18. Chan, Tze-Haw, 2008. "International Parities among China and Her Major Trading Partners in Asia Pacific," MPRA Paper 15504, University Library of Munich, Germany, revised 06 Apr 2009.
    19. Baharumshah, Ahmad Zubaidi & Haw, Chan Tze & Fountas, Stilianos, 2005. "A panel study on real interest rate parity in East Asian countries: Pre- and post-liberalization era," Global Finance Journal, Elsevier, vol. 16(1), pages 69-85, August.
    20. Chan, Tze-Haw, 2002. "Dynamic financial linkages among the Asia Pacific economies: an empirical assessment of real interest parity condition," MPRA Paper 34642, University Library of Munich, Germany.
    21. Nick Durack & Robert B. Durand & Ross A. Maller, 2004. "A best choice among asset pricing models? The Conditional Capital Asset Pricing Model in Australia," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 44(2), pages 139-162, July.
    22. Holmes, Mark J. & Maghrebi, Nabil, 2006. "Are international real interest rate linkages characterized by asymmetric adjustments?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(4), pages 384-396, October.
    23. Holmes, Mark J. & Maghrebi, Nabil, 2004. "Asian real interest rates, nonlinear dynamics, and international parity," International Review of Economics & Finance, Elsevier, vol. 13(4), pages 387-405.
    24. Phylaktis, Kate, 1999. "Capital market integration in the Pacific Basin region: an impulse response analysis," Journal of International Money and Finance, Elsevier, vol. 18(2), pages 267-287, February.
    25. Lin, Tsoyu Calvin & Lin, Zong-Han, 2011. "Are stock and real estate markets integrated? An empirical study of six Asian economies," Pacific-Basin Finance Journal, Elsevier, vol. 19(5), pages 571-585, November.

  3. Mr. Mark P. Taylor & Ms. Kate Phylaktis, 1991. "The Demand for Money During High Inflation Episodes: Some Latin American Evidenceon the Cagan Model," IMF Working Papers 1991/048, International Monetary Fund.

    Cited by:

    1. James Boughton, 1992. "International comparisons of money demand," Open Economies Review, Springer, vol. 3(3), pages 323-343, October.

Articles

  1. Aftab, Muhammad & Phylaktis, Kate, 2022. "Economic integration and exchange market pressure in a policy uncertain world," Journal of International Money and Finance, Elsevier, vol. 128(C).

    Cited by:

    1. Panagiotis E. Petrakis & Anna-Maria Kanzola & Ioannis Lomis, 2024. "Adapting to Multipolarity: Insights from Iterated Game Theory Simulations—A Preliminary Study on Hypothetical Optimal Global Cooperation," JRFM, MDPI, vol. 17(8), pages 1-21, August.
    2. Mengting Zhang & Andreas Steiner & Jakob de Haan & Haizhen Yang, 2024. "Capital Flow Reversals and Currency Crises: Do Capital Flow Types Matter?," CESifo Working Paper Series 11008, CESifo.
    3. Junguo Hua & Hui Li & Zejun He & Jing Ding & Futong Jin, 2022. "The Microcosmic Mechanism and Empirical Test of Uncertainty on the Non-Linear Fluctuation of Chinese Grain Prices-Based on the Perspective of Global Economic Policy Uncertainty," Agriculture, MDPI, vol. 12(10), pages 1-17, September.

  2. Muhammad Aftab & Rubi Ahmad & Izlin Ismail & Kate Phylaktis, 2021. "Economic integration and the currency and equity markets nexus," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5278-5301, October.

    Cited by:

    1. Adu, Raymond & Litsios, Ioannis & Baimbridge, Mark, 2022. "ECOWAS single currency: Prospective effects on trade," Journal of International Money and Finance, Elsevier, vol. 126(C).
    2. Simran, & Sharma, Anil Kumar, 2024. "Asymmetric nexus between economic policy uncertainty and the Indian stock market: Evidence using NARDL approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 93(C), pages 91-101.
    3. Nusair, Salah A. & Al-Khasawneh, Jamal A., 2022. "Impact of economic policy uncertainty on the stock markets of the G7 Countries:A nonlinear ARDL approach," The Journal of Economic Asymmetries, Elsevier, vol. 26(C).
    4. Sokhanvar, Amin & Çiftçioğlu, Serhan & Hammoudeh, Shawkat, 2024. "Comparative analysis of the exchange rates-stock returns nexus in commodity-exporters and -importers before and during the war in Ukraine," Research in International Business and Finance, Elsevier, vol. 67(PB).
    5. Aftab, Muhammad & Phylaktis, Kate, 2022. "Economic integration and exchange market pressure in a policy uncertain world," Journal of International Money and Finance, Elsevier, vol. 128(C).

  3. Banti, Chiara & Phylaktis, Kate, 2019. "Global liquidity, house prices and policy responses," Journal of Financial Stability, Elsevier, vol. 43(C), pages 79-96.

    Cited by:

    1. Zhong, Changbiao & Xie, Lijuan & Shi, Yu & Xu, Xiangyun, 2023. "Macro-prudential policy, its alignment with monetary policy and house price growth: A cross-country study," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 51-62.
    2. Clark, Brian & Hasan, Iftekhar & Lai, Helen & Li, Feng & Siddique, Akhtar, 2021. "Consumer defaults and social capital⋆," Journal of Financial Stability, Elsevier, vol. 53(C).
    3. Pierre-Richard Agénor & Luiz Awazu Pereira da Silva, 2019. "Global Banking, Financial Spillovers, and Macroprudential Policy Coordination," BIS Working Papers 764, Bank for International Settlements.
    4. Kellard, Neil M & Kontonikas, Alexandros & Lamla, Michael J & Maiani, Stefano & Wood, Geoffrey, 2018. "Risk, Financial Stability and FDI," Essex Finance Centre Working Papers 23409, University of Essex, Essex Business School.
    5. Ales Melecky & Daniel Paksi, 2024. "Drivers of European housing prices in the new millennium: demand, financial, and supply determinants," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 51(3), pages 731-753, August.
    6. Dimitris Anastasiou & Panayotis Kapopoulos & Kalliopi-Maria Zekente, 2023. "Sentimental Shocks and House Prices," The Journal of Real Estate Finance and Economics, Springer, vol. 67(4), pages 627-655, November.
    7. Aftab, Muhammad & Phylaktis, Kate, 2022. "Economic integration and exchange market pressure in a policy uncertain world," Journal of International Money and Finance, Elsevier, vol. 128(C).
    8. Yang Zhou, 2022. "The Effects of Capital Controls on Housing Prices," Discussion Paper Series DP2022-29, Research Institute for Economics & Business Administration, Kobe University.
    9. Néstor Romero & Sungjun Cho & Stuart Hyde, 2023. "Financial development and the effect of cross‐border bank flows on house prices," The Financial Review, Eastern Finance Association, vol. 58(1), pages 39-63, February.

  4. Hearn, Bruce & Phylaktis, Kate & Piesse, Jenifer, 2017. "Expropriation risk by block holders, institutional quality and expected stock returns," Journal of Corporate Finance, Elsevier, vol. 45(C), pages 122-149.

    Cited by:

    1. Wang, Boya, 2018. "Ownership, institutions and firm value: Cross-provincial evidence from China," Research in International Business and Finance, Elsevier, vol. 44(C), pages 547-565.
    2. Adeabah, David & Abakah, Emmanuel Joel Aikins & Tiwari, Aviral Kumar & Hammoudeh, Shawkat, 2023. "How far have we come and where should we go after 30+ years of research on Africa's emerging financial markets? A systematic review and a bibliometric network analysis," Emerging Markets Review, Elsevier, vol. 55(C).
    3. Xu, Jian & Liu, Yu & Abdoh, Hussein, 2022. "Foreign ownership and productivity," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 624-642.
    4. Hearn, Bruce & Li, Jing & Mykhayliv, Dariya & Waqas, Muhammad, 2021. "Asset pricing in the Middle East’s equity markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).

  5. Bussière, Mattieu & Phylaktis, Kate, 2016. "Emerging markets finance: Issues of international capital flows, Overview of the special issue," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 1-7.

    Cited by:

    1. Muhammad Aftab & Syed Zulfiqar Ali Shah & Izlin Ismail, 2019. "Does Gold Act as a Hedge or a Safe Haven against Equity and Currency in Asia?," Global Business Review, International Management Institute, vol. 20(1), pages 105-118, February.
    2. Aftab, Muhammad & Ahmad, Rubi & Ismail, Izlin, 2018. "Examining the uncovered equity parity in the emerging financial markets," Research in International Business and Finance, Elsevier, vol. 45(C), pages 233-242.

  6. Fuertes, Ana-Maria & Phylaktis, Kate & Yan, Cheng, 2016. "Hot money in bank credit flows to emerging markets during the banking globalization era," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 29-52.

    Cited by:

    1. Wang, Xichen & Duan, Xiaomei, 2024. "What leads some countries to experience larger decreases in foreign flows during low-flow episodes? Evidence from international portfolio flows," Journal of International Money and Finance, Elsevier, vol. 148(C).
    2. Hardik A. Marfatia, 2016. "The Role of Push and Pull Factors in Driving Global Capital Flows," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot GmbH, Berlin, vol. 62(2), pages 117-146.
    3. Wang, Xichen & Yan, Ji (Karena) & Yan, Cheng & Gozgor, Giray, 2021. "Emerging stock market exuberance and international short-term flows," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
    4. Xichen Wang & Cheng Yan, 2022. "Does the Relative Importance of the Push and Pull Factors of Foreign Capital Flows Vary Across Quantiles?," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 70(2), pages 252-299, June.
    5. Yan, Cheng & Phylaktis, Kate & Fuertes, Ana-Maria, 2016. "On cross-border bank credit and the U.S. financial crisis transmission to equity markets," Journal of International Money and Finance, Elsevier, vol. 69(C), pages 108-134.
    6. Wira Ganet Aribowo, 2018. "Analysis of foreign direct investment as a comparison of macroeconomic factors in seven countries Asean 5, China and Japan during period 1996-2015," Journal of Economic Development, Environment and People, Alliance of Central-Eastern European Universities, vol. 7(4), pages 29-42, December.
    7. Cheng Yan, 2018. "Hot money in disaggregated capital flows," The European Journal of Finance, Taylor & Francis Journals, vol. 24(14), pages 1190-1223, September.
    8. Tang, Chun & Liu, Xiaoxing & Zhou, Donghai, 2022. "Financial market resilience and financial development: A global perspective," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    9. Yan, Cheng & Wang, Xichen, 2018. "The non-persistent relationship between foreign equity flows and emerging stock market returns across quantiles," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 56(C), pages 38-54.
    10. Zhang, Yihao & Chen, Fang & Huang, Jian & Shenoy, Catherine, 2019. "Hot money flows and production uncertainty: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
    11. Shi, Yukun & Stasinakis, Charalampos & Xu, Yaofei & Yan, Cheng, 2022. "Market co-movement between credit default swap curves and option volatility surfaces," International Review of Financial Analysis, Elsevier, vol. 82(C).
    12. Zhang, Jinhua & Wang, Guipu & Yan, Cheng, 2020. "Can foreign equity funds outperform their benchmarks? New evidence from fund-holding data for China," Economic Modelling, Elsevier, vol. 90(C), pages 11-20.
    13. Fang, Jianchun & Gozgor, Giray & Lau, Chi-Keung Marco & Wu, Wanshan & Yan, Cheng, 2020. "Listed zombie firms and top executive gender: Evidence from an emerging market," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).

  7. Yan, Cheng & Phylaktis, Kate & Fuertes, Ana-Maria, 2016. "On cross-border bank credit and the U.S. financial crisis transmission to equity markets," Journal of International Money and Finance, Elsevier, vol. 69(C), pages 108-134.

    Cited by:

    1. Wang, Xichen & Yan, Ji (Karena) & Yan, Cheng & Gozgor, Giray, 2021. "Emerging stock market exuberance and international short-term flows," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
    2. Solikin M. Juhro & Bernard Njindan Iyke & Paresh Kumar Narayan, 2021. "Capital Flow Dynamics And The Synchronization Of Financial Cycles And Business Cycles In Emerging Market Economies," Working Papers WP/02/2021, Bank Indonesia.
    3. Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier, 2017. "The kidnapping of Europe: High-order moments' transmission between developed and emerging markets," Emerging Markets Review, Elsevier, vol. 31(C), pages 96-115.
    4. Bathia, Deven & Bouras, Christos & Demirer, Riza & Gupta, Rangan, 2020. "Cross-border capital flows and return dynamics in emerging stock markets: Relative roles of equity and debt flows," Journal of International Money and Finance, Elsevier, vol. 109(C).
    5. Iván Arribas & Jesús Peiró-Palomino & Emili Tortosa-Ausina, 2015. "Is full banking integration desirable?," Working Papers 2015/05, Economics Department, Universitat Jaume I, Castellón (Spain).
    6. Zhang, Jinhua & Wang, Guipu & Yan, Cheng, 2020. "Can foreign equity funds outperform their benchmarks? New evidence from fund-holding data for China," Economic Modelling, Elsevier, vol. 90(C), pages 11-20.
    7. Jiang, Hai & Tang, Shenfeng & Li, Lifang & Xu, Fangming & Di, Qian, 2022. "Re-examining the Contagion Channels of Global Financial Crises: Evidence from the Twelve Years since the US Subprime Crisis," Research in International Business and Finance, Elsevier, vol. 60(C).
    8. Fang, Jianchun & Gozgor, Giray & Lau, Chi-Keung Marco & Wu, Wanshan & Yan, Cheng, 2020. "Listed zombie firms and top executive gender: Evidence from an emerging market," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).
    9. Miriam Sosa & Edgar Ortiz & Alejandra Cabello, 2019. "International Financial US Linkages: Networks Theory and MS-VAR Analyses," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 14(PNEA), pages 459-584, Agosto 20.

  8. Banti, Chiara & Phylaktis, Kate, 2015. "FX market liquidity, funding constraints and capital flows," Journal of International Money and Finance, Elsevier, vol. 56(C), pages 114-134.

    Cited by:

    1. Yamani, Ehab, 2019. "Diversification role of currency momentum for carry trade: Evidence from financial crises," Journal of Multinational Financial Management, Elsevier, vol. 49(C), pages 1-19.
    2. Huang, Sherena S., 2024. "Liquidity dynamics between virtual and equity markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
    3. Chiu, Junmao & Lien, Donald & Tsai, Wei-Che, 2023. "Global financial crisis, funding constraints, and liquidity of VIX futures," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
    4. Banti, C, 2015. "Illiquidity in the stock and FX markets: an investigation of their cross-market dynamics," Essex Finance Centre Working Papers 15626, University of Essex, Essex Business School.
    5. Serdengeçti, Süleyman & Sensoy, Ahmet & Nguyen, Duc Khuong, 2021. "Dynamics of return and liquidity (co) jumps in emerging foreign exchange markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
    6. Ingomar Krohn & Vladyslav Sushko, 2020. "FX spot and swap market liquidity spillovers," BIS Working Papers 836, Bank for International Settlements.
    7. Banti, Chiara & Phylaktis, Kate, 2019. "Global liquidity, house prices and policy responses," Journal of Financial Stability, Elsevier, vol. 43(C), pages 79-96.
    8. Sheng Huang & Jonathan Williams & Ru Xie, 2017. "The Future of Money: Liquidity co-movement between financial institutions and real estate firms: evidence from China," Working Papers 17004, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
    9. Sensoy, Ahmet & Serdengeçti, Süleyman, 2020. "Impact of portfolio flows and heterogeneous expectations on FX jumps: Evidence from an emerging market," International Review of Financial Analysis, Elsevier, vol. 68(C).
    10. Geyikçi, Utku Bora & Özyıldırım, Süheyla, 2023. "Deviations from covered interest parity in the emerging markets after the global financial crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
    11. Yamani, Ehab, 2021. "Foreign exchange market efficiency and the global financial crisis: Fundamental versus technical information," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 74-89.
    12. Chiara Banti, 2016. "Illiquidity In The Stock And Foreign Exchange Markets: An Investigation Of Their Cross-Market Dynamics," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 39(4), pages 411-436, December.
    13. David Castañeda-Arévalo & Fredy Gamboa-Estrada, 2021. "Los determinantes de la liquidez en Colombia: un análisis del mercado de divisas de contado," Borradores de Economia 1185, Banco de la Republica de Colombia.
    14. Aftab, Muhammad & Phylaktis, Kate, 2022. "Economic integration and exchange market pressure in a policy uncertain world," Journal of International Money and Finance, Elsevier, vol. 128(C).
    15. Chang, Ya-Ting & Gau, Yin-Feng & Hsu, Chih-Chiang, 2022. "Liquidity spillover in foreign exchange markets," Finance Research Letters, Elsevier, vol. 44(C).
    16. Chiu, Junmao & Chung, Huimin, 2019. "Legal institutions and fragile financial markets," Journal of International Money and Finance, Elsevier, vol. 93(C), pages 277-298.
    17. Thapa, Chandra & Neupane, Suman & Marshall, Andrew, 2016. "Market liquidity risks of foreign exchange derivatives and cross-country equity portfolio allocations," Journal of Multinational Financial Management, Elsevier, vol. 34(C), pages 46-64.
    18. Orlov, Vitaly, 2016. "Currency momentum, carry trade, and market illiquidity," Journal of Banking & Finance, Elsevier, vol. 67(C), pages 1-11.
    19. Lee, Jieun & Ryu, Doojin, 2019. "How does FX liquidity affect the relationship between foreign ownership and stock liquidity?," Emerging Markets Review, Elsevier, vol. 39(C), pages 101-119.

  9. Muradoğlu, Yaz Gülnur & Onay, Ceylan & Phylaktis, Kate, 2014. "European integration and corporate financing," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 138-157.

    Cited by:

    1. Alves, Paulo & Francisco, Paulo, 2015. "The impact of institutional environment on the capital structure of firms during recent financial crises," The Quarterly Review of Economics and Finance, Elsevier, vol. 57(C), pages 129-146.
    2. Giorgio Barba Navaretti & Giacomo Calzolari & Gianmarco Ottaviano & Alberto Franco Pozzolo, 2019. "Capital Market Union and Growth Prospects for Small and Medium Enterprises," Development Working Papers 449, Centro Studi Luca d'Agliano, University of Milano.
    3. Alves, Paulo & Francisco, Paulo, 2013. "The Impact of Institutional Environment in Firms´ Capital Structure during the Recent Financial Crises," MPRA Paper 51300, University Library of Munich, Germany.

  10. Kate Phylaktis & Gikas Manalis, 2013. "Futures trading and market microstructure of the underlying security: A high frequency experiment at the single stock future level," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 13(4), pages 79-92, December.

    Cited by:

    1. Petar Peshev, 2021. "Analyzing CFD Retail Investors' Performance in a Post MiFID II Environment," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 4, pages 53-73.

  11. Kate Phylaktis & Antonis Aristidou, 2013. "Margin Changes and Futures Trading Activity: a New Approach," European Financial Management, European Financial Management Association, vol. 19(1), pages 45-71, January.

    Cited by:

    1. Zhang, Xiaotao & Zhao, Yuepeng & Wang, Ziqiao, 2024. "Do loosened trading rules restore the stock index futures price discovery ability in China?," International Review of Economics & Finance, Elsevier, vol. 93(PB), pages 389-397.
    2. Alexander, Carol & Kaeck, Andreas & Sumawong, Anannit, 2019. "A parsimonious parametric model for generating margin requirements for futures," European Journal of Operational Research, Elsevier, vol. 273(1), pages 31-43.
    3. Charoula Daskalaki & George Skiadopoulos, 2014. "The Effects of Margin Changes on Commodity Futures Markets," Working Papers 736, Queen Mary University of London, School of Economics and Finance.
    4. Edward Curran & Jack Hunt & Vito Mollica, 2020. "Trading protocols and price discovery: Implicit transaction costs in Indian single stock futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(11), pages 1793-1806, November.

  12. Banti, Chiara & Phylaktis, Kate & Sarno, Lucio, 2012. "Global liquidity risk in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 31(2), pages 267-291.

