The Internationalization of Equity Markets
Eight essays examine such issues as the current extent of international market integration, gains to U.S. investors through international diversification, home-country bias in investing, the role of time and location around the world in stock trading, and the behavior of country funds. Other, long-standing questions about equity markets are also addressed, including market efficiency and the accuracy of models of expected returns, with a particular focus on variances, covariances, and the price of risk according to the Capital Asset Pricing Model.
Jeffrey A. Frankel
1: A Test of the International CAPM Using Business Cycles Indicators as
Instrumental Variables 23
2: An Exploratory Investigation of the Fundamental Determinants of National
Equity Market Returns 59
Wayne Ferson, Campbell R. Harvey.
3: Tests of CAPM on an International Portfolio of Bonds and Stocks 149
Charles M. Engel
4: International Equity Transactions and U.S. Portfolio Choice 185
Linda L. Tesar, Ingrid M. Werner.
5: The Effect of Barriers to Equity Investment in Developing Countries 231
Stijn Claessens, Moon-Whoan Rhee.
6: International Experiences with Securities Transaction Taxes 277
John Y. Campbell, Kenneth A. Froot.
7: Price Volatility and Volume Spillovers between the Tokyo and New York
Stock Markets 309
Wen-Ling Lin, Takatoshi Ito.
8: What Moves the Discount on Country Equity Funds? 345
Gikas Hardouvelis, Rafael La Porta, Thierry A. Wizman.
Author Index 407
Subject Index 411