Stock market volatility and the crash of 1987: evidence from six emerging markets
Article Abstract:
A study was conducted on volatility, risk premia and the persistence of volatility in six emerging stock markets before and after the stock market crash of 1987. The market data were taken from Argentina, Greece, India, Mexico, Thailand and Zimbabwe. The results show changes in the ARCH parameter, risk premia and persistence of volatility before and after the 1987 crash. However, the changes are not uniform and depend upon the individual markets. Furthermore, other factors may also have contributed to the changes.
Publication Name: Journal of International Money and Finance
Subject: Economics
ISSN: 0261-5606
Year: 1996
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Real stock prices and the long-run money demand function: evidence from Canada and the USA
Article Abstract:
The relationship between stock prices and the long-run money demand function in Canada and the US during post-World War II period of 1955-1989 is examined. The Johansen process of cointegration and error correction modelling strategy are employed. Findings reveal that stock prices have substantial impact on the stationary long-run real M1 and real M2 demand functions in both countries. There is also a causality between the real money stock and the determinants of the money demand.
Publication Name: Journal of International Money and Finance
Subject: Economics
ISSN: 0261-5606
Year: 1996
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The gold standard: perfectly integrated world markets or slow adjustment of prices and interest rates?
Article Abstract:
The balance of payments adjustment mechanism for Canada, the US and the UK in the gold standard era is studied. The two versions of the monetary adjustment mechanism are considered, namely, that national prices levels and interest levels are divergent or that these are linked in perfectly integrated world markets. Results show a lack of evidence for the theory of perfectly integrated world markets.
Publication Name: Journal of International Money and Finance
Subject: Economics
ISSN: 0261-5606
Year: 1995
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