    Cited by:

    1. Rossi, José Luiz Júnior, 2013. "Liquidity and Exchange Rates," Insper Working Papers wpe_325, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
    2. Yamani, Ehab, 2019. "Diversification role of currency momentum for carry trade: Evidence from financial crises," Journal of Multinational Financial Management, Elsevier, vol. 49(C), pages 1-19.
    3. Kitamura, Yoshihiro, 2016. "The probability of informed trading measured with price impact, price reversal, and volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 42(C), pages 77-90.
    4. Rossi Junior, Jose Luiz & Felicio, Wilson Rafael de Oliveira, 2014. "Common Factors and the Exchange Rate: Results From the Brazilian Case," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 68(1), April.
    5. Banti, C, 2015. "Illiquidity in the stock and FX markets: an investigation of their cross-market dynamics," Essex Finance Centre Working Papers 15626, University of Essex, Essex Business School.
    6. Jiang, Xue & Han, Liyan & Yin, Libo, 2019. "Can skewness predict currency excess returns?," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 628-641.
    7. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
    8. Ingomar Krohn & Vladyslav Sushko, 2020. "FX spot and swap market liquidity spillovers," BIS Working Papers 836, Bank for International Settlements.
    9. Felício, Wilson Rafael de Oliveira & Rossi, José Luiz Júnior, 2013. "Common factors and the exchange rate: results from the Brazilian case," Insper Working Papers wpe_318, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
    10. Lee, Taehyun & Moutzouris, Ioannis C & Papapostolou, Nikos C & Fatouh, Mahmoud, 2023. "Foreign exchange hedging using regime-switching models: the case of pound sterling," Bank of England working papers 1042, Bank of England.
    11. Thi Hong Hanh Pham, 2018. "Liquidity and exchange rate volatility," Working Papers halshs-01708633, HAL.
    12. Rasmus Fatum & Yohei Yamamoto, 2014. "Intra-safe haven currency behavior during the global financial crisis," Globalization Institute Working Papers 199, Federal Reserve Bank of Dallas.
    13. Nina Karnaukh & Angelo Ranaldo & Paul Söderlind, 2015. "Understanding FX Liquidity," The Review of Financial Studies, Society for Financial Studies, vol. 28(11), pages 3073-3108.
    14. Michael Melvin & Wenqiang Pan & Petra Wikstrom, 2020. "Retaining Alpha: The Effect of Trade Size and Rebalancing Frequency on FX Strategy Returns," CESifo Working Paper Series 8143, CESifo.
    15. Evans, Martin, 2020. "Exchange Rates and Liquidity Risk," MPRA Paper 102702, University Library of Munich, Germany.
    16. Charles Engel & Steve Pak Yeung Wu, 2023. "Liquidity and Exchange Rates: An Empirical Investigation," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 90(5), pages 2395-2438.
    17. Sensoy, Ahmet & Uzun, Sevcan & Lucey, Brian M., 2021. "Commonality in FX liquidity: High-frequency evidence," Finance Research Letters, Elsevier, vol. 39(C).
    18. José Luiz Rossi Júnior & Pedro Fontoura & Marina Rossi, 2023. "Are Global Factors Useful for Forecasting the Exchange Rate?," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 13(6), pages 1-14.
    19. Lilian de Menezes & Marianna Russo & Giovanni Urga, 2016. "Identifying Drivers of Liquidity in the NBP Month-ahead Market," EcoMod2016 9570, EcoMod.
    20. Chiara Banti, 2016. "Illiquidity In The Stock And Foreign Exchange Markets: An Investigation Of Their Cross-Market Dynamics," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 39(4), pages 411-436, December.
    21. Banti, Chiara & Phylaktis, Kate, 2015. "FX market liquidity, funding constraints and capital flows," Journal of International Money and Finance, Elsevier, vol. 56(C), pages 114-134.
    22. Li, Zhiyong & Lambe, Brendan & Adegbite, Emmanuel, 2018. "New bid-ask spread estimators from daily high and low prices," International Review of Financial Analysis, Elsevier, vol. 60(C), pages 69-86.
    23. Antonios K. Alexandridis & Mohammad S. Hasan, 2020. "Global financial crisis and multiscale systematic risk: Evidence from selected European stock markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 25(4), pages 518-546, October.
    24. Chih‐Chung Chien & Shikuan Chen & Ming‐Jen Chang, 2023. "A span of continuous trades and liquidity dynamics in foreign exchange markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 144-168, January.
    25. Michael King & Carol Osler & Dagfinn Rime, 2012. "The Market Microstructure Approach to Foreign Exchange: Looking Back and Looking Forward," Working Papers 54, Brandeis University, Department of Economics and International Business School.
    26. Jiang, Xue & Han, Liyan & Yin, Libo, 2019. "Currency strategies based on momentum, carry trade and skewness," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 517(C), pages 121-131.
    27. Schneider, Michael & Lillo, Fabrizio & Pelizzon, Loriana, 2016. "How has sovereign bond market liquidity changed? An illiquidity spillover analysis," SAFE Working Paper Series 151, Leibniz Institute for Financial Research SAFE.
    28. Chang, Ya-Ting & Gau, Yin-Feng & Hsu, Chih-Chiang, 2022. "Liquidity spillover in foreign exchange markets," Finance Research Letters, Elsevier, vol. 44(C).
    29. M. Frömmel & X. Han & F. Van Gysegem, 2013. "News, Liquidity Dynamics and Intraday Jumps: Evidence from the HUF/EUR market," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 13/848, Ghent University, Faculty of Economics and Business Administration.
    30. Liu, Xi & Zhang, Xueyong, 2024. "Geopolitical risk and currency returns," Journal of Banking & Finance, Elsevier, vol. 161(C).
    31. Chiu, Junmao & Chung, Huimin, 2019. "Legal institutions and fragile financial markets," Journal of International Money and Finance, Elsevier, vol. 93(C), pages 277-298.
    32. Chang, Ya-Ting & Gau, Yin-Feng & Hsu, Chih-Chiang, 2017. "Liquidity Commonality in Foreign Exchange Markets During the Global Financial Crisis and the Sovereign Debt Crisis: Effects of Macroeconomic and Quantitative Easing Announcements," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 172-192.
    33. Abankwa, Samuel & Blenman, Lloyd P., 2021. "Measuring liquidity risk effects on carry trades across currencies and regimes," Journal of Multinational Financial Management, Elsevier, vol. 60(C).
    34. Luo, Ji & Tee, Kai-Hong & Li, Baibing, 2017. "Timing liquidity in the foreign exchange market: Did hedge funds do it?," Journal of Multinational Financial Management, Elsevier, vol. 40(C), pages 47-62.
    35. Rossi, José Luiz Júnior, 2014. "The Usefulness of Financial Variables in Predicting Exchange Rate Movements," Insper Working Papers wpe_332, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
    36. Lee, Jieun & Ryu, Doojin, 2019. "How does FX liquidity affect the relationship between foreign ownership and stock liquidity?," Emerging Markets Review, Elsevier, vol. 39(C), pages 101-119.

  13. Kwabena Duffuor & Ian W. Marsh & Kate Phylaktis, 2012. "Order Flow And Exchange Rate Dynamics: An Application To Emerging Markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 17(3), pages 290-304, July.

    Cited by:

    1. Mr. Jacob Gyntelberg & Mr. Subhanij Tientip & Mr. Mico Loretan, 2012. "Private Information, Capital Flows, and Exchange Rates," IMF Working Papers 2012/213, International Monetary Fund.
    2. Zhang, Zhichao & Chau, Frankie & Zhang, Wenting, 2013. "Exchange rate determination and dynamics in China: A market microstructure analysis," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 303-316.
    3. Caporale, Guglielmo Maria & Menla Ali, Faek & Spagnolo, Nicola, 2015. "Exchange rate uncertainty and international portfolio flows: A multivariate GARCH-in-mean approach," Journal of International Money and Finance, Elsevier, vol. 54(C), pages 70-92.
    4. Munazza Jabeen & Abdul Rashid, 2022. "Macroeconomic News and Exchange Rates: Exploring the Role of Order Flow," Global Journal of Emerging Market Economies, Emerging Markets Forum, vol. 14(2), pages 222-245, May.
    5. Abolaji Daniel Anifowose & Izlin Ismail & Mohd Edil Abd Sukor, 2018. "Currency Order Flow and Exchange Rate Determination: Empirical Evidence from the Malaysian Foreign Exchange Market," Global Business Review, International Management Institute, vol. 19(4), pages 902-920, August.
    6. Lock, Eduardo & Winkelried, Diego, 2015. "Flujos de órdenes en el mercado cambiario y el valor intrínseco del Nuevo Sol," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 29, pages 33-54.
    7. Katusiime, Lorna & Shamsuddin, Abul & Agbola, Frank W., 2015. "Macroeconomic and market microstructure modelling of Ugandan exchange rate," Economic Modelling, Elsevier, vol. 45(C), pages 175-186.

  14. Brun-Aguerre, Raphael & Fuertes, Ana-Maria & Phylaktis, Kate, 2012. "Exchange rate pass-through into import prices revisited: What drives it?," Journal of International Money and Finance, Elsevier, vol. 31(4), pages 818-844.

    Cited by:

    1. Pleskachev, Yury (Плескачев, Юрий) & Ponomarev, Yury (Пономарев, Юрий), 2017. "Import Price Rigidity and Invoice Currency in Russia [Валюта Контракта И Жесткость Цен На Импортные Товары В России]," Ekonomicheskaya Politika / Economic Policy, Russian Presidential Academy of National Economy and Public Administration, vol. 3, pages 80-99, June.
    2. Janine Aron & Ronald Macdonald & John Muellbauer, 2014. "Exchange Rate Pass-Through in Developing and Emerging Markets: A Survey of Conceptual, Methodological and Policy Issues, and Selected Empirical Findings," Journal of Development Studies, Taylor & Francis Journals, vol. 50(1), pages 101-143, January.
    3. Diby François Kassi & Dilesha Nawadali Rathnayake & Akadje Jean Roland Edjoukou & Yobouet Thierry Gnangoin & Pierre Axel Louembe & Ning Ding & Gang Sun, 2019. "Asymmetry in Exchange Rate Pass-Through to Consumer Prices: New Perspective from Sub-Saharan African Countries," Economies, MDPI, vol. 7(1), pages 1-33, January.
    4. Ahmad Zubaidi Baharumshah & Siew-Voon Soon & Mark E. Wohar, 2021. "Phillips Curve for the Asian Economies: A Nonlinear Perspective," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 57(12), pages 3508-3537, September.
    5. Antonia Arsova, 2019. "Exchange rate pass-through to import prices in Europe: A panel cointegration approach," Working Paper Series in Economics 384, University of Lüneburg, Institute of Economics.
    6. Borensztein, Eduardo & Queijo Von Heideken, Virginia, 2016. "Exchange Rate Pass-through in South America: An Overview," IDB Publications (Working Papers) 7779, Inter-American Development Bank.
    7. Mohammadi Khyareh , Mohsen, 2017. "Asymmetric Effects of Exchange Rate Changes in Iran," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 12(3), pages 317-344, July.
    8. Idrisov, Georgy (Идрисов, Георгий) & Ponomarev, Yury (Пономарев, Юрий) & Pleskachev, Yury Andreevich (Плескачев, Юрий Андреевич), 2016. "Analysis of Joint Exchange Rate Pass-Through and Import Duty Rates in the Russian Economy [Анализ Совместного Эффекта Переноса Обменного Курса И Ввозных Пошлин В Цены В Российской Экономике]," Working Papers 1666, Russian Presidential Academy of National Economy and Public Administration.
    9. Pascal Towbin & Mr. Sebastian Weber, 2011. "Limits of Floating Exchange Rates: the Role of Foreign Currency Debt and Import Structure," IMF Working Papers 2011/042, International Monetary Fund.
    10. Solórzano, Diego, 2023. "Heterogeneous exchange rate pass-through in Mexico: What drives it?," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 4(4).
    11. Christophe RAULT & Nidhaleddine BEN CHEIKH, 2017. "Investigating First-Stage Exchange Rate Pass-Through : Sectoral and Macro Evidence from Euro Area Countries," LEO Working Papers / DR LEO 2477, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
    12. Devereux, Michael B. & Yetman, James, 2014. "Globalisation, pass-through and the optimal policy response to exchange rates," Journal of International Money and Finance, Elsevier, vol. 49(PA), pages 104-128.
    13. Fatma Marrakchi Charfi & Mohamed Kadria, 2016. "Incomplete Exchange Rate Pass-Through Transmission To Prices: An Svar Model For Tunisia," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 11(04), pages 1-23, December.
    14. Alberto Naudon & Joaquín Vial, 2016. "The evolution of inflation in Chile since 2000," BIS Papers chapters, in: Bank for International Settlements (ed.), Inflation mechanisms, expectations and monetary policy, volume 89, pages 93-116, Bank for International Settlements.
    15. Yusuf Emre Akgunduz & Emine Meltem Bastan & Ufuk Demiroglu & Semih Tumen, 2021. "Product‐level estimates of exchange rate pass‐through: Evidence from Turkey☆," The World Economy, Wiley Blackwell, vol. 44(7), pages 2203-2226, July.
    16. Beckmann, Joscha & Czudaj, Robert, 2014. "Effective exchange rates, current accounts and global imbalances," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100364, Verein für Socialpolitik / German Economic Association.
    17. Mallick, Sushanta & Marques, Helena, 2016. "Pricing strategy of emerging market exporters in alternate currency regimes: The role of comparative advantage," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 68-81.
    18. Safet Kurtović & Blerim Halili & Nehat Maxhuni, 2019. "Exchange rate pass-through into import prices: evidence from Central and Southeast European countries," Indian Economic Review, Springer, vol. 54(1), pages 51-80, June.
    19. Chen, Chaoyi & Polemis, Michael & Stengos, Thanasis, 2019. "Can exchange rate pass-through explain the asymmetric gasoline puzzle? Evidence from a pooled panel threshold analysis of the EU," Energy Economics, Elsevier, vol. 81(C), pages 1-12.
    20. Kiliç, Rehim, 2016. "Regime-dependent exchange-rate pass-through to import prices," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 295-308.
    21. Antoine GODIN & Sakir-Devrim YILMAZ, 2020. "Modelling Small Open Developing Economies in a Financialized World: A Stock-Flow Consistent Prototype Growth Model," Working Paper 5eb7e0e8-560f-4ce6-91a5-5, Agence française de développement.
    22. Siew-Voon Soon & Ahmad Zubaidi Baharumshah, 2017. "Exchange Rate Pass-through (ERPT) into Domestic Prices: Evidence from a Nonlinear Perspective," Economics Bulletin, AccessEcon, vol. 37(2), pages 1160-1167.
    23. Kurtović Safet & Šehić-Kršlak Sabina & Halili Blerim & Maxhuni Nehat, 2018. "Exchange Rate Pass-Through into Import Prices of Croatia," Naše gospodarstvo/Our economy, Sciendo, vol. 64(4), pages 60-73, December.
    24. Sengupta, Darpajit & Sinha Roy, Saikat, 2020. "Exchange Rate Pass-through: An exploration on India’s automobile sector," MPRA Paper 102533, University Library of Munich, Germany.
    25. Alsamara, Mouyad & Mrabet, Zouhair & Hatemi-J, Abdulnasser, 2020. "Pass-through of import cost into consumer prices and inflation in GCC countries: Evidence from a nonlinear autoregressive distributed lags model," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 89-101.
    26. Michael Malenbaum, 2018. "Exchange Rate Pass-Through and the Role of Market Shares," Journal of Industry, Competition and Trade, Springer, vol. 18(2), pages 151-185, June.
    27. Baharumshah, Ahmad Zubaidi & Sirag, Abdalla & Soon, Siew-Voon, 2017. "Asymmetric exchange rate pass-through in an emerging market economy: The case of Mexico," Research in International Business and Finance, Elsevier, vol. 41(C), pages 247-259.
    28. Abimelech Paye Gbatu & Zhen Wang & Presley K. Wesseh Jr. & Isaac Yak Repha Tutdel, 2017. "Causal Effects and Dynamic Relationship between Exchange Rate Volatility and Economic Development in Liberia," International Journal of Economics and Financial Issues, Econjournals, vol. 7(4), pages 119-131.
    29. Chen, Chaoyi & Polemis, Michael & Stengos, Thanasis, 2018. "On the Examination of Competition in the Petroleum Industry: A Pooled Panel Threshold Analysis," MPRA Paper 89671, University Library of Munich, Germany.
    30. Antonia Arsova, 2021. "Exchange rate pass-through to import prices in Europe: a panel cointegration approach," Empirical Economics, Springer, vol. 61(1), pages 61-100, July.
    31. Beirne, John & Renzhi, Nuobu & Panthi, Pradeep, 2024. "Exchange rate pass-through in emerging Asia and exposure to external shocks," Economic Analysis and Policy, Elsevier, vol. 81(C), pages 1608-1624.
    32. Idris Abdullahi Abdulqadir, 2022. "The nonlinearity of exchange rate pass‐through on currency invoice: A quantile, generalized method of moments and threshold effect‐test from sub‐Sahara African economies," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 1473-1494, January.
    33. Konopczak, Karolina, 2019. "Can inaction account for the incomplete exchangerate pass-through? Evidence from threshold ARDL model," MF Working Papers 37, Ministry of Finance in Poland.
    34. Vo, Duc, 2019. "Macroeconomics Determinants of Exchange Rate Pass-through: New Evidence from the Asia-Pacific Region," MPRA Paper 103293, University Library of Munich, Germany.
    35. Ponomarev, Yuriy (Пономарев, Юрий) & Rey, Aleksey (Рей, Алексей) & Radchenko, Darya (Радченко, Дарья), 2018. "Investigation of the Relationship between the Intensity of International Trade and the Volatility of Paired Exchange Rates of the Russian Federation and its Trading Partners [Исследование Взаимосвя," Working Papers 061823, Russian Presidential Academy of National Economy and Public Administration.
    36. Naz, Farah & Mohsin, Asma & Zaman, Khalid, 2012. "Exchange rate pass-through in to inflation: New insights in to the cointegration relationship from Pakistan," Economic Modelling, Elsevier, vol. 29(6), pages 2205-2221.
    37. Hendar, 2016. "Inflation mechanisms, expectations and monetary policy in Indonesia," BIS Papers chapters, in: Bank for International Settlements (ed.), Inflation mechanisms, expectations and monetary policy, volume 89, pages 193-203, Bank for International Settlements.
    38. Joscha Beckmann & Ansgar Belke & Florian Verheyen, 2014. "Exchange rate pass-through into German import prices - a disaggregated perspective," Applied Economics, Taylor & Francis Journals, vol. 46(34), pages 4164-4177, December.
    39. Haider Hassan Itoo & Mohammad Asif & Nazim Ali & Md Abusaad, 2024. "Wagner’s law revisited: investigating the asymmetric relationship between national income and public expenditure in India," SN Business & Economics, Springer, vol. 4(10), pages 1-20, October.
    40. Chou, K.W., 2019. "Re-examining the time-varying nature and determinants of exchange rate pass-through into import prices," The North American Journal of Economics and Finance, Elsevier, vol. 49(C), pages 331-351.
    41. Rose Cunningham & Christian Friedrich & Kristina Hess & Min Jae Kim, 2017. "Understanding the Time Variation in Exchange Rate Pass-Through to Import Prices," Discussion Papers 17-12, Bank of Canada.
    42. Kassi, Diby François & Sun, Gang & Ding, Ning & Rathnayake, Dilesha Nawadali & Assamoi, Guy Roland, 2019. "Asymmetry in exchange rate pass-through to consumer prices: Evidence from emerging and developing Asian countries," Economic Analysis and Policy, Elsevier, vol. 62(C), pages 357-372.
    43. Safet Kurtović & Nehat Maxhuni & Blerim Halili & Sead Talović, 2021. "Asymmetric exchange rate pass‐through into import prices of Slovenia's manufacturing sector," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4609-4633, July.
    44. Javed Ahmad Bhat & Sajad Ahmad Bhat & Waseem Ahmad Parray, 2025. "Nonlinearity in exchange rate pass-through across BRICS: Role of business cycle and inflation," International Economics and Economic Policy, Springer, vol. 22(1), pages 1-32, February.
    45. Michael B Devereux & James Yetman, 2014. "Responding to exchange rates in a globalised world," BIS Papers chapters, in: Bank for International Settlements (ed.), Globalisation, inflation and monetary policy in Asia and the Pacific, volume 77, pages 97-117, Bank for International Settlements.
    46. Cerqueira, Luiz Fernando & Feijó, Carmem Aparecida & Gonçalves, Thallis Macedo de Assis, 2023. "Pass-through of exchange rate shocks in Brazil as a small open economy," Revista CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), April.
    47. Baharumshah, Ahmad Zubaidi & Soon, Siew-Voon & Wohar, Mark E., 2017. "Markov-switching analysis of exchange rate pass-through: Perspective from Asian countries," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 245-257.
    48. Syed Al-Helal Uddin, 2016. "Value-added Trade, Exchange Rate Pass-Through and Trade Elasticity: Revisiting the Trade Competitiveness," 2016 Papers pud11, Job Market Papers.

  15. Kate Phylaktis & Long Chen, 2010. "Asymmetric information, price discovery and macroeconomic announcements in FX market: do top trading banks know more?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(3), pages 228-246.

    Cited by:

    1. Carol Osler & Alexander Mende & Lukas Menkhoff, 2010. "Price Discovery in Currency Markets," Working Papers 03, Brandeis University, Department of Economics and International Business School.
    2. M. Frömmel & F Van Gysegem, 2014. "Bid-Ask Spread Components on the Foreign Exchange Market: Quantifying the Risk Component," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 14/878, Ghent University, Faculty of Economics and Business Administration.
    3. Ingomar Krohn & Vladyslav Sushko, 2020. "FX spot and swap market liquidity spillovers," BIS Working Papers 836, Bank for International Settlements.
    4. Gau, Yin-Feng & Wu, Zhen-Xing, 2014. "Order choices under information asymmetry in foreign exchange markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 30(C), pages 106-118.
    5. Moore, Michael J. & Payne, Richard, 2011. "On the sources of private information in FX markets," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1250-1262, May.
    6. Ran Xiao, 2019. "Essays on Price Discovery and Volatility Dynamics in Emerging Market Currencies," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 5-2019, January-A.
    7. Geir H. Bjønnes & Carol L. Osler & Dagfinn Rime, 2021. "Price discovery in two‐tier markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 3109-3133, April.
    8. Frijns, Bart & Indriawan, Ivan & Tourani-Rad, Alireza, 2015. "Macroeconomic news announcements and price discovery: Evidence from Canadian–U.S. cross-listed firms," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 35-48.
    9. Carol Osler & Xuhang Wang, 2012. "The Microstructure of Currency Markets," Working Papers 49, Brandeis University, Department of Economics and International Business School.
    10. Lukas Mankhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2013. "Information flows in foreign exchange markets: dissecting customer currency trades," BIS Working Papers 405, Bank for International Settlements.
    11. Cepoi, Cosmin-Octavian & Anghel, Dan-Gabriel & Pop, Ionuţ Daniel, 2021. "Asymmetries and flight-to-safety effects in the price discovery process of cross-listed stocks," Economic Modelling, Elsevier, vol. 98(C), pages 302-318.

  16. Korczak, Piotr & Phylaktis, Kate, 2010. "Related securities and price discovery: Evidence from NYSE-listed Non-U.S. stocks," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 566-584, September.

