This paper examines the relationships between Russian and other equity markets over the period of 1995-2004. To account for potential instability in the market relationships we apply a number of cointegration approaches: Gregory-Hansen [1996. Residual-based tests for cointegration in models with...

This paper examines the relationships between the Russian and other Central European (CE) and developed countries' equity markets over the 1995-2004 period. Along with the traditional Johansen and Juselius (1990) multivariate cointegration tests, we apply novel cointegration approaches,...

We study the evolution of global equity market integration using US dollar denominated iShares. Designed to mimic the movements of MSCI indices, these securities provide an easy pool of international diversification products for the investor. As such they allow us to conduct an analysis of the...

We examine the relationship between Russian and other Central and Eastern European equity markets over the 1995-2004 period. Using traditional Johansen and Juselius multivariate cointegration approaches and examining Impulse Response Functions from VECM's we find that the extent of the...

The paper extends the evidence on factors determining stock prices on emerging markets by focusing on the most advanced stock market in Central and Eastern Europe, the Polish market. Besides market, size and value factors, we investigate whether liquidity is a priced risk factor, addressing the...

The authors use international business strategy and regional development literature to inform a set of propositions about the links between direct employment by foreign-owned subsidiaries in the manufacturing sector and the development of embeddedness and autonomy in these subsidiaries. A...