The underlying stochastic processes that drive returns in several emerging bond and stock markets are investigated using the pure diffusion, the jump diffusion, the ARCH pure diffusion, and the ARCH jump diffusion models. The results indicate that jump diffusion models fit the data better than...

In this paper we examine integration between emerging and U.S. debt and equity markets. We first investigate price changes around significant quot;events,quot; in this case changes in short-term U.S. interest rates brought about by actions of the Federal Reserve. Second, we estimate the...

We present estimates of 4 and 8 firm concentration ratios by industry and in weighted aggregate form for the manufacturing sector for Chinese enterprises for 2002 and 2007. These are then compared to available estimates for the same years and industrial classification for the US. These...