    Cited by:

    1. Mehdi Arzandeh & Julieta Frank, 2019. "Price Discovery in Agricultural Futures Markets: Should We Look beyond the Best Bid-Ask Spread?," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 101(5), pages 1482-1498.
    2. Laih, Yih-Wenn & Lai, Hung-Neng & Li, Chun-An, 2015. "Analyst valuation and corporate value discovery," International Review of Economics & Finance, Elsevier, vol. 35(C), pages 235-248.
    3. Ghadhab, Imen & Hellara, Slaheddine, 2016. "Price discovery of cross-listed firms," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 177-188.
    4. Ghadhab, Imen & M’rad, Mouna, 2018. "Does US cross-listing come with incremental benefit for already UK cross-listed firms," The Quarterly Review of Economics and Finance, Elsevier, vol. 69(C), pages 188-204.
    5. Narayan, Paresh Kumar & Sharma, Susan Sunila & Thuraisamy, Kannan Sivananthan & Westerlund, Joakim, 2018. "Some preliminary evidence of price discovery in Islamic banks," Pacific-Basin Finance Journal, Elsevier, vol. 52(C), pages 107-122.
    6. Ghadhab, Imen & Hellara, Slaheddine, 2016. "Cross-listing and value creation," Journal of Multinational Financial Management, Elsevier, vol. 37, pages 1-11.
    7. Bao, Wei & Guo, Shijun & Peng, Diefeng & Rao, Yulei, 2023. "Trading gap in holidays and price transmission: Evidence from cross-listed stocks on the A-share and H-share markets," International Review of Financial Analysis, Elsevier, vol. 87(C).
    8. Papavassiliou, Vassilios G. & Kinateder, Harald, 2021. "Information shares and market quality before and during the European sovereign debt crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
    9. Alma Hales, 2015. "Liquidity and price discovery in Latin America: evidence from American depositary receipts," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(4), pages 661-678, October.
    10. Li, Wei-Xuan & Chen, Clara Chia-Sheng & Nguyen, James, 2022. "Which market dominates the price discovery in currency futures? The case of the Chicago Mercantile Exchange and the Intercontinental Exchange," Global Finance Journal, Elsevier, vol. 52(C).
    11. Jun Chen & Alireza Tourani‐Rad & Ju Xiang & Ting Yang, 2021. "Short‐sellers at home and abroad: Their respective roles in the price discovery of cross‐listed firms," International Review of Finance, International Review of Finance Ltd., vol. 21(3), pages 1013-1038, September.
    12. Ibikunle, Gbenga, 2018. "Trading places: Price leadership and the competition for order flow," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 178-200.
    13. Rui Fan & Oleksandr Talavera & Vu Tran, 2023. "Social media and price discovery: The case of cross‐listed firms," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 46(1), pages 151-167, February.
    14. Arzandeh, Mehdi & Frank, Julieta, 2017. "The Information Content of the Limit Order Book," 7th Annual Canadian Agri-Food Policy Conference, January 11-13, 2017, Ottawa, ON 253251, Canadian Agricultural Economics Society.
    15. Jahanshahloo, Hossein & Spokeviciute, Laima, 2021. "Time weighted price contribution," Finance Research Letters, Elsevier, vol. 43(C).
    16. Xia, Chuanxin & Yang, Nien-Tzu & Lin, Chaonan & Ko, Kuan-Cheng, 2021. "Multi-market trading, price delay, and return predictability," Finance Research Letters, Elsevier, vol. 40(C).
    17. Arzandeh, Mehdi & Frank, Julieta, 2017. "Price Discovery in Agricultural Futures Markets: Should We Look Beyond the Best Bid-Ask Spread?," Annual Meeting, 2017, June 18-21, Montreal, Canada 259344, Canadian Agricultural Economics Society.
    18. Kao, Erin H. & Ho, Tsung-wu & Fung, Hung-Gay, 2015. "Price linkage between the US and Japanese futures across different time zones: An analysis of the minute-by-minute data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 321-336.
    19. Cepoi, Cosmin-Octavian & Anghel, Dan-Gabriel & Pop, Ionuţ Daniel, 2021. "Asymmetries and flight-to-safety effects in the price discovery process of cross-listed stocks," Economic Modelling, Elsevier, vol. 98(C), pages 302-318.
    20. Kehrle, Kerstin & Peter, Franziska J., 2013. "Who moves first? An intensity-based measure for information flows across stock exchanges," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1629-1642.

  17. Kate Phylaktis & Lichuan Xia, 2009. "Equity Market Comovement and Contagion: A Sectoral Perspective," Financial Management, Financial Management Association International, vol. 38(2), pages 381-409, June.

    Cited by:

    1. Li, Xiyang & Chen, Xiaoyue & Li, Bin & Singh, Tarlok & Shi, Kan, 2022. "Predictability of stock market returns: New evidence from developed and developing countries," Global Finance Journal, Elsevier, vol. 54(C).
    2. Aneta Wlodarczyk & Iwona Otola, 2016. "Analysis of the Relationship between Market Volatility and Firms Volatility on the Polish Capital Market," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 16, pages 87-116.
    3. Lucian Liviu ALBU & Radu LUPU & Adrian Cantemir CALIN, 2017. "Risk Generating Industries for European Stock Markets," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 51(4), pages 5-17.
    4. Salah Uddin, Gazi & Lucey, Brian & Rahman, Md Lutfur & Stenvall, David, 2024. "Quantile coherency across bonds, commodities, currencies, and equities," Journal of Commodity Markets, Elsevier, vol. 33(C).
    5. Umutlu, Mehmet & Yargı, Seher Gören & Zaremba, Adam, 2023. "Market segmentation and international diversification across country and industry portfolios," Research in International Business and Finance, Elsevier, vol. 65(C).
    6. Dang, Tam Hoang Nhat & Balli, Faruk & Balli, Hatice Ozer & Gabauer, David & Nguyen, Thi Thu Ha, 2024. "Sectoral uncertainty spillovers in emerging markets: A quantile time–frequency connectedness approach," International Review of Economics & Finance, Elsevier, vol. 93(PB), pages 121-139.
    7. Velip Suraj Pavto & Guntur Anjana Raju, 2020. "Linkages between Oil Sectors Returns of Asian Emerging Stock Markets: Unearthing the Hidden Opportunity for Portfolio Diversification," International Journal of Energy Economics and Policy, Econjournals, vol. 10(6), pages 152-156.
    8. Gül Huyugüzel Kışla & Y. Gülnur Muradoğlu & A. Özlem Önder, 2022. "Spillovers from one country’s sovereign debt to CDS (credit default swap) spreads of others during the European crisis: a spatial approach," Journal of Asset Management, Palgrave Macmillan, vol. 23(4), pages 277-296, July.
    9. Cho, Sungjun & Hyde, Stuart & Nguyen, Ngoc, 2015. "Time-varying regional and global integration and contagion: Evidence from style portfolios," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 109-131.
    10. Oussama Tilfani & Paulo Ferreira & Andreia Dionisio & My Youssef El Boukfaoui, 2020. "EU Stock Markets vs. Germany, UK and US: Analysis of Dynamic Comovements Using Time-Varying DCCA Correlation Coefficients," JRFM, MDPI, vol. 13(5), pages 1-23, May.
    11. Christos Alexakis & Dimitris Kenourgios & Vasileios Pappas & Athina Petropoulou, 2021. "From dotcom to Covid-19: A convergence analysis of Islamic investments," Post-Print hal-03347374, HAL.
    12. Maximilian-Benedikt Herwarth Kohn & Pedro L. Valls Pereira, 2017. "Speculative bubbles and contagion: Analysis of volatility’s clusters during the DotCom bubble based on the dynamic conditional correlation model," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1411453-141, January.
    13. Ebenezer Asem & Vishaal Baulkaran & Rossitsa Yalamova & Xiaofei Zhang, 2017. "Internal Market Efficiency, Market Co-movement, and Cross-Market Efficiency: The Case of Hong Kong and Shanghai Stock Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 24(4), pages 253-267, December.
    14. Hendriks, Johannes Jurgens & Bonga-Bonga, Lumengo, 2020. "Sectoral dependence and contagion in the BRICS grouping: an application of the R-Vine copulas," MPRA Paper 102473, University Library of Munich, Germany.
    15. Alexander Eptas & Lawrence A. Leger, 2010. "A Mean-Variance Diagnosis of the Financial Crisis: International Diversification and Safe Havens," JRFM, MDPI, vol. 3(1), pages 1-21, December.
    16. Chen, Mei-Ping & Chen, Wen-Yi & Tseng, Tseng-Chan, 2017. "Co-movements of returns in the health care sectors from the US, UK, and Germany stock markets: Evidence from the continuous wavelet analyses," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 484-498.
    17. Mohammad Alomari & David. M. Power & Nongnuch Tantisantiwong, 2018. "Determinants of equity return correlations: a case study of the Amman Stock Exchange," Review of Quantitative Finance and Accounting, Springer, vol. 50(1), pages 33-66, January.
    18. Elsayed, Ahmed H. & Sohag, Kazi & Sousa, Ricardo M., 2024. "Oil shocks and financial stability in MENA countries," Resources Policy, Elsevier, vol. 89(C).
    19. Akhtaruzzaman, Md & Shamsuddin, Abul, 2016. "International contagion through financial versus non-financial firms," Economic Modelling, Elsevier, vol. 59(C), pages 143-163.
    20. Alexakis, Christos & Pappas, Vasileios, 2018. "Sectoral dynamics of financial contagion in Europe - The cases of the recent crises episodes," Economic Modelling, Elsevier, vol. 73(C), pages 222-239.
    21. Huijian Dong, 2017. "Asynchronous Signaling in Global Equity Markets：Based on Opening Times," International Business Research, Canadian Center of Science and Education, vol. 10(8), pages 173-191, August.
    22. Thomas C. Chiang & Lanjun Lao & Qingfeng Xue, 2016. "Comovements between Chinese and global stock markets: evidence from aggregate and sectoral data," Review of Quantitative Finance and Accounting, Springer, vol. 47(4), pages 1003-1042, November.
    23. Hakim, Idwan & Masih, Mansur, 2014. "Portfolio diversification strategy for Malaysia: International and sectoral perspectives," MPRA Paper 58909, University Library of Munich, Germany.
    24. Konstantinos Vergos & Benjamin Wanger, 2019. "Evaluating interdependencies in African markets A VECM approach," Bulletin of Applied Economics, Risk Market Journals, vol. 6(1), pages 65-85.
    25. Chen, Xiaoyu & Chiang, Thomas C., 2016. "Stock returns and economic forces—An empirical investigation of Chinese markets," Global Finance Journal, Elsevier, vol. 30(C), pages 45-65.
    26. Chunxia, Yang & Xueshuai, Zhu & Luoluo, Jiang & Sen, Hu & He, Li, 2016. "Study on the contagion among American industries," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 601-612.
    27. Pelin Bengitöz & Mehmet Umutlu, 2023. "Are return predictors of industrial equity indexes common across regions?," Journal of Asset Management, Palgrave Macmillan, vol. 24(5), pages 396-418, September.
    28. Nico Katzke, 2013. "South African Sector Return Correlations: using DCC and ADCC Multivariate GARCH techniques to uncover the underlying dynamics," Working Papers 17/2013, Stellenbosch University, Department of Economics.
    29. Xiaqing Su & Zhe Liu, 2021. "Sector Volatility Spillover and Economic Policy Uncertainty: Evidence from China’s Stock Market," Mathematics, MDPI, vol. 9(12), pages 1-22, June.
    30. Michael A. Goldstein & Joseph McCarthy & Alexei G. Orlov, 2019. "The Core, Periphery, and Beyond: Stock Market Comovements among EU and Non‐EU Countries," The Financial Review, Eastern Finance Association, vol. 54(1), pages 5-56, February.
    31. Hatice Gaye Gencer & Sercan Demiralay, 2016. "The Contagion Effects on Real Economy: Emerging Markets during the Recent Crises," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 104-121, March.
    32. Jessica James & Kristjan Kasikov & Kerry-Ann Edwards, 2012. "The end of diversification," Quantitative Finance, Taylor & Francis Journals, vol. 12(11), pages 1629-1636, November.
    33. Nammouri, Hela & Chlibi, Souhir & Labidi, Oussama, 2022. "Co-movements in sector price indexes during the COVID-19 crisis: Evidence from the US," Finance Research Letters, Elsevier, vol. 46(PA).
    34. Kim, Myeong Hyeon & Sun, Lingxia, 2017. "Dynamic conditional correlations between Chinese sector returns and the S&P 500 index: An interpretation based on investment shocks," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 309-325.
    35. Kalotychou, Elena & Staikouras, Sotiris K. & Zhao, Gang, 2014. "The role of correlation dynamics in sector allocation," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 1-12.

  18. Phylaktis, Kate & Chen, Long, 2009. "Price discovery in foreign exchange markets: A comparison of indicative and actual transaction prices," Journal of Empirical Finance, Elsevier, vol. 16(4), pages 640-654, September.

    Cited by:

    1. Liang Ding & Hao Zou & Vittorio Addona, 2012. "Semi‐transparency, dealership market, and foreign exchange market quality," Review of Financial Economics, John Wiley & Sons, vol. 21(1), pages 1-13, January.
    2. Chelley-Steeley, Patricia L. & Tsorakidis, Nikos, 2013. "Bid-ask spread dynamics in foreign exchange markets," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 119-131.
    3. Kate Phylaktis & Long Chen, 2010. "Asymmetric information, price discovery and macroeconomic announcements in FX market: do top trading banks know more?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(3), pages 228-246.
    4. Carlo Rosa, 2013. "The financial market effect of FOMC minutes," Economic Policy Review, Federal Reserve Bank of New York, issue Dec, pages 67-81.
    5. Jérôme Lahaye & Christopher Neely, 2020. "The Role of Jumps in Volatility Spillovers in Foreign Exchange Markets: Meteor Shower and Heat Waves Revisited," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 410-427, April.
    6. Ding, Liang & Hiltrop, Jonas, 2010. "The electronic trading systems and bid-ask spreads in the foreign exchange market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(4), pages 323-345, October.
    7. Banti, Chiara & Phylaktis, Kate, 2015. "FX market liquidity, funding constraints and capital flows," Journal of International Money and Finance, Elsevier, vol. 56(C), pages 114-134.
    8. Ran Xiao, 2019. "Essays on Price Discovery and Volatility Dynamics in Emerging Market Currencies," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 5-2019, January-A.
    9. Carlo Rosa, 2016. "Fedspeak: Who Moves U.S. Asset Prices?," International Journal of Central Banking, International Journal of Central Banking, vol. 12(4), pages 223-261, December.

  19. Kate Phylaktis & Antonis Aristidou, 2007. "Security transaction taxes and financial volatility: Athens stock exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 17(18), pages 1455-1467.

    Cited by:

    1. Leonardo Becchetti & Massimo Ferrari, 2013. "The impact of the French Tobin tax," Econometica Working Papers wp47, Econometica.
    2. Hvozdyk, Lyudmyla & Rustanov, Serik, 2016. "The effect of financial transaction tax on market liquidity and volatility: An Italian perspective," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 62-78.
    3. Cappelletti, Giuseppe & Guazzarotti, Giovanni & Tommasino, Pietro, 2017. "The stock market effects of a securities transaction tax: Quasi-experimental evidence from Italy," Journal of Financial Stability, Elsevier, vol. 31(C), pages 81-92.
    4. Gunther Capelle-Blancard & Olena Havrylchyk, 2013. "The Impact of the French Securities Transaction Tax on Market Liquidity and Volatility," Post-Print halshs-00940251, HAL.
    5. Neil McCulloch & Grazia Pacillo, 2010. "The Tobin Tax A Review of the Evidence," Working Paper Series 1611, Department of Economics, University of Sussex Business School.
    6. Sinha, Pankaj & Mathur, Kritika, 2015. "Impact of Commodities Transaction Tax on Indian Commodity Futures," MPRA Paper 63677, University Library of Munich, Germany.
    7. Yongheng Deng & Xin Liu & Shang-Jin Wei, 2014. "One Fundamental and Two Taxes: When Does a Tobin Tax Reduce Financial Price Volatility?," NBER Working Papers 19974, National Bureau of Economic Research, Inc.
    8. Bratis, Theodoros & Laopodis, Nikiforos T. & Kouretas, Georgios P., 2017. "Assessing the impact of an EU financial transactions tax on asset volatility: An event study," International Review of Financial Analysis, Elsevier, vol. 53(C), pages 12-24.
    9. Alonso, Miguel A. & Rallo, Juan Ramón & Romero, Alberto, 2013. "El efecto de los impuestos a las transacciones financieras en la estabilidad de los mercados de capital. Un debate sin resolver," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(317), pages 207-231, enero-mar.
    10. Peter Gomber & Martin Haferkorn & Kai Zimmermann, 2016. "Securities Transaction Tax and Market Quality – the Case of France," European Financial Management, European Financial Management Association, vol. 22(2), pages 313-337, March.
    11. Eichfelder, Sebastian & Lau, Mona, 2016. "Financial transaction taxes: Announcement effects, short-run effects, and long-run effects," arqus Discussion Papers in Quantitative Tax Research 211, arqus - Arbeitskreis Quantitative Steuerlehre.
    12. Roman Šperka & Irena Szarowská, 2015. "Impact of a Financial Transaction Tax on a Financial Market," Working Papers 0013, Silesian University, School of Business Administration.
    13. Sanjay Sehgal & Tarunika Jain Agrawal, 2019. "Impact of Commodity Transaction Tax on Market Liquidity, Volatility, and Government Revenues: An Empirical Study for India," Vikalpa: The Journal for Decision Makers, , vol. 44(1), pages 12-29, March.
    14. Paulo Pereira Silva, 2023. "Securities transaction taxes and stock price informativeness: evidence for France and Italy," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(3), pages 325-345, September.
    15. Hayashida, Minoru & Ono, Hiroyuki, 2016. "Tax reforms and stock return volatility: The case of Japan," Journal of Asian Economics, Elsevier, vol. 45(C), pages 1-14.
    16. Anna Pomeranets & Daniel G. Weaver, 2011. "Security Transaction Taxes and Market Quality," Staff Working Papers 11-26, Bank of Canada.
    17. Michał Zator, 2014. "Transaction costs and volatility on Warsaw Stock Exchange: implications for financial transaction tax," Bank i Kredyt, Narodowy Bank Polski, vol. 45(4), pages 349-372.

  20. Phylaktis, Kate, 2006. "Emerging markets finance: Overview of the special issue," Journal of International Money and Finance, Elsevier, vol. 25(3), pages 349-357, April.

    Cited by:

    1. Kearney, Colm, 2012. "Emerging markets research: Trends, issues and future directions," Emerging Markets Review, Elsevier, vol. 13(2), pages 159-183.
    2. Alam, Ashraful & Uddin, Moshfique & Yazdifar, Hassan, 2019. "Institutional determinants of R&D investment: Evidence from emerging markets," Technological Forecasting and Social Change, Elsevier, vol. 138(C), pages 34-44.

  21. Kate Phylaktis & Lichuan Xia, 2006. "The Changing Roles of Industry and Country Effects in the Global Equity Markets," The European Journal of Finance, Taylor & Francis Journals, vol. 12(8), pages 627-648.

    Cited by:

    1. Pieterse-Bloem, M., 2011. "The effect of Emu on bond market integration and investor portfolio allocations," Other publications TiSEM 3c6ce80d-9260-424a-b889-b, Tilburg University, School of Economics and Management.
    2. Marcelo, José Luis Miralles & Quirós, José Luis Miralles & Martins, José Luís, 2013. "The role of country and industry factors during volatile times," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 273-290.
    3. Bai, Ye & Green, Christopher J., 2010. "International diversification strategies: Revisited from the risk perspective," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 236-245, January.
    4. Bai, Ye & Green, Christopher J., 2020. "Country and industry factors in tests of Capital Asset Pricing Models for partially integrated emerging markets," Economic Modelling, Elsevier, vol. 92(C), pages 180-194.
    5. Yousaf, Imran & Beljid, Makram & Chaibi, Anis & Ajlouni, Ahmed AL, 2022. "Do volatility spillover and hedging among GCC stock markets and global factors vary from normal to turbulent periods? Evidence from the global financial crisis and Covid-19 pandemic crisis," Pacific-Basin Finance Journal, Elsevier, vol. 73(C).
    6. Umutlu, Mehmet & Bengitöz, Pelin, 2020. "The cross-section of industry equity returns and global tactical asset allocation across regions and industries," International Review of Financial Analysis, Elsevier, vol. 72(C).
    7. Pieterse-Bloem, Mary & Mahieu, Ronald J., 2013. "Factor decomposition and diversification in European corporate bond markets," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 194-213.
    8. Bessler, Wolfgang & Taushanov, Georgi & Wolff, Dominik, 2021. "Optimal asset allocation strategies for international equity portfolios: A comparison of country versus industry optimization," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
    9. Bai, Ye & Green, Christopher J. & Leger, Lawrence, 2012. "Industry and country factors in emerging market returns: Did the Asian crisis make a difference?," Emerging Markets Review, Elsevier, vol. 13(4), pages 559-580.
    10. Pieterse-Bloem, Mary & Qian, Zhaowen & Verschoor, Willem & Zwinkels, Remco, 2016. "Time-varying importance of country and industry factors in European corporate bonds," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 429-448.
    11. Ngene, Geoffrey M., 2021. "What drives dynamic connectedness of the U.S equity sectors during different business cycles?," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    12. Pelin Bengitöz & Mehmet Umutlu, 2023. "Are return predictors of industrial equity indexes common across regions?," Journal of Asset Management, Palgrave Macmillan, vol. 24(5), pages 396-418, September.
    13. Bley, Jorg, 2009. "European stock market integration: Fact or fiction?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(5), pages 759-776, December.
    14. Jin, Jiayu & Han, Liyan & Wu, Lei & Zeng, Hongchao, 2020. "The hedging effectiveness of global sectors in emerging and developed stock markets," International Review of Economics & Finance, Elsevier, vol. 66(C), pages 92-117.
    15. Hooy, Chee-Wooi & Lee, Meng-Horng & Chong, Terence Tai Leung, 2017. "The Sources of Country and Industry Variations in ASEAN Stock Returns," MPRA Paper 80574, University Library of Munich, Germany.

  22. Phylaktis, Kate & Xia, Lichuan, 2006. "Sources of firms' industry and country effects in emerging markets," Journal of International Money and Finance, Elsevier, vol. 25(3), pages 459-475, April.

