Publication: Stock market regulations and international financial integration: the case of Spain
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1994-07
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Abstract
International financial integration effects on Spanish stock market are studied, both for the conditional mean and conditional variance. New institutional regulations in Spain are taken into account and its efficiency consequences are addressed. Results suggest an increasing international integration but nontrivial opportunities for financial diversification may still be relevant.
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Egarch, Garch, Stochastic volatility, Financial integration