Characterizing World Market Integration through Time

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

1987 • 15,268 citations

Multivariate Simultaneous Generalized ARCH

1995 • 4,490 citations

Maximum Likelihood Estimation of Misspecified Models

1982 • 3,838 citations

Maximum Likelihood Estimation of Misspecified Models

1983 • 3,727 citations

Measuring and Testing the Impact of News on Volatility

1993 • 3,716 citations

Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances

1992 • 3,405 citations

The great reversals: the politics of financial development in the twentieth century

2003 • 3,311 citations

Time‐Varying World Market Integration

1995 • 2,163 citations

Foreign Speculators and Emerging Equity Markets

2000 • 1,914 citations

Emerging equity market volatility

1997 • 1,707 citations

Asymmetric Volatility and Risk in Equity Markets

2000 • 1,486 citations

Stock Market Liberalization, Economic Reform, and Emerging Market Equity Prices

2000 • 1,343 citations

The World Price of Insider Trading

2002 • 1,271 citations

Estimation and Inference in Nonlinear Structural Models

1974 • 1,128 citations

The World Price of Covariance Risk

1991 • 1,115 citations

Market Integration and Contagion

2005 • 1,036 citations

International Asset Pricing under Mild Segmentation: Theory and Test

1985 • 956 citations

The Risk and Predictability of International Equity Returns

1993 • 940 citations

The World Price of Foreign Exchange Risk

1995 • 824 citations

Stock Market Development and Financial Intermediaries: Stylized Facts

1996 • 806 citations

International Asset Pricing and Portfolio Diversification with Time‐Varying Risk

1997 • 745 citations

Emerging markets finance

2003 • 665 citations

On the Effects of Barriers to International Investment

1981 • 662 citations

Volatility Spillover Effects in European Equity Markets

2005 • 641 citations

Market Integration and Investment Barriers in Emerging Equity Markets

1995 • 640 citations

Dating the integration of world equity markets

2002 • 571 citations

Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets

1992 • 534 citations

Predictable Stock Returns in the United States and Japan: A Study of Long‐Term Capital Market Integration

1992 • 521 citations

How big is the premium for currency risk?1We thank Geert Bekaert, Tim Bollerslev, Peter Bossaerts, Mark Carhart, John Cochrane, Magnus Dahlquist, Wayne Ferson, Linda Goldberg, Campbell Harvey, Pierre Hillion, Robert Hodrick (the referee), Olivier Ledoit, John Matsusaka, Hans Mikkelsen, Angel Serrat and Ivo Welch, as well as workshop participants at INSEAD, University of California at Los Angeles, University of Southern California, University of Rochester, Southern Methodist University, …

1998 • 512 citations

The Overseas Listing Decision: New Evidence of Proximity Preference

2003 • 480 citations

Stock returns and volatility in emerging financial markets

1997 • 474 citations

Integration vs. Segmentation in the Canadian Stock Market

1986 • 436 citations

Session Topic: Capital Asset Pricing Models in an International Context

1974 • 391 citations

Can the Gains from International Diversification Be Achieved without Trading Abroad?

1999 • 388 citations

The International Pricing of Risk: An Empirical Investigation of the World Capital Market Structure

1974 • 360 citations

A Model of International Asset Pricing with a Constraint on the Foreign Equity Ownership

1986 • 350 citations

Sources of risk and expected returns in global equity markets

1994 • 334 citations

The Great Reversals: The Politics of Financial Development in the 20th Century

2001 • 280 citations

Foreign ownership restrictions and stock prices in the Thai capital market

1994 • 278 citations

AN EMPIRICAL TEST OF THE ALTERNATIVE HYPOTHESES OF NATIONAL AND INTERNATIONAL PRICING OF RISKY ASSETS

1977 • 276 citations

Foreign Equity Investment Restrictions, Capital Flight, and Shareholder Wealth Maximization: Theory and Evidence

1995 • 264 citations

EMU and European Stock Market Integration

1999 • 263 citations

Time-varying market integration and expected returns in emerging markets

2005 • 253 citations

International Arbitrage Pricing Theory: An Empirical Investigation

1986 • 249 citations

Some tests of international equity integration

1988 • 225 citations

Short-Run Pain, Long-Run Gain: The Effects of Financial Liberalization

2002 • 211 citations

EMU and European Stock Market Integration

2001 • 181 citations

Tests of integration, mild segmentation and segmentation hypotheses

1992 • 176 citations

Are correlations of stock returns justified by subsequent changes in national outputs?

2003 • 176 citations

Short-Run Pain, Long-Run Gain: The Effects of Financial Liberalization

2003 • 163 citations

Foreign Portfolio Equity Investments, Financial Liberalization, and Economic Development

2001 • 163 citations

An example of numerical nonconvergence of a variable-metric method

1985 • 159 citations

Capital Flow Controls, International Asset Pricing, and Investors' Welfare: A Multi‐Country Framework

1989 • 159 citations

International diversification through closed-end country funds

1995 • 121 citations

Stock Returns and Volatility in Emerging Financial Markets

1994 • 107 citations

An Intertemporal Model of International Capital Market Segmentation

1996 • 56 citations

International investment barriers in general equilibrium

1993 • 30 citations

Emerging Market Capital Flows

1998 • 22 citations

Foreign Equity Investment Restrictions, Capital Flight, and Shareholder Wealth Maximization

1995 • 20 citations

A Markov switching model of market integration

1998 • 13 citations

Investment barriers and international asset pricing

1992 • 9 citations

Time-variation in the price of risk and the international capital market structure /

1993 • 3 citations

An Intertemporal Model of Segmentation

1998 • 1 citations

Deleted Work

1955 • 0 citations