    Cited by:

    1. Schäfer, Larissa, 2015. "Essays in banking and international finance," Other publications TiSEM 54db9c22-05fa-4444-97d5-1, Tilburg University, School of Economics and Management.
    2. Chou, Hsin-I & Zhao, Jing & Suardi, Sandy, 2014. "Factor reversal in the euro zone stock returns: Evidence from the crisis period," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 28-55.
    3. Kate Phylaktis & Lichuan Xia, 2009. "Equity Market Comovement and Contagion: A Sectoral Perspective," Financial Management, Financial Management Association International, vol. 38(2), pages 381-409, June.
    4. Vicente Bermejo & José Campa & Rodolfo Campos & Mohammed Zakriya, 2020. "Do foreign stocks substitute for international diversification?," Post-Print hal-03135756, HAL.
    5. Geoffrey Ngene & Ann Nduati Mungai & Allen K. Lynch, 2018. "Long-Term Dependency Structure and Structural Breaks: Evidence from the U.S. Sector Returns and Volatility," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 21(02), pages 1-38, June.
    6. Lee, Chien-Chiang & Chen, Mei-Ping & Chang, Chi-Hung, 2014. "Industry co-movement and cross-listing: Do home country factors matter?," Japan and the World Economy, Elsevier, vol. 32(C), pages 96-110.
    7. Bárbara Ruth Trejo Becerril & Alberto Gallegos David, 2021. "Estimación del Riesgo de Mercado utilizando el VaR y la Beta del CAPM," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(2), pages 1-26, Abril - J.
    8. Lagoarde-Segot, Thomas, 2013. "Does stock market development always improve firm-level financing? Evidence from Tunisia," Research in International Business and Finance, Elsevier, vol. 27(1), pages 183-208.
    9. Huij, Joop & Post, Thierry, 2011. "On the performance of emerging market equity mutual funds," Emerging Markets Review, Elsevier, vol. 12(3), pages 238-249, September.
    10. Kenourgios, Dimitris & Dimitriou, Dimitrios, 2015. "Contagion of the Global Financial Crisis and the real economy: A regional analysis," Economic Modelling, Elsevier, vol. 44(C), pages 283-293.
    11. Donadelli, Michael & Persha, Lauren, 2014. "Understanding emerging market equity risk premia: Industries, governance and macroeconomic policy uncertainty," Research in International Business and Finance, Elsevier, vol. 30(C), pages 284-309.
    12. Julia Koralun-Bereźnicka, 2011. "Country and industry factors as determinants of corporate financial liquidity in the European Union countries," Bank i Kredyt, Narodowy Bank Polski, vol. 42(1), pages 19-48.
    13. O'Hagan-Luff, Martha & Berrill, Jenny, 2015. "Why stay-at-home investing makes sense," International Review of Financial Analysis, Elsevier, vol. 38(C), pages 1-14.
    14. Blitz, David & Huij, Joop, 2012. "Evaluating the performance of global emerging markets equity exchange-traded funds," Emerging Markets Review, Elsevier, vol. 13(2), pages 149-158.
    15. Jin, Jiayu & Han, Liyan & Wu, Lei & Zeng, Hongchao, 2020. "The hedging effectiveness of global sectors in emerging and developed stock markets," International Review of Economics & Finance, Elsevier, vol. 66(C), pages 92-117.
    16. Hooy, Chee-Wooi & Lee, Meng-Horng & Chong, Terence Tai Leung, 2017. "The Sources of Country and Industry Variations in ASEAN Stock Returns," MPRA Paper 80574, University Library of Munich, Germany.

  23. Phylaktis, Kate & Ravazzolo, Fabiola, 2005. "Stock market linkages in emerging markets: implications for international portfolio diversification," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(2), pages 91-106, April.

    Cited by:

    1. Tian, Maoxi & El Khoury, Rim & Alshater, Muneer M., 2023. "The nonlinear and negative tail dependence and risk spillovers between foreign exchange and stock markets in emerging economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
    2. Girardin, Eric & Liu, Zhenya, 2007. "The financial integration of China: New evidence on temporally aggregated data for the A-share market," China Economic Review, Elsevier, vol. 18(3), pages 354-371.
    3. Mohamed El Hedi Arouri, 2006. "Are Stock Markets Integrated? Evidence from a Partially Segmented ICAPM with Asymmetric Effects," Working Papers hal-00387109, HAL.
    4. Migliavacca, Milena & Goodell, John W. & Paltrinieri, Andrea, 2023. "A bibliometric review of portfolio diversification literature," International Review of Financial Analysis, Elsevier, vol. 90(C).
    5. Dash, Saumya Ranjan & Maitra, Debasish, 2019. "The relationship between emerging and developed market sentiment: A wavelet-based time-frequency analysis," Journal of Behavioral and Experimental Finance, Elsevier, vol. 22(C), pages 135-150.
    6. Amanjot Singh & Manjit Singh, 2018. "Co-movement among US, Frontier and BRIC Equity Markets after the Financial Crisis," Global Business Review, International Management Institute, vol. 19(2), pages 311-327, April.
    7. Alotaibi, Abdullah R. & Mishra, Anil V., 2017. "Time varying international financial integration for GCC stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 66-78.
    8. Moussa Wajdi, 2019. "The dynamic relationship between stock index and exchange rate: Evidence for Tunis," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 8(1), pages 1-4.
    9. Joseph Chukwudi Odionye & Jude Okechukwu Chukwu, 2023. "Asymmetric Reactions Of Stock Prices And Industrial Output To Exchange Rate Shocks: Multiple Threshold Nonlinear Autoregressive Distributed Lag Framework," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 68(237), pages 165-191, April – J.
    10. Mohamed el hédi Arouri & Fredj Jawadi, 2011. "Do on/off time series models reproduce emerging stock market comovements?," Economics Bulletin, AccessEcon, vol. 31(1), pages 960-968.
    11. Adriana AnaMaria Davidescu & Eduard Mihai Manta & Razvan Gabriel Hapau & Mihaela Gruiescu & Oana Mihaela Vacaru (Boita), 2023. "Exploring the Contagion Effect from Developed to Emerging CEE Financial Markets," Mathematics, MDPI, vol. 11(3), pages 1-50, January.
    12. Nafeesa Yunus, 2009. "Increasing Convergence Between U.S. and International Securitized Property Markets: Evidence Based on Cointegration Tests," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 37(3), pages 383-411, September.
    13. Kim, Suk-Joong & Nguyen, Do Quoc Tho, 2009. "The spillover effects of target interest rate news from the U.S. Fed and the European Central Bank on the Asia-Pacific stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(3), pages 415-431, July.
    14. Yunus, Nafeesa & Swanson, Peggy E., 2012. "Changing integration of EMU public property markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(1), pages 194-208.
    15. Brian M. Lucey, QiYu Zhang* School of Business, Trinity College Dublin, Ireland, 2009. "Emerging Markets Capital Structure and Financial Integration," The Institute for International Integration Studies Discussion Paper Series iiisdp305, IIIS.
    16. Lupu, Dan & Asandului, Mircea, 2014. "Considerations on the relantionship between exchange rates and stock markets in Eastern Europe in time of crisis," MPRA Paper 95507, University Library of Munich, Germany.
    17. Theodore Syriopoulos, 2004. "International portfolio diversification to Central European stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 14(17), pages 1253-1268.
    18. ERER, Elif & ERER, Deniz, 2017. "Long Memory In Turkish Stock Market And Effects Of Central Banks’ Announcements," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 21(3), pages 6-18.
    19. Olasupo Olusi & Haikal Abdul-Majid, 2008. "Diversification prospects in Middle East and North Africa (MENA) equity markets: a synthesis and an update," Applied Financial Economics, Taylor & Francis Journals, vol. 18(18), pages 1451-1463.
    20. S.S.S. Kumar, 2011. "Are Emerging Markets Relevant for Portfolio Diversification?," Review of Market Integration, India Development Foundation, vol. 3(2), pages 103-119, August.
    21. Ilyes Abid & Khaled Guesmi & Stéphane Goutte & Christian Urom & Julien Chevallier, 2019. "Commodities risk premia and regional integration in gas-exporting countries," Post-Print halshs-02148921, HAL.
    22. Diamandis, Panayiotis F., 2009. "International stock market linkages: Evidence from Latin America," Global Finance Journal, Elsevier, vol. 20(1), pages 13-30.
    23. Vijay Kumar Vishwakarma, 2021. "Long-run drivers and integration in interprovincial Canadian housing price relations," International Journal of Housing Markets and Analysis, Emerald Group Publishing Limited, vol. 16(1), pages 22-40, November.
    24. Hatemi-J, Abdulnasser & Al-Mohana, Safa, 2019. "Testing for Financial Market Integration of the UAE Market with the Global Market," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 72(4), pages 475-492.
    25. Valadkhani, Abbas & Chancharat, Surachai & Harvie, Charles, 2006. "The Interplay Between the Thai and Several Other International Stock Markets," Economics Working Papers wp06-18, School of Economics, University of Wollongong, NSW, Australia.
    26. Ahmad, Wasim & Sehgal, Sanjay & Bhanumurthy, N.R., 2013. "Eurozone crisis and BRIICKS stock markets: Contagion or market interdependence?," Economic Modelling, Elsevier, vol. 33(C), pages 209-225.
    27. Marcet, Francisco, 2017. "Analyst coverage network and stock return comovement in emerging markets," Emerging Markets Review, Elsevier, vol. 32(C), pages 1-27.
    28. Wasim Ahmad & N.R. Bhanumurthy & Sanjay Sehgal, 2014. "The Eurozone crisis and its contagion effects on the European stock markets," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 31(3), pages 325-352, July.
    29. Nikolaos L. Hourvouliades, 2009. "International Portfolio Diversification: Evidence from European Emerging Markets," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 55-78.
    30. Goodell, John W. & Kumar, Satish & Li, Xiao & Pattnaik, Debidutta & Sharma, Anuj, 2022. "Foundations and research clusters in investor attention: Evidence from bibliometric and topic modelling analysis," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 511-529.
    31. Parul Bhatia & Hemalatha Ramasubramanian, 2019. "Co-integration Between Sensex and Other Popular Indices: A Decadal Study," FIIB Business Review, , vol. 8(2), pages 108-117, June.
    32. Nafeesa Yunus, 2013. "Dynamic interactions among property types," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 31(2), pages 135-159, March.
    33. Yunus, Nafeesa, 2020. "Time-varying linkages among gold, stocks, bonds and real estate," The Quarterly Review of Economics and Finance, Elsevier, vol. 77(C), pages 165-185.
    34. Andy Wui-Wing Cheng & Nikolai Sheung-Chi Chow & David Kam-Hung Chui & Wing-Keung Wong, 2019. "The Three Musketeers Relationships between Hong Kong, Shanghai and Shenzhen Before and After Shanghai–Hong Kong Stock Connect," Sustainability, MDPI, vol. 11(14), pages 1-20, July.
    35. Brian M Lucey & Cal Muckley, 2011. "Robust Global Stock Market Interdependencies," The Institute for International Integration Studies Discussion Paper Series iiisdp353, IIIS.
    36. Hammoudeh, Shawkat & Choi, Kyongwook, 2007. "Characteristics of permanent and transitory returns in oil-sensitive emerging stock markets: The case of GCC countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(3), pages 231-245, July.
    37. Dorota Witkowska & Krzysztof Kompa & Aleksandra Matuszewska-Janica, 2012. "Analysis of Linkages between Central and Eastern European Capital Markets," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 12, pages 19-34.
    38. Onay, Ceylan, 2006. "A Co-integration Analysis Approach to European Union Integration: The Case of Acceding and Candidate Countries," European Integration online Papers (EIoP), European Community Studies Association Austria (ECSA-A), vol. 10, September.
    39. Raj Aggarwal & Brian Lucey & Cal Muckley, 2010. "Dynamics of Equity Market Integration in Europe: Impact of Political Economy Events," Journal of Common Market Studies, Wiley Blackwell, vol. 48(3), pages 641-660, June.
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    50. Moussa Wajdi, 2019. "On the co-movements among Stock prices and exchange rates cointegration: a VAR/VECM approach," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 8(1), pages 1-5.
    51. Saiti, Buerhan & Bacha, Obiyathulla & Masih, Mansur, 2014. "Is the global leadership of the US financial market over other financial markets shaken by 2007-2009 financial crisis? Evidence from Wavelet Analysis," MPRA Paper 57064, University Library of Munich, Germany.
    52. Mohammad Joarder & Monir Ahmed & Tahsina Haque & Syed Hasanuzzaman, 2014. "An empirical testing of informational efficiency in Bangladesh capital market," Economic Change and Restructuring, Springer, vol. 47(1), pages 63-87, February.
    53. Shuangqi Li & Qi‐an Chen, 2021. "Do the Shanghai–Hong Kong & Shenzhen–Hong Kong Stock Connect programs enhance co‐movement between the Mainland Chinese, Hong Kong, and U.S. stock markets?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2871-2890, April.
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    58. Boubaker, Heni & Raza, Syed Ali, 2016. "On the dynamic dependence and asymmetric co-movement between the US and Central and Eastern European transition markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 459(C), pages 9-23.
    59. Syllignakis, Manolis N. & Kouretas, Georgios P., 2011. "Dynamic correlation analysis of financial contagion: Evidence from the Central and Eastern European markets," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 717-732, October.
    60. Aleksandra Matuszewska-Janica, 2011. "Long-run Relationships between Selected Central European Indexes," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 17(2), pages 157-168, May.
    61. Martins, Luis F. & Gabriel, Vasco J., 2014. "Modelling long run comovements in equity markets: A flexible approach," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 288-295.
    62. Anil Sharma & Neha Seth, 2012. "Literature review of stock market integration: a global perspective," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, vol. 4(1), pages 84-122, April.
    63. Ahmed, Walid M.A., 2011. "Comovements and Causality of Sector Price Indices: Evidence from the Egyptian Stock Exchange," MPRA Paper 28127, University Library of Munich, Germany.
    64. Sekhar M. Amba & Binh H. Nguyen, 2019. "Exchange Rate And Equity Price Relationship: Empirical Evidence From Mexican And Canadian Markets," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 13(2), pages 33-43.
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    Cited by:

    1. Katty Perez Aquino & Sunil Poshakwale, 2006. "Price determinants of American Depositary Receipts (ADR): a cross-sectional analysis of panel data," Applied Financial Economics, Taylor & Francis Journals, vol. 16(16), pages 1225-1237.
    2. Wang, Xue & Yao, Lee J. & Fang, Victor, 2013. "Stock prices and the location of trade: Evidence from China-backed ADRs," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 677-688.
    3. Tswei, Keshin, 2013. "Is transaction price more value relevant compared to accounting information? An investigation of a time-series approach," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 1062-1078.
    4. Tswei, Keshin & Lai, Jing-yi, 2009. "Information contents misjudged: Digressive convergence to equilibrium in cointegrated prices," Review of Financial Economics, Elsevier, vol. 18(4), pages 183-189, October.
    5. Keshin Tswei & Jing‐yi Lai, 2009. "Information contents misjudged: Digressive convergence to equilibrium in cointegrated prices," Review of Financial Economics, John Wiley & Sons, vol. 18(4), pages 183-189, October.

  25. Phylaktis, Kate & Ravazzolo, Fabiola, 2005. "Stock prices and exchange rate dynamics," Journal of International Money and Finance, Elsevier, vol. 24(7), pages 1031-1053, November.

    Cited by:

    1. Teona Shugliashvili, 2023. "The words have power: the impact of news on exchange rates," FFA Working Papers 5.006, Prague University of Economics and Business, revised 31 Jul 2023.
    2. Tian, Maoxi & El Khoury, Rim & Alshater, Muneer M., 2023. "The nonlinear and negative tail dependence and risk spillovers between foreign exchange and stock markets in emerging economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
    3. Walid Chkili & Duc Khuong Nguyen, 2014. "Exchange rate movements and stock market returns in a regime-switching environment: Evidence for BRICS countries," Working Papers 2014-388, Department of Research, Ipag Business School.
    4. Ma, Yong & Pan, Dongtao & Shrestha, Keshab & Xu, Weidong, 2020. "Pricing and hedging foreign equity options under Hawkes jump–diffusion processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).
    5. Marko Korhonen, 2014. "The relation between national stock prices and effective exchange rates: Does it affect exchange rate exposure?," Proceedings of International Academic Conferences 0201346, International Institute of Social and Economic Sciences.
    6. Bashir, Usman & Yu, Yugang & Hussain, Muntazir & Zebende, Gilney F., 2016. "Do foreign exchange and equity markets co-move in Latin American region? Detrended cross-correlation approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 889-897.
    7. Shawtari, Fekri Ali & Masih, Mansur, 2017. "Granger-causal relationship between macroeconomic variables and stock prices: evidence from South Africa," MPRA Paper 99848, University Library of Munich, Germany.
    8. Sensoy, Ahmet & Sobaci, Cihat, 2014. "Effects of volatility shocks on the dynamic linkages between exchange rate, interest rate and the stock market: The case of Turkey," Economic Modelling, Elsevier, vol. 43(C), pages 448-457.
    9. Chiah, Mardy & Long, Huaigang & Zaremba, Adam & Umar, Zaghum, 2023. "Trade competitiveness and the aggregate returns in global stock markets," Journal of Economic Dynamics and Control, Elsevier, vol. 148(C).
    10. Yongming Shi & Khalid Ahmed & Sudharshan Reddy Paramati, 2021. "Determinants of stock market development and price volatility in ASEAN plus three countries: The role of institutional quality," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 560-572, January.
    11. Walid, Chkili & Chaker, Aloui & Masood, Omar & Fry, John, 2011. "Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach," Emerging Markets Review, Elsevier, vol. 12(3), pages 272-292, September.
    12. Cumperayot, Phornchanok & Keijzer, Tjeert & Kouwenberg, Roy, 2006. "Linkages between extreme stock market and currency returns," Journal of International Money and Finance, Elsevier, vol. 25(3), pages 528-550, April.
    13. Vietha Devia Sagita Sumantri, 2020. "Analysis Factors Affecting Indonesia Stock Market (Case Studies on Consumer Goods Index)," ACTA VSFS, University of Finance and Administration, vol. 14(1), pages 10-23.
    14. Mark Schaub & Todd A. Brown, 2015. "Long Term Adr Performance: How Do Regional Issues Listed On The Nyse Compare To Us And Regional Index Returns?," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 9(3), pages 45-58.
    15. Diamandis, Panayiotis F. & Drakos, Anastassios A., 2011. "Financial liberalization, exchange rates and stock prices: Exogenous shocks in four Latin America countries," Journal of Policy Modeling, Elsevier, vol. 33(3), pages 381-394, May.
    16. Mohamed El Hedi Arouri, 2006. "Are Stock Markets Integrated? Evidence from a Partially Segmented ICAPM with Asymmetric Effects," Working Papers hal-00387109, HAL.
    17. Vanderlei Kleinschmidt & Roberto Meurer, 2008. "Interdependence in conditional variances between Latin American stock markets," Anais do XXXVI Encontro Nacional de Economia [Proceedings of the 36th Brazilian Economics Meeting] 200807211543080, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    18. Pami Dua & Divya Tuteja, 2021. "Regime Shifts in the Behaviour of International Currency and Equity Markets: A Markov-Switching Analysis," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 309-336, December.
    19. Afees A. Salisu & Umar B. Ndako, 2017. "Modelling stock price-exchange rate nexus in OECD countries - A new perspective," Working Papers 038, Centre for Econometric and Allied Research, University of Ibadan.
    20. Ye Bai & Christopher Green, 2011. "Determinants of cross-sectional stock return variations in emerging markets," Empirical Economics, Springer, vol. 41(1), pages 81-102, August.
    21. Suleyman Hilmi Kal & Ferhat Arslaner & Nuran Arslaner, 2015. "The Dynamic Relationship Between Stock, Bond and Foreign Exchange Markets," Working Papers 1512, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    22. Yang, Sheng-Ping, 2017. "Exchange rate dynamics and stock prices in small open economies: Evidence from Asia-Pacific countries," Pacific-Basin Finance Journal, Elsevier, vol. 46(PB), pages 337-354.
    23. Şebnem Er & Bengü Vuran Author-Workplace-Name: Teaching and Research Assistant, PhD, Istanbul University, Faculty of Business Administration, Finance Department, 2012. "Factors Affecting Stock Returns of Firms Quoted in ISE Market: A Dynamic Panel Data Approach," International Journal of Business and Social Research, LAR Center Press, vol. 2(1), pages 108-121, February.
    24. Izyani, Nurul & Masih, Mansur, 2018. "Do the trading partners’ exchange rates impact the export performance of a country? evidence from Malaysia," MPRA Paper 109907, University Library of Munich, Germany.
    25. Daniel Stavarek, 2004. "Linkages between Stock Prices and Exchange Rates in the EU and the United States," Finance 0406006, University Library of Munich, Germany.
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    27. Guglielmo Maria Caporale & John Hunter & Faek Menla Ali, 2013. "On the Linkages between Stock Prices and Exchange Rates: Evidence from the Banking Crisis of 2007-2010," CESifo Working Paper Series 4189, CESifo.
    28. Hunter, John & Menla Ali, Faek, 2014. "Money demand instability and real exchange rate persistence in the monetary model of USD–JPY exchange rate," Economic Modelling, Elsevier, vol. 40(C), pages 42-51.
    29. Banti, C, 2015. "Illiquidity in the stock and FX markets: an investigation of their cross-market dynamics," Essex Finance Centre Working Papers 15626, University of Essex, Essex Business School.
    30. Paul Alagidede & Theodore Panagiotidis & Xu Zhang, 2011. "Causal relationship between stock prices and exchange rates," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 20(1), pages 67-86.
    31. Xiyong Dong & Seong‐Min Yoon, 2018. "Structural breaks, dynamic correlations, and hedge and safe havens for stock and foreign exchange markets in Greater China," The World Economy, Wiley Blackwell, vol. 41(10), pages 2783-2803, October.
    32. Effiong, Ekpeno L., 2016. "Nonlinear Dependence between Stock Prices and Exchange Rate in Nigeria," MPRA Paper 74336, University Library of Munich, Germany.
    33. Ismail Fasanya & Ololade Periola & Abiodun Adetokunbo, 2023. "On the effects of Covid-19 pandemic on stock prices: an imminent global threat," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(3), pages 2231-2248, June.
    34. Ahmad Alrazni Alshammari, Basheer Altarturi, Buerhan Saiti, Latifah Munassar, 2020. "The impact of exchange rate, oil price and gold price on the Kuwaiti stock market: a wavelet analysis," European Journal of Comparative Economics, Cattaneo University (LIUC), vol. 17(1), pages 31-54, June.
    35. Rituparna Kar & Nityananda Sarkar, 2006. "Mean and volatility dynamics of Indian rupee/US dollar exchange rate series: an empirical investigation," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 13(1), pages 41-69, March.
    36. Muhammad Aftab & Rubi Ahmad & Izlin Ismail & Kate Phylaktis, 2021. "Economic integration and the currency and equity markets nexus," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5278-5301, October.
    37. Oguzhan Ozcelebi & Nurtac Yildirim, 2017. "Impacts of short-term interest rates on stock returns and exchange rates: Empirical evidence from EAGLE countries," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 26(2), pages 228-255, February.
    38. Moussa Wajdi, 2019. "The dynamic relationship between stock index and exchange rate: Evidence for Tunis," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 8(1), pages 1-4.
    39. Ho, Sin-Yu & Odhiambo, Nicholas, 2017. "Analysing the macroeconomic drivers of stock Market development in the Philippines," Working Papers 23439, University of South Africa, Department of Economics.
    40. Juan Carlos Cuestas & Bo Tang, 2015. "Exchange Rate Changes and Stock Returns in China: A Markov Switching SVAR Approach," Working Papers 2015024, The University of Sheffield, Department of Economics.
    41. Bang Nam Jeon & Lei Zhu & Dazhi Zheng, 2017. "Exchange rate exposure and financial crises: evidence from emerging Asian markets," Risk Management, Palgrave Macmillan, vol. 19(1), pages 53-71, February.
    42. Sin-Yu Ho, 2019. "The macroeconomic determinants of stock market development in Malaysia: an empirical analysis," Global Business and Economics Review, Inderscience Enterprises Ltd, vol. 21(2), pages 174-193.
    43. Boubaker, Heni & Zorgati, Mouna Ben Saad & Bannour, Nawres, 2021. "Interdependence between exchange rates: Evidence from multivariate analysis since the financial crisis to the COVID-19 crisis," Economic Analysis and Policy, Elsevier, vol. 71(C), pages 592-608.
    44. Lateef O. Akanni & Kazeem Isah, 2018. "Exchange Rate Movements on Sectoral Stock Prices of Nigerian Firms: Is there Evidence of Asymmetry?," Working Papers 046, Centre for Econometric and Allied Research, University of Ibadan.
    45. Fatum, Rasmus & Hattori, Takahiro & Yamamoto, Yohei, 2023. "Reserves and risk: Evidence from China," Journal of International Money and Finance, Elsevier, vol. 134(C).
    46. Elena Pelinescu & Delia-Elena Diacona?u, 2015. "The Volatility of Romanian Exchange Rate: A GARCH Approach," Review of Economics & Finance, Better Advances Press, Canada, vol. 5, pages 92-99, November.
    47. Liang, Chin-Chia & Lin, Jeng-Bau & Hsu, Hao-Cheng, 2013. "Reexamining the relationships between stock prices and exchange rates in ASEAN-5 using panel Granger causality approach," Economic Modelling, Elsevier, vol. 32(C), pages 560-563.
    48. Alsakka, Rasha & ap Gwilym, Owain, 2013. "Rating agencies’ signals during the European sovereign debt crisis: Market impact and spillovers," Journal of Economic Behavior & Organization, Elsevier, vol. 85(C), pages 144-162.
    49. Andrew Phiri, 2018. "Structural changes in exchange rate-stock returns dynamics in South Africa: Examining the role of crisis and new trading platform," Working Papers 1816, Department of Economics, Nelson Mandela University, revised Apr 2018.
    50. Yoshino, Naoyuki & Taghizadeh-Hesary, Farhad & Hassanzadeh, Ali & Prasetyo, Ahmad Danu, 2014. "Response of Stock Markets to Monetary Policy: An Asian Stock Market Perspective," ADBI Working Papers 497, Asian Development Bank Institute.
    51. Dilip Kumar & S. Maheswaran, 2013. "Return, Volatility and Risk Spillover from Oil Prices and the US Dollar Exchange Rate to the Indian Industrial Sectors," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 7(1), pages 61-91, February.
    52. Bo Tang, 2019. "Does the currency exposure affect stock returns of Chinese automobile firms?," Empirical Economics, Springer, vol. 57(1), pages 53-77, July.
    53. Tang, Xiaobo & Yao, Xingyuan, 2018. "Do financial structures affect exchange rate and stock price interaction? Evidence from emerging markets," Emerging Markets Review, Elsevier, vol. 34(C), pages 64-76.
    54. Ciner, Cetin & Gurdgiev, Constantin & Lucey, Brian M., 2013. "Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 202-211.
    55. Sui, Guo & Li, Huajiao & Feng, Sida & Liu, Xueyong & Jiang, Meihui, 2018. "Correlations of stock price fluctuations under multi-scale and multi-threshold scenarios," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1501-1512.
    56. Andrieş, Alin Marius & Plopeanu, Aurelian-Petruş & Sprincean, Nicu, 2023. "Institutional determinants of households’ financial investment behaviour across European countries," Economic Analysis and Policy, Elsevier, vol. 77(C), pages 300-325.
    57. A., Rjumohan, 2019. "Stock Markets: An Overview and A Literature Review," MPRA Paper 101855, University Library of Munich, Germany.
    58. Tachibana, Minoru, 2018. "Relationship between stock and currency markets conditional on the US stock returns: A vine copula approach," Journal of Multinational Financial Management, Elsevier, vol. 46(C), pages 75-106.
    59. Yin-Wong Cheung & Wenhao Wang, 2020. "Uncovered Interest Rate Parity Redux: Non- Uniform Effects," GRU Working Paper Series GRU_2020_004, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
    60. Xie, Zixiong & Chen, Shyh-Wei & Wu, An-Chi, 2020. "The foreign exchange and stock market nexus: New international evidence," International Review of Economics & Finance, Elsevier, vol. 67(C), pages 240-266.
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  26. Phylaktis, Kate & Ravazzolo, Fabiola, 2004. "Currency risk in emerging equity markets," Emerging Markets Review, Elsevier, vol. 5(3), pages 317-339, September.

