This paper extends the output growth model tested by Levine and Zervos (1998) by including a channel for capital allocation efficiency proxied by stock price informativeness. Using a sample of 59 countries, this study finds that stock price informativeness as measured by firm-specific return...

This paper extends the output growth model tested by Levine and Zervos (1998) by including a channel for capital allocation efficiency proxied by stock price informativeness. Using a sample of 59 countries, this study finds that stock price informativeness as measured by firm-specific return...

This study provides new insights into the link between local stock-market development and the demand for cross-listing. Analyzing 14 Central and Eastern European stock markets over two decades, we find that the link is non-monotonic: cross-listing activity first grows and then decreases as the...

This paper examines global (mature market) and regional (emerging market) spillovers in local emerging stock markets. Tri-variate VAR GARCH(1,1)-in-mean models are estimated for 41 emerging market economies (EMEs) in Asia, Europe, Latin America, and the Middle East. The models capture a range of...

As asset pricing, especially in emerging markets has been of continued interest in finance, this paper contributes by investigating the presence of periodically collapsing bubbles in seven Asian and seven Latin American emerging markets. Although a number of studies, using different approaches...

We investigate the permanent and transitory effects of sovereign credit ratings on time-varying stock and bond market correlations with their respective regional markets for a sample of up to nineteen emerging countries over the period from 1 January 1994 to 1 July 2007. We find that stock and...

This study investigates the effects of volatility spillovers among five Asian stock markets (China, Hong Kong, Korea, Singapore, and Taiwan) and examines how the global financial crisis of 2008 has influenced volatility transmission among Asian stock markets. The results from a VAR(1)-bivariate...