Information Spillovers and Market Integration in International Finance:Empirical Analyses

Suk-Joong Kim ()

in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.

Abstract: This book volume brings together carefully selected scholarly works covering four inter-related topic areas in international finance. The first section deals with the efficacy and determinants of central bank currency interventions by the Bank of Japan and the Reserve Bank of Australia, the two of the most active central banks in the currency markets in the 1990s and the 2000s. This is followed by chapters that investigate the nature of information processing following domestic and foreign macroeconomic announcements. The third section provides the investigations into the evolving nature of financial market integration and information leadership of major financial centers. The final section presents the studies on the role sovereign credit ratings play in attracting international capital investments.

Keywords: Currency Intervention; Macroeconomic News; International Capital Flows; Sovereign Credit Rating (search for similar items in EconPapers)
JEL-codes: F30 (search for similar items in EconPapers)
Date: 2018
ISBN: 9789813223578
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Chapters in this book:

Ch 1 The Determinants of Foreign Exchange Intervention by Central Banks: Evidence from Australia , pp 3-41

Suk-Joong Kim and Jeffrey Sheen

Ch 2 Intraday Timing of AUD Intervention by the Reserve Bank of Australia: Evidence from Microstructural Analyses , pp 43-71

Peter Andersen and Suk-Joong Kim

Ch 3 Interventions in the Yen-Dollar Spot Market: A Story of Price, Volatility and Volume , pp 73-106

Suk-Joong Kim and Jeffrey Sheen

Ch 4 Secrecy of Bank of Japan’s Yen Intervention: Evidence of Efficacy from Intra-daily Data , pp 107-147

Suk-Joong Kim and Anh Tu Le

Ch 5 Macroeconomic News Announcements and the Role of Expectations: Evidence for US Bond, Stock and Foreign Exchange Markets , pp 151-174

Suk-Joong Kim, Michael D. McKenzie and Robert Faff

Ch 6 The Spillover Effects of US and Japanese Public Information News in Advanced Asia-Pacific Stock Markets , pp 175-201

Suk-Joong Kim

Ch 7 Minute-by-Minute Dynamics of the Australian Bond Futures Market in Response to New Macroeconomic Information , pp 203-227

Suk-Joong Kim and Jeffrey Sheen

Ch 8 The Efficiency of the Information Processing in the Australian Dollar Market: Price Discovery Following Scheduled and Unscheduled News , pp 229-267

Lawrence Daniel, Suk-Joong Kim and Michael D. McKenzie

Ch 9 Information Leadership in the Advanced Asia-Pacific Stock Markets: Return, Volatility and Volume Information Spillovers from the US and Japan , pp 271-304

Suk-Joong Kim

Ch 10 Dynamic Stock Market Integration Driven by the European Monetary Union: An Empirical Analysis , pp 305-368

Suk-Joong Kim, Fari Moshirian and Eliza Wu

Ch 11 Dynamics of Bond Market Integration between Established and New European Union Countries , pp 369-389

Suk-Joong Kim, Brian Lucey and Eliza Wu

Ch 12 Evolution of International Stock and Bond Market Integration: Influence of the European Monetary Union , pp 391-428

Suk-Joong Kim, Fari Moshirian and Eliza Wu

Ch 13 Sovereign Credit Ratings, Capital Flows and Financial Sector Development in Emerging Markets , pp 431-466

Suk-Joong Kim and Eliza Wu

Ch 14 International Bank Flows to Emerging Markets: Influence of Sovereign Credit Ratings and Their Regional Spillover Effects , pp 467-515

Suk-Joong Kim and Eliza Wu

Ch 15 Do Sovereign Credit Ratings Influence Regional Stock and Bond Market Interdependencies in Emerging Countries? , pp 517-546

Rachel Christopher, Suk-Joong Kim and Eliza Wu

Ch 16 The Effects of Ratings-Contingent Regulation on International Bank Lending Behavior: Evidence from the Basel 2 Accord , pp 547-603

Iftekhar Hasan, Suk-Joong Kim and Eliza Wu

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