    Cited by:

    1. Boubakri, Salem & Guillaumin, Cyriac, 2015. "Regional integration of the East Asian stock markets: An empirical assessment," Journal of International Money and Finance, Elsevier, vol. 57(C), pages 136-160.
    2. Kuchin I.I., 2016. "Exchange rate risk exposure in asset pricing theory," World of economics and management / Vestnik NSU. Series: Social and Economics Sciences, Socionet, vol. 16(3), pages 31-41.
    3. Boubakri, Salem & Couharde, Cécile & Raymond, Hélène, 2016. "Effects of financial turmoil on financial integration and risk premia in emerging markets," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 120-138.
    4. Aysun, Uluc & Guldi, Melanie, 2011. "Exchange rate exposure: A nonparametric approach," Emerging Markets Review, Elsevier, vol. 12(4), pages 321-337.
    5. Al-Shboul, Mohammad & Anwar, Sajid, 2014. "Pricing of the currency risk in the Canadian equity market," Research in International Business and Finance, Elsevier, vol. 30(C), pages 173-194.
    6. Huang, Lin & Wu, Jia & Zhang, Rui, 2014. "Exchange risk and asset returns: A theoretical and empirical study of an open economy asset pricing model," Emerging Markets Review, Elsevier, vol. 21(C), pages 96-116.
    7. Salem Boubakri & Cécile Couharde & Hélène Raymond, 2014. "Financial integration, financial turmoil and risk premia in emerging markets," Working Papers hal-04141291, HAL.
    8. Peltomäki, Jarkko, 2008. "Emerging market hedge funds and the yen carry trade," Emerging Markets Review, Elsevier, vol. 9(3), pages 220-229, September.
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    11. Dranev Yury & Maxim Babushkin, 2014. "Asymmetric exchange-rate exposure in BRIC countries," HSE Working papers WP BRP 27/FE/2014, National Research University Higher School of Economics.
    12. Mariia Bondarenko & Karel Brůna, 2021. "The Impact of FX Exposure on the Firm's Stock Market Return," European Financial and Accounting Journal, Prague University of Economics and Business, vol. 2021(1), pages 45-70.
    13. Bartram, Söhnke M. & Bodnar, Gordon M., 2012. "Crossing the lines: The conditional relation between exchange rate exposure and stock returns in emerging and developed markets," Journal of International Money and Finance, Elsevier, vol. 31(4), pages 766-792.
    14. Azher, Sara & Iqbal, Javed, 2016. "Pricing of foreign exchange risk and market segmentation: Evidence from Pakistan's equity market," Journal of Asian Economics, Elsevier, vol. 43(C), pages 37-48.
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    17. Korkmaz, Turhan & Cevik, Emrah Ismail & Gurkan, Serhan, 2010. "Testing the international capital asset pricing model with Markov switching model in emerging markets," MPRA Paper 71481, University Library of Munich, Germany, revised 2010.
    18. Saleem, Kashif & Vaihekoski, Mika, 2007. "Time-varying global and local sources of risk in Russian stock market," MPRA Paper 5787, University Library of Munich, Germany.
    19. Saleem, Kashif & Vaihekoski, Mika, 2008. "Pricing of global and local sources of risk in Russian stock market," Emerging Markets Review, Elsevier, vol. 9(1), pages 40-56, March.
    20. Carrieri, Francesca & Errunza, Vihang & Majerbi, Basma, 2006. "Local risk factors in emerging markets: Are they separately priced?," Journal of Empirical Finance, Elsevier, vol. 13(4-5), pages 444-461, October.
    21. Bruce Hearn & Jenifer Piesse, 2008. "Opportunities And Costs Of Portfolio Diversification In Sadc'S Smallest Equity Markets," South African Journal of Economics, Economic Society of South Africa, vol. 76(3), pages 399-426, September.
    22. Kodongo, Odongo & Ojah, Kalu, 2014. "Conditional pricing of currency risk in Africa's equity markets," Emerging Markets Review, Elsevier, vol. 21(C), pages 133-155.
    23. Ines Chaieb & Vihang Errunza & Basma Majerbi, 2013. "Do emerging markets provide currency diversification benefits?," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, vol. 5(1/2), pages 102-120.

  27. Phylaktis, Kate & Ravazzolo, Fabiola, 2002. "Measuring financial and economic integration with equity prices in emerging markets," Journal of International Money and Finance, Elsevier, vol. 21(6), pages 879-903, November.

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    1. Ramona DUMITRIU & Razvan STEFANESCU, 2014. "Gone Fishin’ Effects In Returns," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 254-261.
    2. Ekaterini Panopoulou & Michail Koubouros, 2005. "Intertemporal Market Risks and the Cross-Section of Greek Average Returns," Economics Department Working Paper Series n1610206, Department of Economics, National University of Ireland - Maynooth.
    3. Abdol S. Soofi & Zhe Li & Xiaofeng Hui, 2012. "Nonlinear interdependence of the Chinese stock markets," Quantitative Finance, Taylor & Francis Journals, vol. 12(3), pages 397-410, November.
    4. Al Nasser, Omar M. & Hajilee, Massomeh, 2016. "Integration of emerging stock markets with global stock markets," Research in International Business and Finance, Elsevier, vol. 36(C), pages 1-12.
    5. Mohamed El Hedi Arouri, 2006. "Are Stock Markets Integrated? Evidence from a Partially Segmented ICAPM with Asymmetric Effects," Working Papers hal-00387109, HAL.
    6. Patrick J. Wilson & Ralf Zurbruegg & Richard Gerlach, 2002. "Structural Breaks and Diversification: The Impact of the 1997 Asian Financial Crisis on the Integration of Asia Pacific Real Estate Markets," ERES eres2002_140, European Real Estate Society (ERES).
    7. Liow, Kim Hiang & Webb, James R., 2009. "Common factors in international securitized real estate markets," Review of Financial Economics, Elsevier, vol. 18(2), pages 80-89, April.
    8. Boubakri, Salem & Couharde, Cécile & Raymond, Hélène, 2016. "Effects of financial turmoil on financial integration and risk premia in emerging markets," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 120-138.
    9. Kate Phylaktis & Lichuan Xia, 2009. "Equity Market Comovement and Contagion: A Sectoral Perspective," Financial Management, Financial Management Association International, vol. 38(2), pages 381-409, June.
    10. Lee, Hyunchul & Cho, Seung Mo, 2017. "What drives dynamic comovements of stock markets in the Pacific Basin region?: A quantile regression approach," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 314-327.
    11. Donadelli, M. & Gufler, I. & Paradiso, A., 2024. "Financial market integration: A complex and controversial journey," International Review of Financial Analysis, Elsevier, vol. 92(C).
    12. Michail Koubouros & Ekaterini Panopoulou, 2007. "Intertemporal Market Risks and the Cross–Section of Greek Average Returns," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 6(2), pages 203-227, May.
    13. Cenedese, Gino & Mallucci, Enrico, 2016. "What moves international stock and bond markets?," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 94-113.
    14. Kian-Ping Lim & Hock-Ann Lee & Venus Khim-Sen Liew, 2003. "International Diversification Benefits in ASEAN Stock Markets: a Revisit," Finance 0308003, University Library of Munich, Germany.
    15. Phylaktis, Kate & Ravazzolo, Fabiola, 2005. "Stock prices and exchange rate dynamics," Journal of International Money and Finance, Elsevier, vol. 24(7), pages 1031-1053, November.
    16. Tony Cavoli, 2006. "Financial Integration in East Asia: How Far? How Much Further to Go?," Working Papers id:372, eSocialSciences.
    17. Aktham Maghyereh, 2006. "Regional Integration of Stock Markets in MENA Countries," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 5(1), pages 59-94, April.
    18. Salem Boubakri & Cécile Couharde & Hélène Raymond, 2014. "Financial integration, financial turmoil and risk premia in emerging markets," Working Papers hal-04141291, HAL.
    19. Ahmad, Nasir & Rehman, Mobeen Ur & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "Does inter-region portfolio diversification pay more than the international diversification?," The Quarterly Review of Economics and Finance, Elsevier, vol. 83(C), pages 26-35.
    20. Ilse Botha, 2010. "A Comparative Analysis Of The Synchronisation Of Business Cycles For Developed And Developing Economies With The World Business Cycle," South African Journal of Economics, Economic Society of South Africa, vol. 78(2), pages 192-207, June.
    21. W.I.C.S. Gunasinghe, 2005. "Behaviour of Stock Markets in South Asia," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, vol. 6(2), pages 165-191, September.
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    47. Giorgio Valente, 2005. "US Monetary Policy Announcements and the Term Structure of Interest Rate Differentials: Evidence from Hong Kong and Singapore," Working Papers 092005, Hong Kong Institute for Monetary Research.
    48. Chancharat,Surachai & Valadkhani, Abbas, 2007. "An Empirical Analysis of the Thai and Major International Stock Markets," Economics Working Papers wp07-13, School of Economics, University of Wollongong, NSW, Australia.
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    50. Nistor, Costel & Dumitriu, Ramona & Stefanescu, Razvan, 2012. "Impact of the global crisis on the linkages between CAC 40 and indexes from CEE countries," MPRA Paper 42511, University Library of Munich, Germany, revised 18 Sep 2012.
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    52. Darrat, Ali F. & Zhong, Maosen, 2005. "Equity market linkage and multinational trade accords: The case of NAFTA," Journal of International Money and Finance, Elsevier, vol. 24(5), pages 793-817, September.
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    55. Claudio Morana, 2008. "International stock markets comovements: the role of economic and financial integration," Empirical Economics, Springer, vol. 35(2), pages 333-359, September.
    56. Ming†Chieh Wang & Feng†Ming Shih, 2013. "Time†Varying World and Regional Integration in Emerging European Equity Markets," European Financial Management, European Financial Management Association, vol. 19(4), pages 703-729, September.
    57. Canh, Nguyen Phuc & Schinckus, Christophe & Thanh, Su Dinh & Chong, Felicia Hui Ling, 2021. "The determinants of the energy consumption: A shadow economy-based perspective," Energy, Elsevier, vol. 225(C).
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    62. Behrooz Gharleghi & Asghar Afshar Jahanshahi, 2020. "The way to sustainable development through income equality: The impact of trade liberalisation and financial development," Sustainable Development, John Wiley & Sons, Ltd., vol. 28(4), pages 990-1001, July.
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    66. Hyde, Stuart J & Bredin, Don P & Nguyen, Nghia, 2007. "Correlation dynamics between Asia-Pacific, EU and US stock returns," MPRA Paper 9681, University Library of Munich, Germany.
    67. Stan Shun-Pinn Lee & Kim-Leng Goh, 2016. "Regional and International Linkages of the ASEAN-5 Stock Markets: A Multivariate Garch Approach," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 12(1), pages 49-71.
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  28. Phylaktis, Kate & Girardin, Eric, 2001. "Foreign exchange markets in transition economies: China," Journal of Development Economics, Elsevier, vol. 64(1), pages 215-235, February.

    Cited by:

    1. Chi Wei Su & Heng-Guo Zhang & Hsu-Ling Chang & Rui Nian, 2016. "Is exchange rate stability beneficial for stabilizing consumer prices in China?," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 25(6), pages 857-879, September.
    2. Chi-Wei Su, 2012. "The relationship between exchange rate and macroeconomic variables in China," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 30(1), pages 33-56.
    3. Erten, Bilge & Ocampo, José Antonio, 2013. "Super Cycles of Commodity Prices Since the Mid-Nineteenth Century," World Development, Elsevier, vol. 44(C), pages 14-30.
    4. Hall, Stephen G. & Guo, Qian, 2012. "Spatial panel data analysis with feasible GLS techniques: An application to the Chinese real exchange rate," Economic Modelling, Elsevier, vol. 29(1), pages 41-47.
    5. Paresh Kumar Narayan & Russell Smyth, 2006. "The dynamic relationship between real exchange rates, real interest rates and foreign exchange reserves: empirical evidence from China," Applied Financial Economics, Taylor & Francis Journals, vol. 16(9), pages 639-651.
    6. Paresh Kumar Narayan & Russell Smyth, 2004. "The relationship between the real exchange rate and balance of payments: empirical evidence for China from cointegration and causality testing," Applied Economics Letters, Taylor & Francis Journals, vol. 11(5), pages 287-291.
    7. GUO, Qian, 2010. "The Balassa-Samuelson model of purchasing power parity and Chinese exchange rates," China Economic Review, Elsevier, vol. 21(2), pages 334-345, June.
    8. Maria Herrerias, 2010. "The causal relationship between equipment investment and infrastructures on economic growth in China," Frontiers of Economics in China, Springer;Higher Education Press, vol. 5(4), pages 509-526, December.
    9. Maozu Lu & Zhichao Zhang, 2003. "Exchange rate reform and its inflationary consequences: an empirical analysis for China," Applied Economics, Taylor & Francis Journals, vol. 35(2), pages 189-199.
    10. Joerg Scheibe & David Vines, 2005. "A Phillips Curve For China," CAMA Working Papers 2005-02, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    11. Kanas, Angelos & Kouretas, Georgios P., 2007. "Regime dependence between the official and parallel foreign currency markets for US dollars in Greece," Journal of Macroeconomics, Elsevier, vol. 29(2), pages 431-449, June.
    12. Firew B Woldeyes, 2013. "Long-Run Effects of Resource Rents in Developing Countries: The role of public investment management," OxCarre Working Papers 105, Oxford Centre for the Analysis of Resource Rich Economies, University of Oxford.
    13. Alper ASLAN, 2010. "The validity of PPP: evidence from Lagrange multiplier unit root tests for ASEAN countries," Economics Bulletin, AccessEcon, vol. 30(2), pages 1433-1443.
    14. Meixing Dai, 2011. "Motivations and strategies for a real revaluation of the Yuan," Working Papers of BETA 2011-23, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
    15. Mina Baliamoune-Lutz, 2010. "Black and official exchange rates in Morocco: an analysis of their long-run behaviour and short-run dynamics (1974-1992)," Applied Economics, Taylor & Francis Journals, vol. 42(27), pages 3481-3490.
    16. M. Herrerias & Vicente Orts, 2012. "Equipment investment, output and productivity in China," Empirical Economics, Springer, vol. 42(1), pages 181-207, February.
    17. Mohsen Fardmanesh & Seymour Douglas, 2008. "Foreign Exchange Controls and the Parallel Market Premium," Review of Development Economics, Wiley Blackwell, vol. 12(1), pages 72-89, February.
    18. Mario Cerrato & Nicholas Sarantis, 2007. "Does purchasing power parity hold in emerging markets? Evidence from a panel of black market exchange rates," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(4), pages 427-444.
    19. Fardmanesh, Mohsen & Douglas, Seymour, 2003. "Foreign Exchange Controls, Fiscal and Monetary Policy, and the Black Market Premium," Center Discussion Papers 28514, Yale University, Economic Growth Center.
    20. Herrerias, M.J. & Orts, Vicente, 2011. "Imports and growth in China," Economic Modelling, Elsevier, vol. 28(6), pages 2811-2819.
    21. Kubo, Koji, 2015. "Transition from black to official markets for foreign exchange in Myanmar," IDE Discussion Papers 511, Institute of Developing Economies, Japan External Trade Organization(JETRO).

  29. Michael Moore & Kate Phylaktis, 2000. "Black and official exchange rates in the Pacific Basin: some tests of dynamic behaviour," Applied Financial Economics, Taylor & Francis Journals, vol. 10(4), pages 361-369.

    Cited by:

    1. Jesús Otero & Costas Milas, 2001. "Modelling Official And Parallel Exchange Rates In Colombia Under Alternative Regimes: A Non-Linear Approach," CeNDEF Workshop Papers, January 2001 PO2, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    2. John Dawson & Steven Millsaps & Mark Strazicich, 2004. "Trend Breaks and Seasonality in the Yugoslav Black Market for Dollars, 1974-1987," Working Papers 04-04, Department of Economics, Appalachian State University, revised 2005.
    3. Diamandis, Panayiotis F., 2003. "Market efficiency, purchasing power parity, and the official and parallel markets for foreign currency in Latin America," International Review of Economics & Finance, Elsevier, vol. 12(1), pages 89-110.
    4. Diamandis, Panayiotis F. & Kouretas, Georgios P. & Zarangas, Leonidas, 2007. "Dual foreign currency markets and the role of expectations: Evidence from the Pacific Basin countries," Research in International Business and Finance, Elsevier, vol. 21(2), pages 238-259, June.
    5. Kehinde Mary Bello, 2024. "Parallel exchange rate market and macroeconomic performance in Nigeria: SVAR approach," SN Business & Economics, Springer, vol. 4(11), pages 1-24, November.
    6. Sovannroeun Samreth, 2010. "A Note on Short-Run and Long-Run Relationships between Parallel and Official Exchange Rates: The Case of Cambodia," Economics Bulletin, AccessEcon, vol. 30(2), pages 1044-1053.
    7. Kanas, Angelos & Kouretas, Georgios P., 2007. "Regime dependence between the official and parallel foreign currency markets for US dollars in Greece," Journal of Macroeconomics, Elsevier, vol. 29(2), pages 431-449, June.
    8. Ferit Kula & Alper Aslan & lhan zt rk, 2014. "Long Run Tendencies and Short Run Adjustments Between Official and Black Market Exchange Rates in MENA Countries," International Journal of Economics and Financial Issues, Econjournals, vol. 4(3), pages 494-500.
    9. Panayiotis Diamandis & Georgios Kouretas & Leonidas Zarangas, 2005. "Expectations and the black market premium for foreign currency in Greece," Applied Financial Economics, Taylor & Francis Journals, vol. 15(10), pages 667-677.
    10. Mina Baliamoune-Lutz, 2010. "Black and official exchange rates in Morocco: an analysis of their long-run behaviour and short-run dynamics (1974-1992)," Applied Economics, Taylor & Francis Journals, vol. 42(27), pages 3481-3490.
    11. Nektarios Aslanidis & George Kouretas, 2003. "Testing for two-regime threshold cointegration in the parallel and official markets for foreign currency in Greece," Working Papers 0311, University of Crete, Department of Economics.
    12. Huett, Hannes & Krapf, Matthias & Uysal, S. Derya, 2014. "Price dynamics in the Belarusian black market for foreign exchange," Journal of International Economics, Elsevier, vol. 94(1), pages 169-176.
    13. Panayiotis Diamantis & Dimitris Georgoutsos & George Kouretas, 2001. "The Monetary Approach in the Presence of I(2) Components: A Cointegration Analysis of the Official and Black Market for Foreign Currency in Latin America," Working Papers 0108, University of Crete, Department of Economics.
    14. Minh Tam Bui, 2018. "Causality in Vietnam’s Parallel Exchange Rate System during 2005–2011: Policy Implications for Macroeconomic Stability," Economies, MDPI, vol. 6(4), pages 1-20, December.
    15. Diamandis, Panayiotis F. & Drakos, Anastassios A., 2005. "Long-run dynamics of official and black-market exchange rates in Latin America," Global Finance Journal, Elsevier, vol. 15(3), pages 219-237, February.
    16. Onour, Ibrahim, 2020. "Modeling the impact of economic sanctions on a small open economy: A dynamic approach," MPRA Paper 116005, University Library of Munich, Germany.

