This paper investigates whether stock-price indices of seventeen emerging markets can be characterized as random walk (unit root) or mean reversion processes.

Stock prices in emerging economies move in step much more than in advanced economies. Emerging markets' prices capitalize less firm specific information, and appear subject to more economy-wide fluctuations. Measures of this consonance of stock returns are positively correlated with indicators...

In June 1997, the Nasdaq stock market and the New York Stock Exchange (NYSE) each lowered its minimum price increment on most stocks from eighths to sixteenths. Like other researchers investigating similar events, we find that quoted spreads and effective spreads decline on both markets with the...

What kind of information do stock prices offer for predicting velocity? This paper develops previous work by Milton Friedman for the US economy and shows that a wealth effect derived from the stock market has negatively influenced the ratio of nominal income to a broad definition of money in a...

We present an equilibrium framework in which asset prices, default-free term structure and default premia are determined simultaneously.

Our strategy in this chapter is as follows: (a) use financial market data to estimate time-series models for dividend growth and discount rates, (b) use these models to simulate dividend growth and discount rate paths for a variety of possible economies that do not contain bubbles, (c) calculate...

This study addresses two questions: where does price discovery occur for internationally-traded firms and ho do international stock prices adjust to an exchange rate shock ?These questions are answered by analyzing quotes originating in New York and Frankfurt for three large German firms,...

The paper compares the dynamics of housing prices in fifteen OECD countries. The data reveal a remarkable degree of similarity across countries and suggest rich dynamics for the first-differenced real house prices, with a significant structure of autocorrelation.

The analysis of correlations forms the basis of portfolio diversification and the lower the correlation between two assets, the greater the potential benefit to be obtained by diversification. In the international context , this typically involves the analyses of the correlation between the...

In this paper, econometric techniques are employed to analyze the continuous and remarkable growth which has characterized international stock markets since 1995. The Campbell and Shiller dividend discount model, a dynamic version of Gordon's formula commonly employed by financial analysts to...