Abstract We construct a series of 3‐, 4‐ and 5‐variable multivariate GARCH models exchange rate volatility transmission across the important European Monetary System (EMS) currencies including French franc, German mark, Italian lira, Currency Unit. The are estimated without imposing common restriction constant correlation on both daily weekly data from April 1979–March 1997. Our results indicate importance checking for specification robustness in Generalized Autoregressive Conditional...

The world eocnomy is currently adjusting to a low inflation regime which has implicastions for the cross-country distribution of growth opportunities. In contrast previous related work assumes unidirectional causality, this paper uses Granger methodology examine both direction and pattern causality between economic in 70 countries using annual data over period 1960–89. Among conclusions are that first, relationship non-uniform across countries: 40% studied reveal no one-third exhibit about...

Abstract We examine the dynamics of idiosyncratic risk, market risk and return correlations in European equity markets using weekly observations from 3515 stocks listed 12 euro area stock over period 1974–2004. Similarly to Campbell et al. (2001) , we find a rise volatility, implying that it now takes more diversify away risk. Contrary US, however, is trended upwards Europe are not downwards. Both volatility correlation measures pro‐cyclical, they during times low returns. Market average...

The paper examines the extent to which conditional volatility of stock market returns in a small, internationally integrated are related financial and business cycle variables. It employs low frequency monthly dataset for Australia including returns, interest rates, inflation, money supply, industrial production current account deficit over period from July 1972 January 1994. A novel feature analysis is estimation strategy employed overcome generated regressors problem pervades some recent...

Abstract I examine the causes of conditional volatility in a small, internationally integrated stock market using Irish as an example. relate to British and business cycle variables from July 1975 May 1994. Exchange rate is more significant determinant than interest volatility. It follows that potential benefit membership European Monetary System may be reduced smaller member countries.

We examine the role of trading volumes in Generalized Autoregressive Conditional Heteroscedasticity (GARCH)-based tests Mixture Distributions Hypothesis (MDH) on firm-level data for 20 largest Fortune 500 stocks. In doing so, we provide a set increasingly generalized nested models within which to volumes, beginning with AR(1)-GARCH(1,1) model no progressing univariate AR(1)-GARCH(1,1)-X, AR(1)-GARCH(1,1)-M and AR(1)-GARCH(1,1)-M-X models, constant correlation bivariate model, culminating...

Using panel regression estimates from the IMF’s CPIS survey of foreign debt and equity portfolios across 174 originating 50 destination countries 2001 to 2007, we clarify role culture extend set cultural variables that have been investigated in gravity models portfolio investment (FPI). Incorporating Hofstede’s dimensions individualism, masculinity, power distance uncertainty avoidance, show how traits both countries, as well distances separate them, interact with geographic other determine...

The degree of firm-level multinationality is a key dimension that spans all theoretical frameworks, levels empirical analysis and domains investigation in international business research. There is, however, no agreed approach to defining or measuring multinationality. This reflected inconsistent approaches sample selection testing, it has curtailed the advancement discipline. We propose instead searching for elusive, all-encompassing definition an MNC, scholars should agree on classification...