  30. Phylaktis, Kate, 1999. "Capital market integration in the Pacific Basin region: an impulse response analysis," Journal of International Money and Finance, Elsevier, vol. 18(2), pages 267-287, February.

    Cited by:

    1. Chi Wei Su & Heng-Guo Zhang & Hsu-Ling Chang & Rui Nian, 2016. "Is exchange rate stability beneficial for stabilizing consumer prices in China?," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 25(6), pages 857-879, September.
    2. Amornthum, Somchai & Bonham, Carl S., 2011. "Financial integration in the pacific basin region: RIP by PANIC attack?," Journal of International Money and Finance, Elsevier, vol. 30(6), pages 1019-1033, October.
    3. Giorgio Canarella & Luis A. Gil-Alana & Rangan Gupta & Stephen M. Miller, 2022. "Globalization, long memory, and real interest rate convergence: a historical perspective," Empirical Economics, Springer, vol. 63(5), pages 2331-2355, November.
    4. Francisco J. Climent & Vicente Meneu, "undated". "Has 1997 Asian Crisis Increased Information Flows Between International Markets?," Working Papers on International Economics and Finance 01-01, FEDEA.
    5. Alex Luiz Ferreira & Miguel León-Ledesma, 2003. "Does the Real Interest Parity Hypothesis Hold? Evidence for Developed and Emerging Markets," Studies in Economics 0301, School of Economics, University of Kent.
    6. Vuyyuri, S., 2004. "Linkages of Indian Interest Rates with US and Japanese Rates," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 4(2).
    7. Guglielmo Maria Caporale & Hector Carcel & Luis A. Gil-Alana, 2017. "Central Bank Policy Rates: Are they Cointegrated?," CESifo Working Paper Series 6389, CESifo.
    8. Sirichand, Kavita & Vivian, Andrew & Wohar, Mark E., 2015. "Examining real interest parity: Which component reverts quickest and in which regime?," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 72-83.
    9. Patrick J. Wilson & Ralf Zurbruegg & Richard Gerlach, 2002. "Structural Breaks and Diversification: The Impact of the 1997 Asian Financial Crisis on the Integration of Asia Pacific Real Estate Markets," ERES eres2002_140, European Real Estate Society (ERES).
    10. Ali F. Darrat & Omar M. Benkato, 2003. "Interdependence and Volatility Spillovers Under Market Liberalization: The Case of Istanbul Stock Exchange," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 30(7‐8), pages 1089-1114, September.
    11. Lee, Byung-Joo, 2019. "Asian financial market integration and the role of Chinese financial market," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 490-499.
    12. Ji, Philip Inyeob & Kim, Jae H., 2009. "Real interest rate linkages in the Pacific-Basin region," International Review of Economics & Finance, Elsevier, vol. 18(3), pages 440-448, June.
    13. Chan, Tze-Haw & Baharumshah, Ahmad Zubaidi & Lau, Evan, 2005. "Real Financial Integration among the East Asian Economies: A SURADF Panel Approach," MPRA Paper 2021, University Library of Munich, Germany, revised Feb 2007.
    14. Refk Selmi & Christos Kollias & Stephanos Papadamou & Rangan Gupta, 2017. "A Copula-Based Quantile-on-Quantile Regression Approach to Modeling Dependence Structure between Stock and Bond Returns: Evidence from Historical Data of India, South Africa, UK and US," Working Papers 201747, University of Pretoria, Department of Economics.
    15. Patrick Wilson & Ralf Zurbruegg, 2003. "Trends and Spectral Response: An Examination of the US Realty Market," Centre for International Economic Studies Working Papers 2003-15, University of Adelaide, Centre for International Economic Studies.
    16. Mohsen Bahmani‐Oskooee & Tsangyao Chang & Zahra (Mila) Elmi & Omid Ranjbar, 2019. "Real Interest Rate Parity And Fourier Quantile Unit Root Test," Bulletin of Economic Research, Wiley Blackwell, vol. 71(3), pages 348-358, July.
    17. Phylaktis, Kate & Ravazzolo, Fabiola, 2005. "Stock prices and exchange rate dynamics," Journal of International Money and Finance, Elsevier, vol. 24(7), pages 1031-1053, November.
    18. Muhammad Aftab & Rubi Ahmad & Izlin Ismail & Kate Phylaktis, 2021. "Economic integration and the currency and equity markets nexus," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5278-5301, October.
    19. Aktham Maghyereh, 2006. "Regional Integration of Stock Markets in MENA Countries," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 5(1), pages 59-94, April.
    20. Jamal Bouoiyour & Refk Selmi, 2016. "The responses of BRICS Equities to China's Slowdown: A Multi-Scale Causality Analysis," Working papers of CATT hal-01880323, HAL.
    21. Baharumshah, Ahmad Zubaidi & Soon, Siew-Voon & Hamzah, Nor Aishah, 2013. "Parity reversion in real interest rate in the Asian countries: Further evidence based on local-persistent model," Economic Modelling, Elsevier, vol. 35(C), pages 634-642.
    22. Öge Güney, Pelin & Hasanov, Mübariz, 2014. "Real interest rate parity hypothesis in post-Soviet countries: Evidence from unit root tests," Economic Modelling, Elsevier, vol. 36(C), pages 120-129.
    23. Kenourgios, Dimitris & Samitas, Aristeidis, 2011. "Equity market integration in emerging Balkan markets," Research in International Business and Finance, Elsevier, vol. 25(3), pages 296-307, September.
    24. Zurbruegg, R. & Allsopp, L., 2004. "Purchasing power parity and the impact of the East Asian currency crisis," Journal of Asian Economics, Elsevier, vol. 15(4), pages 739-758, August.
    25. Mahua Barari & Brian Lucey & Svitlana Voronkova, 2005. "Integration among G7 Equity Market: Evidence from iShares," The Institute for International Integration Studies Discussion Paper Series iiisdp078, IIIS.
    26. Ali F Darrat & Anita Pennathur, 2002. "Are the Arab Maghreb countries really integratable?," Review of Financial Economics, John Wiley & Sons, vol. 11(2), pages 79-90.
    27. Ben Rejeb, Aymen & Arfaoui, Mongi, 2016. "Financial market interdependencies: A quantile regression analysis of volatility spillover," Research in International Business and Finance, Elsevier, vol. 36(C), pages 140-157.
    28. Cécile Couharde & Cyriac Guillaumin, 2011. "Chocs externes et perspective d'union monétaire en Asie de l'Est : les enseignements d'un modèle VAR structurel," Post-Print halshs-00632373, HAL.
    29. Nafeesa Yunus, 2009. "Increasing Convergence Between U.S. and International Securitized Property Markets: Evidence Based on Cointegration Tests," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 37(3), pages 383-411, September.
    30. Liu, Lin & Chang, Hsu-Ling & Su, Chi-Wei & Jiang, Chun, 2013. "Real interest rate parity in East Asian countries based on China with flexible Fourier stationary test," Japan and the World Economy, Elsevier, vol. 25, pages 52-58.
    31. Chow, Hwee Kwan & Kim, Yoonbai, 2003. "A common currency peg in East Asia? Perspectives from Western Europe," Journal of Macroeconomics, Elsevier, vol. 25(3), pages 331-350, September.
    32. A., Rjumohan, 2019. "Stock Markets: An Overview and A Literature Review," MPRA Paper 101855, University Library of Munich, Germany.
    33. Selmi, Refk & Bouoiyour, Jamal & Miftah, Amal, 2019. "China's “New normal”: Will China's growth slowdown derail the BRICS stock markets?," International Economics, Elsevier, vol. 159(C), pages 121-139.
    34. Chan, Tze-Haw, 2012. "Assessing the international parity conditions and transmission mechanism for Malaysia-China," MPRA Paper 38930, University Library of Munich, Germany.
    35. Shamsuddin, Abul F. M. & Kim, Jae H., 2003. "Integration and interdependence of stock and foreign exchange markets: an Australian perspective," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(3), pages 237-254, July.
    36. Abdullah Gulcu & Dilem Yildirim, 2018. "Smooth Breaks And Nonlinear Mean Reversion In Real Interest Parity: Evidence From East Asian Countries," ERC Working Papers 1804, ERC - Economic Research Center, Middle East Technical University, revised Feb 2018.
    37. Voronkova, Svitlana, 2004. "Equity market integration in Central European emerging markets: A cointegration analysis with shifting regimes," International Review of Financial Analysis, Elsevier, vol. 13(5), pages 633-647.
    38. Zixiong Xie & Shyh-Wei Chen & An-Chi Wu, 2023. "Real interest rate parity in the Pacific Rim countries: new empirical evidence," Empirical Economics, Springer, vol. 64(3), pages 1471-1515, March.
    39. Chan, Tze-Haw & Khong, Wye Leong Roy & Baharumshah, Ahmad Zubaidi, 2003. "Dynamic Financial Linkages of Japan and ASEAN Economies: An Application of Real Interest Parity," MPRA Paper 2209, University Library of Munich, Germany, revised 2003.
    40. Kim, Suk-Joong, 2005. "Information leadership in the advanced Asia-Pacific stock markets: Return, volatility and volume information spillovers from the US and Japan," Journal of the Japanese and International Economies, Elsevier, vol. 19(3), pages 338-365, September.
    41. Kemal Eyuboglu & Sinem Eyuboglu, 2017. "Examining the Developed and Emerging Bond Market Interactions: A VAR Analysis," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 13(2), pages 139-156, April.
    42. Baharumshah, Ahmad Zubaidi & Chan, Tze-Haw & Masih, A. Mansur A., 2005. "Financial Integration of East Asian Economies: Evidence from Real Interest Parity," MPRA Paper 2210, University Library of Munich, Germany, revised 2007.
    43. Anoruo, Emmanuel & Ramchander, Sanjay & Thiewes, Harold F., 2002. "International linkage of interest rates: Evidence from the emerging economies of Asia," Global Finance Journal, Elsevier, vol. 13(2), pages 217-235.
    44. Mancuso, Anthony J. & Goodwin, Barry K. & Grennes, Thomas J., 2003. "Nonlinear aspects of capital market integration and real interest rate equalization," International Review of Economics & Finance, Elsevier, vol. 12(3), pages 283-303.
    45. Yamada, Hiroshi, 2002. "On the linkage of real interest rates between the US and Canada: some additional empirical evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 12(3), pages 279-289, July.
    46. Arghyrou, Michael G & Gregoriou, Andros & Kontonikas, Alexandros, 2007. "Do real interest rates converge? Evidence from the European Union," Cardiff Economics Working Papers E2007/26, Cardiff University, Cardiff Business School, Economics Section.
    47. Baharumshah, Ahmad Zubaidi & Soon, Siew-Voon & Boršič, Darja, 2013. "Real interest parity in Central and Eastern European countries: Evidence on integration into EU and the US markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 25(C), pages 163-180.
    48. Zhaoyong Zhang & Kiyotaka Sato & Michael McAleer, 2003. "Asian Monetary Integration: A Structural VAR Approach," CIRJE F-Series CIRJE-F-212, CIRJE, Faculty of Economics, University of Tokyo.
    49. Chan, Tze-Haw, 2008. "International Parities among China and Her Major Trading Partners in Asia Pacific," MPRA Paper 15504, University Library of Munich, Germany, revised 06 Apr 2009.
    50. Nazlioglu, Saban & Kucukkaplan, Ilhan & Kilic, Emre & Altuntas, Mehmet, 2022. "Financial market integration of emerging markets: Heavy tails, structural shifts, nonlinearity, and asymmetric persistence," Research in International Business and Finance, Elsevier, vol. 62(C).
    51. Osamah Al-Khazali & Ali Darrat & Mohsen Saad, 2006. "Intra-regional integration of the GCC stock markets: the role of market liberalization," Applied Financial Economics, Taylor & Francis Journals, vol. 16(17), pages 1265-1272.
    52. Cheng-Feng Lee & Ching-Chuan Tsong, 2012. "A revisit on real interest rate parity hypothesis -- simulation evidence from efficient unit root tests," Applied Economics, Taylor & Francis Journals, vol. 44(24), pages 3089-3099, August.
    53. Nafeesa Yunus & J. Hansz & Paul Kennedy, 2012. "Dynamic Interactions Between Private and Public Real Estate Markets: Some International Evidence," The Journal of Real Estate Finance and Economics, Springer, vol. 45(4), pages 1021-1040, November.
    54. Renatas Kizys & Christian Pierdzioch, 2011. "The Financial Crisis and the Stock Markets of the CEE Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 61(2), pages 153-172, June.
    55. Chan, Tze-Haw, 2002. "Dynamic financial linkages among the Asia Pacific economies: an empirical assessment of real interest parity condition," MPRA Paper 34642, University Library of Munich, Germany.
    56. Cotter, John & Stevenson, Simon, 2004. "Uncovering Volatility Dynamics in Daily REIT Returns," MPRA Paper 3533, University Library of Munich, Germany, revised 2005.
    57. Giorgio Valente, 2005. "US Monetary Policy Announcements and the Term Structure of Interest Rate Differentials: Evidence from Hong Kong and Singapore," Working Papers 092005, Hong Kong Institute for Monetary Research.
    58. Ali Darrat & Fatima Al-Shamsi, 2005. "On the path of integration in the Gulf region," Applied Economics, Taylor & Francis Journals, vol. 37(9), pages 1055-1062.
    59. Sei-Wan Kim & Moon Jung Choi, 2016. "Does Intra-Regional Trade Matter in Regional Stock Markets?: New Evidence from Asia-Pacific Region," Working Papers 2016-11, Economic Research Institute, Bank of Korea.
    60. Saifuzzaman Ibrahim, 2011. "The Progress of Financial Market Integration in East Asia," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), vol. 18(2), pages 458-470, December.
    61. Darrat, Ali F. & Zhong, Maosen, 2005. "Equity market linkage and multinational trade accords: The case of NAFTA," Journal of International Money and Finance, Elsevier, vol. 24(5), pages 793-817, September.
    62. Patel, Ajay & Shoesmith, Gary L., 2004. "Term structure linkages surrounding the Plaza and Louvre accords: Evidence from Euro-rates and long-memory components," Journal of Banking & Finance, Elsevier, vol. 28(9), pages 2051-2075, September.
    63. Koutmos, Gregory & Martin, Anna D., 2011. "Currency bid-ask spread dynamics and the Asian crisis: Evidence across currency regimes," Journal of International Money and Finance, Elsevier, vol. 30(1), pages 62-73, February.
    64. Su, Chi-Wei & Chang, Hsu-Ling & Chang, Tsangyao & Yin, Kedong, 2014. "Monetary convergence in East Asian countries relative to China," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 228-237.
    65. Mübariz Hasanov & Tolga Omay & Vasif Abioglu, 2024. "Re-examining the real interest rate parity hypothesis under temporary gradual breaks and nonlinear convergence," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 23(3), pages 355-382, September.
    66. Sei‐Wan Kim & Moon Jung Choi & Young‐Min Kim, 2019. "Does Intra‐regional Trade Matter in Regional Stock Markets? New Evidence from the Asia‐Pacific Region," Asian Economic Journal, East Asian Economic Association, vol. 33(3), pages 253-280, September.
    67. Aftab, Muhammad & Phylaktis, Kate, 2022. "Economic integration and exchange market pressure in a policy uncertain world," Journal of International Money and Finance, Elsevier, vol. 128(C).
    68. Phylaktis, Kate & Ravazzolo, Fabiola, 2002. "Measuring financial and economic integration with equity prices in emerging markets," Journal of International Money and Finance, Elsevier, vol. 21(6), pages 879-903, November.
    69. Nieh, Chien-Chung & Yau, Hwey-Yun, 2004. "Time series analysis for the interest rates relationships among China, Hong Kong, and Taiwan money markets," Journal of Asian Economics, Elsevier, vol. 15(1), pages 171-188, February.
    70. Gregory Birg & Brian M. Lucey, 2006. "Integration of smaller European equity markets: a time-varying integration score analysis," Applied Financial Economics Letters, Taylor & Francis Journals, vol. 2(6), pages 395-400.
    71. Darrat, Ali F. & Pennathur, Anita, 2002. "Are the Arab Maghreb countries really integratable?: Some evidence from the theory of cointegrated systems," Review of Financial Economics, Elsevier, vol. 11(2), pages 79-90.
    72. Nuruddeen Usman & Martins Apinran, 2024. "Policy rates in ECOWAS: are they fractionally cointegrated?," SN Business & Economics, Springer, vol. 4(11), pages 1-15, November.
    73. Holmes, Mark J. & Maghrebi, Nabil, 2004. "Asian real interest rates, nonlinear dynamics, and international parity," International Review of Economics & Finance, Elsevier, vol. 13(4), pages 387-405.
    74. Patricia Fraser & Oluwatobi Oyefeso, 2005. "US, UK and European Stock Market Integration," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 32(1‐2), pages 161-181, January.
    75. Hyde, Stuart J & Bredin, Don P & Nguyen, Nghia, 2007. "Correlation dynamics between Asia-Pacific, EU and US stock returns," MPRA Paper 9681, University Library of Munich, Germany.
    76. Robert B. Durand & Koh Sze Kee & Iain Watson, 2001. "Who Moved Asian-Pacific Stock Markets? A Further Consideration Of The Impact of the US and Japan," Australian Journal of Management, Australian School of Business, vol. 26(2), pages 125-145, December.
    77. Jian Yang & Jaeun Shin & Moosa Khan, 2007. "Causal linkages between US and Eurodollar interest rates: further evidence," Applied Economics, Taylor & Francis Journals, vol. 39(2), pages 135-144.
    78. Ramya Rajajagadeesan Aroul & Peggy E. Swanson, 2018. "Linkages Between the Foreign Exchange Markets of BRIC Countries—Brazil, Russia, India and China—and the USA," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(3), pages 333-353, December.
    79. Katharina Diekmann, 2011. "Are there Spillover Effects from Hong Kong and the United States to Chinese Stock Markets?," IEER Working Papers 89, Institute of Empirical Economic Research, Osnabrueck University.
    80. Ching-Chuan Tsong & Cheng-Feng Lee, 2013. "Further Evidence On Real Interest Rate Equalization: Panel Information, Non-Linearities And Structural Changes," Bulletin of Economic Research, Wiley Blackwell, vol. 65, pages 85-105, May.
    81. Meshach Jesse Aziakpono, 2008. "Financial And Monetary Autonomy And Interdependence Between South Africa And The Other Sacu Countries," South African Journal of Economics, Economic Society of South Africa, vol. 76(2), pages 189-211, June.
    82. Sekioua, Sofiane H., 2008. "Real interest parity (RIP) over the 20th century: New evidence based on confidence intervals for the largest root and the half-life," Journal of International Money and Finance, Elsevier, vol. 27(1), pages 76-101, February.
    83. Nafeesa Yunus & Peggy Swanson, 2007. "Modelling Linkages between US and Asia‐Pacific Securitized Property Markets," Journal of Property Research, Taylor & Francis Journals, vol. 24(2), pages 95-122.
    84. Nafeesa Yunus, 2023. "Co‐movement among oil, stock, bond, and housing markets: An analysis of U.S., Asian, and European economies," International Review of Finance, International Review of Finance Ltd., vol. 23(2), pages 393-436, June.
    85. Kenourgios, Dimitris & Samitas, Aristeidis, 2009. "Financial Market Dynamics in an Enlarged European Union," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 24, pages 197-221.
    86. Ulf Nielsson, 2007. "Interdependence of Nordic and Baltic Stock Markets," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 6(2), pages 9-28, January.
    87. Dimitris Balios & Manolis Xanthakis, 2003. "International interdependence and dynamic linkages between developed stock markets," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, vol. 1(1), pages 105-130.
    88. George D. Cashman & David M. Harrison & Hainan Sheng, 2015. "Political Risk and the Cost of Capital in Asia-Pacific Property Markets," International Real Estate Review, Global Social Science Institute, vol. 18(3), pages 331-364.
    89. Mahesh Kumar Tambi, 2005. "A test of Integration between Emerging and Developed Nation’s Stock Markets," International Finance 0506004, University Library of Munich, Germany.
    90. Liu, Yan & Chang, Hsu-Ling & Su, Chi-Wei, 2013. "Do real interest rates converge across East Asian countries based on China?," Economic Modelling, Elsevier, vol. 31(C), pages 467-473.

  31. Kate Phylaktis & Manolis Kavussanos & Gikas Manalis, 1999. "Price Limits and Stock Market Volatility in the Athens Stock Exchange," European Financial Management, European Financial Management Association, vol. 5(1), pages 69-84, March.

