We survey the literature on international equity market integration. In doing so, we examine
the theory of integration, the burgeoning literature on empirical evidence, and the …

This paper aims to study the co-movement and the volatility fluctuation between stock
markets in the Association of Southeast Asian Nations (ASEAN) countries from a new …

Existing literature on the day-of-the-week stock return anomaly focuses mainly on the United
States and other advanced economies with little or no attention to the emerging markets …

We examine calendar anomalies in Gulf Cooperation Council (GCC) stock markets and
document a Friday-type effect that occurs on the last trading day of the week and which we …

In today's increasingly international economy, return and volatility spillover effects across
international equity markets are major macroeconomic drivers of stock dynamics. Thus …

This study investigates whether, how, and why the matrix of correlations across international
equity markets changes over time. A theoretical model is proposed to specify potential …

This paper examines bilateral and multilateral cointegration properties of the German stock
market and the three most credible Central European candidates for membership in the …

This study re-examines the integration among five selected ASEAN emerging stock markets
(Malaysia, Thailand, Indonesia, the Philippines and Singapore) based on Autoregressive …

National stock markets have emerged as the major channel for financial integration of
emerging market economies amid globalisation, deregulation and advances in information …

Purpose–The purpose of this paper is to re‐examine the stock market integration and short‐
run dynamic interactions between the Malaysian stock market and the stock markets of its …