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Time-varying market iIntegration and expected returns in emerging markets

Jong, Frank de; Roon, Frans de - 2001

We use a simple model in which the expected returns in emerging markets depend on their systematicrisk as measured by their beta relative to the world portfolio as well as on the level ofintegration in that market. The level of integration is a time-varying variable that depends on themarket...

Persistent link: https://www.econbiz.de/10011325667

The impact of dark trading and visible fragmentation on market quality

Degryse, Hans; Jong, Frank de; Kervel, Vincent van - In: Review of finance : journal of the European Finance … 19 (2015) 4, pp. 1587-1622

Persistent link: https://www.econbiz.de/10011405214

Time-varying market integration and expected returns in emerging markets

Jong, Frank de; Roon, Frans de - 2001

Persistent link: https://www.econbiz.de/10001630152

Price discovery in fragmented markets

Jong, Frank de; Schotman, Peter C. - In: Journal of financial econometrics : official journal of … 8 (2010) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10003997323

The impact of dark and visible fragmentation on market quality

Degryse, Hans; Jong, Frank de; Kervel, Vincent van - 2011

Two important characteristics of current European equity markets are rooted in changes in financial regulation (the Markets in Financial Instruments Directive). The regulation (i) allows new trading venues to emerge, generating a fragmented market place and (ii) allows for a substantial fraction...