    Cited by:

    1. Wu, Ting & Wang, Yue & Li, Ming-Xia, 2018. "Price performance following stock’s IPO in different price limit systems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 953-966.
    2. Dimitrios Thomakos & Michail Koubouros, 2008. "The Role of Realized Volatility in the Athens Stock Exchange," Working Papers 0020, University of Peloponnese, Department of Economics.
    3. William Forbes & George Giannopoulos, 2015. "Post-Earnings Announcement Drift in Greece," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 18(03), pages 1-20.
    4. Manhwa Wu & Paoyu Huang & Yensen Ni, 2020. "The Impact of Institutional Shareholdings on Price Limits," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(3), pages 343-361, September.
    5. Jia, Shaoqing & An, Yunbi & Yang, Liuyong & Zhou, Fangzhao, 2024. "Price limit relaxation and stock price crash risk: Evidence from China," Finance Research Letters, Elsevier, vol. 59(C).
    6. Chen, Gong-Meng & Kim, Kenneth A. & Rui, Oliver M., 2005. "A note on price limit performance: The case of illiquid stocks," Pacific-Basin Finance Journal, Elsevier, vol. 13(1), pages 81-92, January.
    7. Aktas, Osman Ulas & Kryzanowski, Lawrence & Zhang, Jie, 2021. "Volatility spillover around price limits in an emerging market," Finance Research Letters, Elsevier, vol. 39(C).
    8. Jia-Hau Guo & Lung-Fu Chang, 2020. "A generalization of option pricing to price-limit markets," Review of Derivatives Research, Springer, vol. 23(2), pages 145-161, July.
    9. Farag, Hisham, 2015. "The influence of price limits on overreaction in emerging markets: Evidence from the Egyptian stock market," The Quarterly Review of Economics and Finance, Elsevier, vol. 58(C), pages 190-199.
    10. Chan, Soon Huat & Kim, Kenneth A. & Rhee, S. Ghon, 2005. "Price limit performance: evidence from transactions data and the limit order book," Journal of Empirical Finance, Elsevier, vol. 12(2), pages 269-290, March.
    11. Purnendu Nath, 2005. "Are Price Limits Always Bad?," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 4(3), pages 281-313, December.
    12. Mai Ahmed Abdelzaher & Khairy Elgiziry, 2017. "The Effect of Daily Stock Price Limits on the Investment Risk: Evidence from the Egyptian Stock Market," Accounting and Finance Research, Sciedu Press, vol. 6(4), pages 1-1, Novebmer.
    13. Deb, Saikat Sovan & Kalev, Petko S & Marisetty, Vijaya B, 2017. "Price limits and volatility," Pacific-Basin Finance Journal, Elsevier, vol. 45(C), pages 142-156.
    14. Manolis Kavussanos & Everton Dockery, 2001. "A multivariate test for stock market efficiency: the case of ASE," Applied Financial Economics, Taylor & Francis Journals, vol. 11(5), pages 573-579.
    15. Tony Naughton & Madhu Veeraraghavan, 2004. "Are Price Limits Priced? Evidence from the Taiwan Stock Exchange," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 3(3), pages 249-267, December.
    16. James Brugler & Oliver Linton, 2014. "Single stock circuit breakers on the London Stock Exchange: do they improve subsequent market quality?," CeMMAP working papers CWP07/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    17. Imtiaz Mohammad Sifat & Azhar Mohamad, 2019. "Circuit breakers as market stability levers: A survey of research, praxis, and challenges," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 24(3), pages 1130-1169, July.
    18. Kenneth A. Kim & Jungsoo Park, 2010. "Why Do Price Limits Exist in Stock Markets? A Manipulation†Based Explanation," European Financial Management, European Financial Management Association, vol. 16(2), pages 296-318, March.
    19. George Leledakis & Ian Davidson & George Karathanassis, 2003. "Cross-sectional estimation of stock returns in small markets: The case of the Athens Stock Exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 13(6), pages 413-426.
    20. Clapham, Benjamin & Gomber, Peter & Haferkorn, Martin & Panz, Sven, 2017. "Managing excess volatility: Design and effectiveness of circuit breakers," SAFE Working Paper Series 195, Leibniz Institute for Financial Research SAFE.
    21. Yong H. Kim & J. Jimmy Yang, 2009. "Effect of Price Limits: Initial Public Offerings versus Seasoned Equities," International Review of Finance, International Review of Finance Ltd., vol. 9(3), pages 295-318, September.
    22. Farag, Hisham, 2013. "Price limit bands, asymmetric volatility and stock market anomalies: Evidence from emerging markets," Global Finance Journal, Elsevier, vol. 24(1), pages 85-97.
    23. Farag, Hisham & Cressy, Robert, 2011. "Do regulatory policies affect the flow of information in emerging markets?," Research in International Business and Finance, Elsevier, vol. 25(3), pages 238-254, September.
    24. Ni, Yensen & Huang, Paoyu, 2015. "Do IPOs matter for price limits? Evidence from Taiwan," The Quarterly Review of Economics and Finance, Elsevier, vol. 58(C), pages 74-83.
    25. Li, Huimin & Zheng, Dazhi & Chen, Jun, 2014. "Effectiveness, cause and impact of price limit—Evidence from China's cross-listed stocks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 217-241.
    26. Henke, Harald & Voronkova, Svitlana, 2005. "Price limits on a call auction market: Evidence from the Warsaw Stock Exchange," International Review of Economics & Finance, Elsevier, vol. 14(4), pages 439-453.
    27. George Diacogiannis & Nikolaos Patsalis & Nickolaos Tsangarakis & Emanuel Tsiritakis, 2005. "Price limits and overreaction in the Athens stock exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 15(1), pages 53-61.
    28. Stavros Thomadakis & Dimitrios Gounopoulos & Christos Nounis & Andreas Merikas, 2016. "Collateral Regulation and IPO†Specific Liberalisation: the Case of Price Limits in the Athens Stock Exchange," European Financial Management, European Financial Management Association, vol. 22(2), pages 276-312, March.
    29. Anolli, Mario & Petrella, Giovanni, 2007. "A Two-Stage Non Discretionary Trading Suspension Mechanism: Effects on Market Quality," MPRA Paper 7931, University Library of Munich, Germany.
    30. Veld-Merkoulova, Yulia V., 2003. "Price limits in futures markets: effects on the price discovery process and volatility," International Review of Financial Analysis, Elsevier, vol. 12(3), pages 311-328.
    31. Gatchev, Vladimir A. & Seth, Rama & Singh, Ajai & Vishwanatha, S.R., 2023. "Price bands and their effects on equity markets: Evidence from a natural experiment," Journal of Financial Markets, Elsevier, vol. 66(C).
    32. Yong H. Kim & J. Jimmy Yang, 2004. "What Makes Circuit Breakers Attractive to Financial Markets? A Survey," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 13(3), pages 109-146, August.
    33. Reiffen, David & Buyuksahin, Bahattin, 2010. "The puzzle of privately-imposed price limits: are the limits imposed by financial exchanges effective?," MPRA Paper 35927, University Library of Munich, Germany.
    34. Kenneth A. Kim & Haixiao Liu & J. Jimmy Yang, 2013. "Reconsidering Price Limit Effectiveness," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 36(4), pages 493-518, December.
    35. ROUSAN, Raya & AL-KHOURI, Ritab, 2005. "Modeling Market Volatility in Emerging Markets: The case of Daily Data in Amman Stock Exchange 1992-2004," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 2(4), pages 99-118.
    36. Manolis G. Kavussanos & Ilias D. Visvikis & Panayotis D. Alexakis, 2008. "The Lead‐Lag Relationship Between Cash and Stock Index Futures in a New Market," European Financial Management, European Financial Management Association, vol. 14(5), pages 1007-1025, November.
    37. Deb, Saikat Sovan & Kalev, Petko S. & Marisetty, Vijaya B., 2013. "Flexible price limits: The case of Tokyo Stock Exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 24(C), pages 66-84.
    38. Farag, Hisham, 2014. "The effectiveness of competing regulatory regimes and the switching effects: Evidence from an emerging market," Global Finance Journal, Elsevier, vol. 25(2), pages 136-147.
    39. Zeng, Zhaoxiang & Wang, Guojun & Tang, Guohao, 2024. "Price limits hitting effect and cross-sectional stock returns: Evidence from China," Finance Research Letters, Elsevier, vol. 60(C).

  32. Phylaktis, Kate, 1997. "Capital market integration in the Pacific-Basin region: An analysis of real interest rate linkages," Pacific-Basin Finance Journal, Elsevier, vol. 5(2), pages 195-213, June.
    See citations under working paper version above.
  33. Kate Phylaktis & Yiannis Kassimatis, 1997. "Black and official exchange rate volatility and foreign exchange controls," Applied Financial Economics, Taylor & Francis Journals, vol. 7(1), pages 15-24.

    Cited by:

    1. Angelos Kanas & Georgios P. Kouretas, 2001. "Volatility Spillovers Between The Black Market And Official Market For Foreign Currency In Greece," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 24(3), pages 443-461, September.
    2. Panayiotis Diamandis & Georgios Kouretas & Leonidas Zarangas, 2005. "Expectations and the black market premium for foreign currency in Greece," Applied Financial Economics, Taylor & Francis Journals, vol. 15(10), pages 667-677.
    3. Mohsen Fardmanesh & Seymour Douglas, 2003. "Foreign Exchange Controls, Fiscal and Monetary Policy, and the Black Market Premium," Working Papers 876, Economic Growth Center, Yale University.
    4. Mina Baliamoune-Lutz, 2010. "Black and official exchange rates in Morocco: an analysis of their long-run behaviour and short-run dynamics (1974-1992)," Applied Economics, Taylor & Francis Journals, vol. 42(27), pages 3481-3490.
    5. Mohsen Fardmanesh & Seymour Douglas, 2008. "Foreign Exchange Controls and the Parallel Market Premium," Review of Development Economics, Wiley Blackwell, vol. 12(1), pages 72-89, February.

  34. Kate Phylaktis & Manolis G Kavussanos & Gikas Manalis, 1996. "Stock prices and the flow of information in the Athens Stock Exchange," European Financial Management, European Financial Management Association, vol. 2(1), pages 113-126, March.

    Cited by:

    1. Kate Phylaktis & Antonis Aristidou, 2013. "Margin Changes and Futures Trading Activity: a New Approach," European Financial Management, European Financial Management Association, vol. 19(1), pages 45-71, January.
    2. Blasco, Natividad & Corredor, Pilar & Del Rio, Cristina & Santamaria, Rafael, 2005. "Bad news and Dow Jones make the Spanish stocks go round," European Journal of Operational Research, Elsevier, vol. 163(1), pages 253-275, May.
    3. Ali M. Kutan & Tansu Aksoy, 2004. "Public Information Arrival and Emerging Markets Returns and Volatility," Multinational Finance Journal, Multinational Finance Journal, vol. 8(3-4), pages 227-245, september.
    4. Saswat Patra & Malay Bhattacharyya, 2021. "Does volume really matter? A risk management perspective using cross‐country evidence," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 118-135, January.
    5. Fenghua, Wen & Xiaoguang, Yang, 2009. "Empirical study on relationship between persistence-free trading volume and stock return volatility," Global Finance Journal, Elsevier, vol. 20(2), pages 119-127.

  35. Phylaktis, Kate & Kassimatis, Yiannis, 1994. "Does the real exchange rate follow a random walk? The Pacific Basin perspective," Journal of International Money and Finance, Elsevier, vol. 13(4), pages 476-495, August.

    Cited by:

    1. Aggarwal, Raj & Mougoue, Mbodja, 1996. "Cointegration among Asian currencies: Evidence of the increasing influence of the Japanese yen," Japan and the World Economy, Elsevier, vol. 8(3), pages 291-308, September.
    2. Chinn, M.D., 1997. "The Usual Suspects? Productivity and Demand Shocks and Asia-Pacific Real Exchange Rates," Papers 97-06, Economisch Institut voor het Midden en Kleinbedrijf-.
    3. Wu, Jyh-Lin & Tsai, Li-Ju & Chen, Show-Lin, 2004. "Are real exchange rates non-stationary? The Pacific Basin perspective," Journal of Asian Economics, Elsevier, vol. 15(2), pages 425-438, April.
    4. Chinn, Menzie D., 2000. "Before the fall: were East Asian currencies overvalued?," Emerging Markets Review, Elsevier, vol. 1(2), pages 101-126, September.
    5. Ata Assaf, 2006. "Nonlinear Trend Stationarity in Real Exchange Rates: Evidence from Nonlinear ADF tests," Annals of Economics and Finance, Society for AEF, vol. 7(2), pages 283-294, November.
    6. Lee, Daniel Y., 1999. "Purchasing power parity and dynamic error correction: Evidence from Asia Pacific economies," International Review of Economics & Finance, Elsevier, vol. 8(2), pages 199-212, June.
    7. Alba, Joseph D. & Papell, David H., 2007. "Purchasing power parity and country characteristics: Evidence from panel data tests," Journal of Development Economics, Elsevier, vol. 83(1), pages 240-251, May.
    8. Alison Tarditi, 1996. "Modelling the Australian Exchange Rate, Long Bond Yield and Inflationary Expectations," RBA Research Discussion Papers rdp9608, Reserve Bank of Australia.
    9. Muhammad Aftab & Rubi Ahmad & Izlin Ismail & Kate Phylaktis, 2021. "Economic integration and the currency and equity markets nexus," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5278-5301, October.
    10. Yihui Lan, 2001. "The Explosion of Purchasing Power Parity," Economics Discussion / Working Papers 01-22, The University of Western Australia, Department of Economics.
    11. Zurbruegg, R. & Allsopp, L., 2004. "Purchasing power parity and the impact of the East Asian currency crisis," Journal of Asian Economics, Elsevier, vol. 15(4), pages 739-758, August.
    12. Irfan Civcir, 2002. "Before The Fall Was The Turkish Lira Overvalued?," Working Papers 0220, Economic Research Forum, revised 11 Jul 2002.
    13. GUO, Qian, 2010. "The Balassa-Samuelson model of purchasing power parity and Chinese exchange rates," China Economic Review, Elsevier, vol. 21(2), pages 334-345, June.
    14. Angelos Kanas, 2009. "Real exchange rates and developing countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(3), pages 280-299.
    15. Anwar Al-Gasaymeh & John Kasem, 2016. "Long-Run Purchasing Power Parity And Exchange Rates: Evidence From The Middle East," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 10(2), pages 41-53.
    16. Georgios Chortareas & George Kapetanios, 2004. "The Yen Real Exchange Rate may be Stationary after all: Evidence from Non‐linear Unit‐root Tests," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(1), pages 113-131, February.
    17. Song, Frank M. & Wu, Yangru, 1998. "Hysteresis in unemployment: Evidence from OECD countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 38(2), pages 181-192.
    18. Michael J. Dueker & Apostolos Serletis, 2000. "Do real exchange rates have autoregressive unit roots? a test under the alternative of long memory and breaks," Working Papers 2000-016, Federal Reserve Bank of St. Louis.
    19. Sundar, Cuddalore & Varela, Oscar & Naka, Atsuyuki, 1997. "Black market and official exchange rates, cointegration and purchasing power parity in developing Asian countries," Global Finance Journal, Elsevier, vol. 8(2), pages 221-238.
    20. Serletis, Apostolos & Shahmoradi, Asghar, 2007. "Chaos, self-organized criticality, and SETAR nonlinearity: An analysis of purchasing power parity between Canada and the United States," Chaos, Solitons & Fractals, Elsevier, vol. 33(5), pages 1437-1444.
    21. Ashworth, John & Evans, Lynne & Teriba, Ayo, 1999. "Structural breaks in parallel markets?: the case of Nigeria, 1980-1993," Journal of Development Economics, Elsevier, vol. 58(1), pages 255-264, February.
    22. Ms. Kate Phylaktis, 1995. "Capital Market Integration in the Pacific Basin Region: An Analysis of Real Interest Rate Linkages," IMF Working Papers 1995/133, International Monetary Fund.
    23. Yihui Lan, 2003. "The Long-Term Behaviour of Exchange Rates, Part III: The Explosion of Purchasing Power Parity," Economics Discussion / Working Papers 03-07, The University of Western Australia, Department of Economics.
    24. Lee Chin & Muzafar Shah Habibullah & M. Azali, 2009. "Tests of different monetary aggregates for the monetary models of the exchange rate in five ASEAN countries," Applied Economics, Taylor & Francis Journals, vol. 41(14), pages 1771-1783.
    25. Serletis, Apostolos & Gogas, Periklis, 2004. "Long-horizon regression tests of the theory of purchasing power parity," Journal of Banking & Finance, Elsevier, vol. 28(8), pages 1961-1985, August.
    26. Aftab, Muhammad & Phylaktis, Kate, 2022. "Economic integration and exchange market pressure in a policy uncertain world," Journal of International Money and Finance, Elsevier, vol. 128(C).
    27. Cheung, Yin-Wong & Lai, Kon S., 1998. "Economic growth and stationarity of real exchange rates: Evidence from some fast-growing Asian countries," Pacific-Basin Finance Journal, Elsevier, vol. 6(1-2), pages 61-76, May.
    28. Coe, Patrick J. & Serletis, Apostolos, 2002. "Bounds tests of the theory of purchasing power parity," Journal of Banking & Finance, Elsevier, vol. 26(1), pages 179-199, January.
    29. Mohsen Bahmani‐Oskooee & Scott W. Hegerty, 2009. "Purchasing Power Parity In Less‐Developed And Transition Economies: A Review Paper," Journal of Economic Surveys, Wiley Blackwell, vol. 23(4), pages 617-658, September.
    30. Balz, Christoph, 1998. "Testing the stationarity of interest rates using a SUR approach," Economics Letters, Elsevier, vol. 60(2), pages 147-150, August.
    31. Phylaktis, Kate, 1999. "Capital market integration in the Pacific Basin region: an impulse response analysis," Journal of International Money and Finance, Elsevier, vol. 18(2), pages 267-287, February.
    32. Michael Moore & Kate Phylaktis, 2000. "Black and official exchange rates in the Pacific Basin: some tests of dynamic behaviour," Applied Financial Economics, Taylor & Francis Journals, vol. 10(4), pages 361-369.
    33. Assaf, Ata, 2008. "Nonstationarity in real exchange rates using unit root tests with a level shift at unknown time," International Review of Economics & Finance, Elsevier, vol. 17(2), pages 269-278.
    34. Ping Wang & Paul Dunne, 2000. "Sources of movements in real exchange rates-evidence from east Asian economies," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 136(1), pages 158-170, March.
    35. AJAO, Mayowa G., 2016. "The Determinants of Real Exchange Rate Volatility in Nigeria," Ethiopian Journal of Economics, Ethiopian Economics Association, vol. 24(2), August.

  36. Phylaktis, Kate & Taylor, Mark P, 1993. "Money Demand, the Cagan Model and the Inflation Tax: Some Latin American Evidence," The Review of Economics and Statistics, MIT Press, vol. 75(1), pages 32-37, February.

    Cited by:

