The Internationalization of Equity Markets

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PrefaceIntroduction 1Jeffrey A. Frankel1: A Test of the International CAPM Using Business Cycles Indicators asInstrumental Variables 23Bernard Dumas2: An Exploratory Investigation of the Fundamental Determinants of NationalEquity Market Returns 59Wayne Ferson, Campbell R. Harvey.3: Tests of CAPM on an International Portfolio of Bonds and Stocks 149Charles M. Engel4: International Equity Transactions and U.S. Portfolio Choice 185Linda L. Tesar, Ingrid M. Werner.5: The Effect of Barriers to Equity Investment in Developing Countries 231Stijn Claessens, Moon-Whoan Rhee.6: International Experiences with Securities Transaction Taxes 277John Y. Campbell, Kenneth A. Froot.7: Price Volatility and Volume Spillovers between the Tokyo and New YorkStock Markets 309Wen-Ling Lin, Takatoshi Ito.8: What Moves the Discount on Country Equity Funds? 345Gikas Hardouvelis, Rafael La Porta, Thierry A. Wizman.Contributors 405Author Index 407Subject Index 411