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on Corporate Finance |
| By: | Badi H. Baltagi; Panicos O. Demetriades; Siong Hook Law |
| Abstract: | Utilising four annual panel datasets and dynamic panel data estimation procedures we find that trade and financial openness, as well as economic institutions are statistically important determinants of the variation in financial development across countries and over time since the 1980s. However, we find mixed support for the hypothesis that the simultaneous opening of both trade and capital accounts is necessary to promote financial development in a contemporary setting. |
| Keywords: | Financial development; Trade Openness; Financial Openness; Economic Institutions; Financial Liberalization; Dynamic Panel Data Analysis |
| JEL: | F19 G29 |
| Date: | 2007–05 |
| URL: | http://d.repec.org/n?u=RePEc:lec:leecon:07/5&r=cfn |
| By: | Pierdzioch, Christian; Kizys, Renatas |
| Abstract: | We report results on the international linkages of the stock markets of three Central and Eastern European (CEE) countries (Czech Republic, Hungary, and Poland). Our results are based on monthly data for the sample period from 1995 to 2006. We show that it is important to account for international linkages between fundamentals and speculative bubbles. Our results suggest that, with regard to fundamentals, the international linkages of the stock markets of the three CEE countries have strengthened at the end of the sample period. By contrast, with regard to speculative bubbles, their international linkages have become weaker at the end of the sample period. |
| Keywords: | Stock markets; Fundamentals; Speculative bubbles; Cointegration; CEE countries; Kalman filter |
| JEL: | G15 C32 F37 |
| Date: | 2007–06–06 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:3401&r=cfn |
| By: | Pierdzioch, Christian; Kizys, Renatas |
| Abstract: | We combine tests for speculative bubbles in stock markets with a cross-country regression framework to analyze whether specific institutional characteristics of an economy can be identified that make speculative bubbles in stock markets more likely to occur. The list of institutional characteristics that have a significant effect on the probability that a speculative bubble arises includes the law and order tradition of a country, expropriation risk, the tax rates on dividend income and interest income, and the overall efficiency of the financial system. We also find that speculative bubbles are less likely to occur in an economy that experiences strong economic growth. |
| Keywords: | Speculative bubbles; cointegration; cross-country regression model; institutions |
| JEL: | E32 C32 G12 E44 |
| Date: | 2007–06–06 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:3402&r=cfn |