The internationalization of equity markets
著者
書誌事項
The internationalization of equity markets
（A National Bureau of Economic Research project report）
University of Chicago Press, 1994
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注記
"The papers were originally presented at a conference held in San Francisco on October 1-2, 1993"--Pref
Includes bibliographical references and indexes
内容説明・目次
内容説明
This volume addresses three important recent trends in the internationalization of equity markets. These trends are: extensive market integration through foreign investment and links among stock prices around the world; increasing securitization of other markets at the expense of banks; and the opening of national financial systems of newly industrializing countries to international financial flows and institutions. Eight essays examine such issues as: the current extent of international market integration; gains to US investors through international diversification; home-country bias in investing; the role of time and location around the world in stock-trading; and the behaviour of country funds. Other long-standing questions about equity markets are also addressed, including market efficiency and the accuracy of models of expected returns, with a particular focus on variances, covariances and the price of risk according to the Capital Asset Pricing Model.
目次
Preface Introduction 1 Jeffrey A. Frankel 1: A Test of the International CAPM Using Business Cycles Indicators as Instrumental Variables 23 Bernard Dumas 2: An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns 59 Wayne Ferson, Campbell R. Harvey. 3: Tests of CAPM on an International Portfolio of Bonds and Stocks 149 Charles M. Engel 4: International Equity Transactions and U.S. Portfolio Choice 185 Linda L. Tesar, Ingrid M. Werner. 5: The Effect of Barriers to Equity Investment in Developing Countries 231 Stijn Claessens, Moon-Whoan Rhee. 6: International Experiences with Securities Transaction Taxes 277 John Y. Campbell, Kenneth A. Froot. 7: Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets 309 Wen-Ling Lin, Takatoshi Ito. 8: What Moves the Discount on Country Equity Funds? 345 Gikas Hardouvelis, Rafael La Porta, Thierry A. Wizman. Contributors 405 Author Index 407 Subject Index 411
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