    1. Craig Burnside & Bing Han & David Hirshleifer & Tracy Yue Wang, 2011. "Investor Overconfidence and the Forward Premium Puzzle," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 78(2), pages 523-558.
    2. Wilson Luiz Rotatori & Jan M Podivinsky, 2007. "Dynamic Macroeconometric Modelling: Evidence on the Brazilian Monetary System," EcoMod2007 23900078, EcoMod.
    3. Almeida, Heitor & Bonomo, Marco, 2002. "Optimal state-dependent rules, credibility, and inflation inertia," Journal of Monetary Economics, Elsevier, vol. 49(7), pages 1317-1336, October.
    4. Adenutsi, Deodat E., 2007. "The policy dilemma of economic openness and seigniorage-maximizing inflation in dollarised developing countries: The Ghanaian experience," MPRA Paper 37134, University Library of Munich, Germany.
    5. Bali, Turan G. & Thurston, Thom, 2000. "Empirical estimates of inflation tax Laffer surfaces: a 30-country study," Journal of Development Economics, Elsevier, vol. 63(2), pages 529-546, December.
    6. Yu Hsing, 2006. "Tests of Functional Forms, Currency Substitution, and Capital Mobility of Czech Money Demand Function," Prague Economic Papers, Prague University of Economics and Business, vol. 2006(4), pages 291-299.
    7. SOYDAN Aylin, 2010. "Financial Liberalisation, Currency Substitution and Seigniorage: Evidence from Turkey," EcoMod2003 330700138, EcoMod.
    8. Han, Bing & Hirshleifer, David & Wang, Tracy, 2005. "Investor Overconfidence and the Forward Discount Puzzle," MPRA Paper 6497, University Library of Munich, Germany, revised Dec 2007.
    9. Giovanni B. Pittaluga & Elena Seghezza & Pierluigi Morelli, 2021. "The political economy of hyperinflation in Venezuela," Public Choice, Springer, vol. 186(3), pages 337-350, March.
    10. Hooker, Mark A., 2000. "Misspecification versus bubbles in hyperinflation data: Monte Carlo and interwar European evidence," Journal of International Money and Finance, Elsevier, vol. 19(4), pages 583-600, August.
    11. Barnett William A. & Park Sohee, 2024. "Welfare cost of inflation, when credit card transaction services are included among monetary services," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 28(3), pages 463-479.
    12. Wen-Jen Hsieh & Yu Hsing, 2009. "Tests of currency substitution, capital mobility and nonlinearity of Hungary's money demand function," Applied Economics Letters, Taylor & Francis Journals, vol. 16(9), pages 959-964.
    13. Daniel Garces-Diaz, 2004. "How Does the Monetary Model of Exchange Rate Determination Look When It Really Works?," Econometric Society 2004 North American Winter Meetings 60, Econometric Society.
    14. Jr., Luiz R. de Mello & Carneiro, Francisco G., 2000. "Consumption Behaviour and Persistently High Inflation: Evidence from Latin America," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 54(2), April.
    15. Atanas Christev, 2005. "The Hyperinflation Model of Money Demand (or Cagan Revisited): Some New Empirical Evidence from the 1990s," CERT Discussion Papers 0507, Centre for Economic Reform and Transformation, Heriot Watt University.
    16. Stefka Slavova, 2003. "Money demand during hyperinflation and stabilization: Bulgaria, 1991-2000," Applied Economics, Taylor & Francis Journals, vol. 35(11), pages 1303-1316.
    17. Yu Hsing, 2007. "Currency Substitution, Capital Mobility and Functional Forms of Money Demand in Pakistan," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 12(1), pages 35-48, Jan-Jun.
    18. María-José Gutiérrez & Jesús Vázquez, 2004. "Explosive Hyperinflation, Inflation-Tax Curve, and Modeling the Use of Money," Journal of Institutional and Theoretical Economics (JITE), Mohr Siebeck, Tübingen, vol. 160(2), pages 311-326, June.
    19. Nell, Kevin, 2023. "Inflation and growth in developing economies: A tribute to Professor Thirlwall," MPRA Paper 118757, University Library of Munich, Germany, revised 01 Sep 2023.
    20. Dragan Miljkovic, 1999. "A note on generality of the Cagan model for money demand," Applied Economics Letters, Taylor & Francis Journals, vol. 6(12), pages 813-815.
    21. Casto Martin Montero Kuscevic & Darius Daniel Martin, 2015. "Dollarization and money demand stability in Bolivia," Economics and Business Letters, Oviedo University Press, vol. 4(3), pages 116-122.
    22. Cutsinger, Bryan P. & Ingber, Joshua S., 2019. "Seigniorage in the Civil War South," Explorations in Economic History, Elsevier, vol. 72(C), pages 74-92.
    23. Dimitris Georgoutsos & Georgios Kouretas, 2004. "A Multivariate I(2) cointegration analysis of German hyperinflation," Applied Financial Economics, Taylor & Francis Journals, vol. 14(1), pages 29-41.
    24. Yu Hsing, 2007. "Impacts of the exchange rate and the foreign interest rate on the Argentine money demand function," Applied Economics Letters, Taylor & Francis Journals, vol. 15(1), pages 35-39.
    25. Feliz, Raul Anibal & Welch, John H., 1997. "Cointegration and tests of a classical model of inflation in Argentina, Bolivia, Brazil, Mexico, and Peru," Journal of Development Economics, Elsevier, vol. 52(1), pages 189-219, February.
    26. Granville, Brigitte & Mallick, Sushanta, 2010. "Monetary Policy in Russia: Identifying exchange rate shocks," Economic Modelling, Elsevier, vol. 27(1), pages 432-444, January.
    27. Omer, Muhammad, 2009. "Stability of money demand function in Pakistan," MPRA Paper 35306, University Library of Munich, Germany.
    28. Wilson Luiz Rotatori, 2006. "Dynamic Structural Models And The High Inflation Period In Brazil: Modelling The Monetary System," Anais do XXXIV Encontro Nacional de Economia [Proceedings of the 34th Brazilian Economics Meeting] 44, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    29. Choudhry, T., 1998. "Another visit to the Cagan model of money demand: the latest Russian experience," Journal of International Money and Finance, Elsevier, vol. 17(2), pages 355-376, April.
    30. Paresh Kumar Narayan, 2010. "Modelling money demand for a panel of eight transitional economies," Applied Economics, Taylor & Francis Journals, vol. 42(25), pages 3293-3305.
    31. Mladenovic, Zorica & Petrovic, Pavle, 2010. "Cagan's paradox and money demand in hyperinflation: Revisited at daily frequency," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1369-1384, November.
    32. Rolando Gonzales Martínez, 2013. "Modeling Hyperinflation Phenomenon: A Bayesian Approach," Documentos de Investigación - Research Papers 8, CEMLA.
    33. Mark A. Hooker, 1997. "Misspecification versus bubbles in hyperinflation data: Monte Carlo and interwar European evidence," Finance and Economics Discussion Series 1997-49, Board of Governors of the Federal Reserve System (U.S.).
    34. Petrovic, Pavle & Vujosevic, Zorica, 1996. "The monetary dynamics in the Yugoslav hyperinflation of 1991-1993: The Cagan money demand," European Journal of Political Economy, Elsevier, vol. 12(3), pages 467-483, November.
    35. Rodrigo Caputo, 2022. "Addiction to inflation or to fiscal deficits? The Chilean experience of 1970s," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 99-110, January.
    36. Gutiérrez Huerta, María José & Vázquez Pérez, Jesús, 2002. "Explosive Hyperinflation, Inflation Tax Laffer Curve and Modelling the use of Money," DFAEII Working Papers 1988-088X, University of the Basque Country - Department of Foundations of Economic Analysis II.
    37. Cutsinger, Bryan P. & Rouanet, Louis & Ingber, Joshua S., 2023. "Assignats or death: The politics and dynamics of hyperinflation in revolutionary France," European Economic Review, Elsevier, vol. 157(C).
    38. Loviscek, Anthony L., 1996. "Seigniorage and the Mexican financial crisis," The Quarterly Review of Economics and Finance, Elsevier, vol. 36(1), pages 55-64.
    39. Neil R. Ericsson & Steven B. Kamin, 1993. "Dollarization in Argentina," International Finance Discussion Papers 460, Board of Governors of the Federal Reserve System (U.S.).
    40. Petrovic, Pavle & Vujosevic, Zorica, 1996. "Comment on Frenkel and Taylor's "Money Demand and Inflation in Yugoslavia, 1980-1989"," Journal of Macroeconomics, Elsevier, vol. 18(1), pages 177-185.
    41. Yu Hsing, 2007. "Tests of the functional form, the substitution effect, and the wealth effect of Mexico´s money demand function," Revista de Economía del Rosario, Universidad del Rosario, May.
    42. Tatsuyoshi Miyakoshi, 2008. "Seigniorage Revenue or Consumer Revenue? Theoretical and Empirical Evidences," Discussion Papers in Economics and Business 08-11, Osaka University, Graduate School of Economics.
    43. Noriega Antonio E. & Ramos Francia Manuel & Rodríguez-Pérez Cid Alonso, 2015. "Money Demand Estimations in Mexico and of its Stability 1986-2010, as well as Some Examples of its Uses," Working Papers 2015-13, Banco de México.
    44. Mehmet Özcan, 2016. "Economical Expectation Theories with Quantitative Aspects: Case of Turkey and Kazakhstan," Eurasian Academy Of Sciences Social Sciences Journal, Eurasian Academy Of Sciences, vol. 7(7), pages 50-73, January.
    45. Levent, Korap, 2006. "Seigniorage revenue and Turkish economy," MPRA Paper 20106, University Library of Munich, Germany.
    46. Jovis Wolfe Bellot, . "The Stability of the Demand for Broad Money in Argentina in the Post-Financial Liberalization Period," Fordham Economics Dissertations, Fordham University, Department of Economics, number 2002.2.
    47. Engsted, Tom, 1998. "Money Demand During Hyperinflation: Cointegration, Rational Expectations, and the Importance of Money Demand Shocks," Journal of Macroeconomics, Elsevier, vol. 20(3), pages 533-552, July.

  37. Kate Phylaktis & David Blake, 1993. "The fisher hypothesis: Evidence from three high inflation economies," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 129(3), pages 591-599, September.

    Cited by:

    1. Utku ALTUNÖZ, 2018. "Investigating the Presence of Fisher Effect for the China Economy," Sosyoekonomi Journal, Sosyoekonomi Society, issue 26(35).
    2. Chandra Utama & Miryam B.L. Wijaya & Charvin Lim, 2017. "The Role Of Interest Rates And Provincial Monetary Aggregate In Maintaining Inflation In Indonesia," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 19(3), pages 267-286, January.
    3. Peter Kehinde, Mogaji, 2010. "Fisher Effect and the Relationship between Nominal Interest Rates and Inflation: The Case of Nigeria," MPRA Paper 98760, University Library of Munich, Germany.
    4. Sunal, Onur, 2022. "The efficiency of primary sovereign bond markets in Turkey: The so-called Fisher puzzle reconsidered," Economic Analysis and Policy, Elsevier, vol. 73(C), pages 255-261.
    5. Muse, Bernard & Alimi, R. Santos, 2012. "Testing an Augmented Fisher Hypothesis for a Small Open Economy: The Case of Nigeria," MPRA Paper 44987, University Library of Munich, Germany.
    6. Awomuse, Bernard O. & Alimi, Santos R., 2012. "The Relationship between Nominal Interest Rates and Inflation: New Evidence and Implication for Nigeria," MPRA Paper 49684, University Library of Munich, Germany.
    7. Nassar S. Al-Nassar & Razzaque H. Bhatti, 2019. "Are common stocks a hedge against inflation in emerging markets?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(3), pages 421-455, July.
    8. Somayeh Madadpour & Mohsen Asgari, 2019. "The puzzling relationship between stocks return and inflation: a review article," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), vol. 66(2), pages 115-145, June.
    9. Martin Ruzima & Micheal Kofi Boachie & Tatjana Põlajeva & Abdul-Aziz Iddrisu, 2023. "Does the Fisher effect hold in Rwanda?," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(3), pages 2657-2672, June.
    10. Mustafa Kasim & Bentouir Naima, 2018. "The Relationship Between Inflation Rate and Nominal Interest Rate in Bolivarian Republic Of Venezuela: Revisiting Fisher’s Hypothesis," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 7(4), pages 214-224, November.
    11. Jens Weidmann, 1997. "New Hope for the Fisher Effect? A Re-Examination Using Threshold Cointegration," Macroeconomics 9705005, University Library of Munich, Germany.
    12. Maghyereh, A. & Al-Zoubi, H., 2006. "Does Fisher Effect Apply in Developing Countries: Evidence From a Nonlinear Cotrending Test applied to Argentina, Brazil, Malysia, Mexico, Korea and Turkey," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 6(2).
    13. S, Surayya, 2018. "Alternative Specifications of Fisher Hypothesis: An Empirical Investigation," MPRA Paper 90320, University Library of Munich, Germany.
    14. NANDWA, Boaz, 2006. "On The Fisher Effect And Inflation Dynamics In Low-Income Countries: An Assessment Of Sub-Saharan Africa Economies," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 6(1).
    15. Muhammed TIRAŞOĞLU, 2018. "Fisher Hipotezinin MINT Ülkeleri İçin İncelenmesi: Eşik Değerli Adl Eşbütünleşme Testi Yaklaşımı," EKOIST Journal of Econometrics and Statistics, Istanbul University, Faculty of Economics, vol. 14(28), pages 31-43, December.
    16. H.a. Mitchell‐innes & M.j. Aziakpono & A.p. Faure, 2007. "Inflation Targeting And The Fisher Effect In South Africa: An Empirical Investigation," South African Journal of Economics, Economic Society of South Africa, vol. 75(4), pages 693-707, December.
    17. Rene Coppe Pimentel & Taufiq Choudhry, 2014. "Stock Returns Under High Inflation and Interest Rates: Evidence from the Brazilian Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 50(1), pages 71-92, January.

  38. Phylaktis, Kate, 1992. "Purchasing power parity and cointegration: The Greek evidence from the 1920s," Journal of International Money and Finance, Elsevier, vol. 11(5), pages 502-513, October.

    Cited by:

    1. Lothian, James R. & Taylor, Mark P., 1997. "Real exchange rate behavior," Journal of International Money and Finance, Elsevier, vol. 16(6), pages 945-954, December.
    2. Paresh Kumar Narayan, 2007. "Are Nominal Exchange Rates and Price Levels Co‐Integrated? New Evidence from Threshold Autoregressive and Momentum‐Threshold Autoregressive Models," The Economic Record, The Economic Society of Australia, vol. 83(260), pages 74-85, March.
    3. Ho, Tsung-wu, 2005. "Investigating the threshold effects of inflation on PPP," Economic Modelling, Elsevier, vol. 22(5), pages 926-948, September.
    4. Shachmurove, Yochanan, 1999. "The Premium in Black Foreign Exchange Markets: Evidence from Developing Economies," Journal of Policy Modeling, Elsevier, vol. 21(1), pages 1-39, January.
    5. Choudhry, Taufiq, 1999. "Purchasing Power Parity in High-Inflation Eastern European Countries: Evidence from Fractional and Harris-Inder Cointegration Tests," Journal of Macroeconomics, Elsevier, vol. 21(2), pages 293-308, April.
    6. Oh, Keun-Yeob, 1996. "Purchasing power parity and unit root tests using panel data," Journal of International Money and Finance, Elsevier, vol. 15(3), pages 405-418, June.
    7. Georges Gallais‐Hamonno & Thi‐Hong‐Van Hoang & Kim Oosterlinck, 2019. "Price formation on clandestine markets: the case of the Paris gold market during the Second World War," Economic History Review, Economic History Society, vol. 72(3), pages 1048-1072, August.
    8. Dimitrios Sideris, 2008. "Real Exchange Rates over a Century: The Case of the Drachma/Sterling Rate, 1833-1939," Working Papers 66, Bank of Greece.
    9. Nicholas Apergis, 2003. "Testing Purchasing Power Parity: results from a new foreign exchange market," Applied Economics Letters, Taylor & Francis Journals, vol. 10(2), pages 91-95.

  39. Phylaktis, Kate, 1991. "The black market for dollars in Chile," Journal of Development Economics, Elsevier, vol. 37(1-2), pages 155-172, November.

    Cited by:

    1. Onour, Ibrahim, 2018. "Technical Trading Rules and Trading Signals in the Black Market for Foreign Exchange in Sudan," MPRA Paper 83919, University Library of Munich, Germany.
    2. Lisa M. Schineller, 1997. "An econometric model of capital flight from developing countries," International Finance Discussion Papers 579, Board of Governors of the Federal Reserve System (U.S.).
    3. George Kouretas & Leonidas Zarangas, "undated". "Black and Official Exchange Rates in Greece: An Analysis of their long-run dynamics," Working Papers 9902, University of Crete, Department of Economics.
    4. Mohammad Reza Farzanegan, 2008. "Illegal Trade in the Iranian Economy: Evidence from a Structural Model," CESifo Working Paper Series 2397, CESifo.
    5. Cheung, Yin-Wong & Lai, Kon S., 2008. "Nominal exchange rate flexibility and real exchange rate adjustment: New evidence from dual exchange rates in developing countries," Japan and the World Economy, Elsevier, vol. 20(3), pages 415-434, August.
    6. John Dawson & Steven Millsaps & Mark Strazicich, 2004. "Trend Breaks and Seasonality in the Yugoslav Black Market for Dollars, 1974-1987," Working Papers 04-04, Department of Economics, Appalachian State University, revised 2005.
    7. Lisa M. Schineller, 1997. "A nonlinear econometric analysis of capital flight," International Finance Discussion Papers 594, Board of Governors of the Federal Reserve System (U.S.).
    8. Diamandis, Panayiotis F. & Kouretas, Georgios P. & Zarangas, Leonidas, 2007. "Dual foreign currency markets and the role of expectations: Evidence from the Pacific Basin countries," Research in International Business and Finance, Elsevier, vol. 21(2), pages 238-259, June.
    9. Clement Yuk Pang Wong, 1997. "Black Market Exchange Rates And Capital Mobility In Asian Economies," Contemporary Economic Policy, Western Economic Association International, vol. 15(1), pages 21-36, January.
    10. Ashworth, John & Evans, Lynne & Teriba, Ayo, 1999. "Structural breaks in parallel markets?: the case of Nigeria, 1980-1993," Journal of Development Economics, Elsevier, vol. 58(1), pages 255-264, February.
    11. Kanas, Angelos & Kouretas, Georgios P., 2007. "Regime dependence between the official and parallel foreign currency markets for US dollars in Greece," Journal of Macroeconomics, Elsevier, vol. 29(2), pages 431-449, June.
    12. Panayiotis Diamandis & Georgios Kouretas & Leonidas Zarangas, 2005. "Expectations and the black market premium for foreign currency in Greece," Applied Financial Economics, Taylor & Francis Journals, vol. 15(10), pages 667-677.
    13. Phylaktis, Kate & Girardin, Eric, 2001. "Foreign exchange markets in transition economies: China," Journal of Development Economics, Elsevier, vol. 64(1), pages 215-235, February.
    14. Yin-Wong Cheung & Kon S. Lai, 2005. "Nominal Exchange Rate Flexibility and Real Exchange Rate Adjustment: Evidence from Dual Exchange Rates in Developing Countries," CESifo Working Paper Series 1512, CESifo.
    15. Ibrahim A. Onour & Bruno S. Sergi, 2021. "The impact of a political shock on foreign exchange markets in a small and open economy: A dynamic modelling approach," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 10(3), pages 137-152.
    16. Mina Baliamoune-Lutz, 2010. "Black and official exchange rates in Morocco: an analysis of their long-run behaviour and short-run dynamics (1974-1992)," Applied Economics, Taylor & Francis Journals, vol. 42(27), pages 3481-3490.
    17. Nektarios Aslanidis & George Kouretas, 2003. "Testing for two-regime threshold cointegration in the parallel and official markets for foreign currency in Greece," Working Papers 0311, University of Crete, Department of Economics.
    18. Kiguel, Miguel A. & O'Connell, Stephen A., 1994. "Parallel exchange rates in developing countries : lessons from eight case studies," Policy Research Working Paper Series 1265, The World Bank.
    19. Subrata Ghatak & Jalal Siddiki, 2001. "The use of the ARDL approach in estimating virtual exchange rates in India," Journal of Applied Statistics, Taylor & Francis Journals, vol. 28(5), pages 573-583.
    20. Panayiotis Diamantis & Dimitris Georgoutsos & George Kouretas, 2001. "The Monetary Approach in the Presence of I(2) Components: A Cointegration Analysis of the Official and Black Market for Foreign Currency in Latin America," Working Papers 0108, University of Crete, Department of Economics.
    21. Michael Moore & Kate Phylaktis, 2000. "Black and official exchange rates in the Pacific Basin: some tests of dynamic behaviour," Applied Financial Economics, Taylor & Francis Journals, vol. 10(4), pages 361-369.
    22. Olaniyan Fatai, Musbau, 2020. "Sustainable Level Of Parallel Currency Market Premium For Selected Macroeconomic Indicators In Nigeria," Ilorin Journal of Economic Policy, Department of Economics, University of Ilorin, vol. 7(2), pages 18-38, June.
    23. Kathleen Dorsainvil, 2000. "Welfare effects of exchange controls: An application to the Haitian economy," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 6(3), pages 427-437, August.
    24. Diamandis, Panayiotis F. & Drakos, Anastassios A., 2005. "Long-run dynamics of official and black-market exchange rates in Latin America," Global Finance Journal, Elsevier, vol. 15(3), pages 219-237, February.
    25. John Dawson & Steven Millsaps & Mark Strazicich, 2007. "Trend breaks and non-stationarity in the Yugoslav black market for dollars, 1974-1987," Applied Economics, Taylor & Francis Journals, vol. 39(1), pages 43-51.

  40. Phylaktis, Kate, 1988. "Capital controls: The case of Argentina," Journal of International Money and Finance, Elsevier, vol. 7(3), pages 303-320, September.

    Cited by:

    1. Wolff, Christian & Straetmans, Stefan & Versteeg, Roald, 2008. "Are Capital Controls in the Foreign Exchange Market Effective?," CEPR Discussion Papers 6727, C.E.P.R. Discussion Papers.
    2. Jansen, Willem Jos & Schulze, Günther G., 1994. "The effectiveness of Norwegian capital controls," Discussion Papers, Series II 242, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".
    3. Clement Yuk Pang Wong, 1997. "Black Market Exchange Rates And Capital Mobility In Asian Economies," Contemporary Economic Policy, Western Economic Association International, vol. 15(1), pages 21-36, January.
    4. Ms. Kate Phylaktis, 1995. "Capital Market Integration in the Pacific Basin Region: An Analysis of Real Interest Rate Linkages," IMF Working Papers 1995/133, International Monetary Fund.
    5. Philippe Bacchetta, 1996. "Capital controls and the political discount: The Spanish experience in the late 1980s," Open Economies Review, Springer, vol. 7(4), pages 349-369, October.
    6. Phylaktis, Kate, 1999. "Capital market integration in the Pacific Basin region: an impulse response analysis," Journal of International Money and Finance, Elsevier, vol. 18(2), pages 267-287, February.
    7. Robert Flood & Nancy Marion, 1989. "Risk Neutrality and the Two-Tier Foreign Exchange Market: Evidence from Belgium," NBER Working Papers 3015, National Bureau of Economic Research, Inc.
    8. Michael Moore & Kate Phylaktis, 2000. "Black and official exchange rates in the Pacific Basin: some tests of dynamic behaviour," Applied Financial Economics, Taylor & Francis Journals, vol. 10(4), pages 361-369.

Chapters

  1. Kate Phylaktis, 1990. "Capital Controls in Argentina, Chile and Uruguay," Palgrave Macmillan Books, in: Kate Phylaktis & Mahmood Pradhan (ed.), International Finance and the Less Developed Countries, chapter 5, pages 119-156, Palgrave Macmillan.

    Cited by:

    1. Wolff, Christian & Straetmans, Stefan & Versteeg, Roald, 2008. "Are Capital Controls in the Foreign Exchange Market Effective?," CEPR Discussion Papers 6727, C.E.P.R. Discussion Papers.
    2. Jansen, Willem Jos & Schulze, Günther G., 1994. "The effectiveness of Norwegian capital controls," Discussion Papers, Series II 242, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".

Books

  1. Kate Phylaktis, 1995. "The Banking System of Cyprus," Palgrave Macmillan Books, Palgrave Macmillan, number 978-1-349-12868-6.

    Cited by:

    1. Apostolides, Alexander, 2012. "Copper and Foreign Investment: The development of the mining industry in Cyprus during the great depression," MPRA Paper 38758, University Library of Munich, Germany, revised 13 May 2012.
    2. Apostolides, Alexander, 2011. "The growth of two small economies in the Great Depression: GDP estimation for Cyprus and Malta during the interwar period (1921-1938)," MPRA Paper 30276, University Library of Munich, Germany.
    3. Sofronis Clerides, 2014. "The Collapse of the Cypriot Banking System: A Bird’s Eye View," Cyprus Economic Policy Review, University of Cyprus, Economics Research Centre, vol. 8(2), pages 3-35, December.
    4. Apostolides, Alexander, 2012. "Small debt, large problems in Cyprus: How even small debt in a British Colony led to the political crisis and violence in October 1931," MPRA Paper 43210, University Library of Munich, Germany.

  2. Kate Phylaktis & Mahmood Pradhan (ed.), 1990. "International Finance and the Less Developed Countries," Palgrave Macmillan Books, Palgrave Macmillan, number 978-1-349-10379-9.

    Cited by:

    1. AKITOBY, Bernardin, 1997. "Rigidité normale, dévaluation et équilibre général intertemporel," Cahiers de recherche 9708, Universite de Montreal, Departement de sciences economiques.

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