1.

Burdekin, Hughson, Weidenmier and Gu, 2016 examine the “A first look at Brexit and
global equity markets”. Global equity markets fell by nearly 5% overall on 24 June 2016
following news of the Brexit referendum result. Although nearly all EU stock market indices
experienced additional significantly negative abnormal returns, especially poor performance was
registered by the debt-ridden PIIGS group (Portugal, Ireland, Italy, Greece and Spain). In this
article, we identify a systematic tendency for more severe stock market responses to be
concentrated amongst countries with higher debt to GDP ratios. This effect endures even after
controlling for the degree of openness, EU membership and for being part of the PIIGS group.

2.Dungey, Fry, González-Hermosillo and Martin, 2007 Examine the “Contagion in global
equity markets in 1998: The effects of the Russian and LTCM crises”. The Russian and
LTCM financial crises in 1998 originated in bond markets, but rapidly transmitted through
international equity markets. A multi-factor model of financial markets with multiple regimes is
used to estimate the transmission effects in equity markets due to global, regional and contagious
transmission mechanisms during the crises. Using a panel of 10 emerging and industrial financial
markets, the empirical results show that contagion is significant and widespread in international
equity markets during the LTCM crisis, but is more selective during the Russian crisis.
Contagion effects in equities differ to those previously noted in bond markets for this period.

3. Diebold and Yilmaz, 2008 Examine the “Measuring Financial Asset Return and Volatility
Spillovers, with Application to Global Equity Markets”. We provide a simple and intuitive
measure of interdependence of asset returns and/or volatilities. In particular, we formulate and
examine precise and separate measures of return spillovers and volatility spillovers. Our
framework facilitates study of both non‐crisis and crisis episodes, including trends and bursts in
spillovers; both turn out to be empirically important. In particular, in an analysis of 19 global
equity markets from the early 1990s to the present, we find striking evidence of divergent
behaviour in the dynamics of return spillovers vs. volatility spillovers: return spillovers display a
gently increasing trend but no bursts, whereas volatility spillovers display no trend but clear
bursts.

4. Maghyereh and Abdoh, 2021 Examines the “Time–frequency quantile dependence

between Bitcoin and global equity markets” In this paper, we examine return dependence
between Bitcoin and stock market returns using a novel quantile cross-spectral dependence
approach. The results suggest a right-tail (high return) dependence between Bitcoin and the stock
markets in the long term and that said dependence decreases significantly from yearly to monthly
investment horizons. Furthermore, right-tail dependence between Bitcoin and the US stock
market is the strongest compared with other stock markets. We also extract information on the
time-varying and time–frequency structure of co-movements between Bitcoin and the stock
markets using wavelet-coherence analysis, the results of which suggest that the co-movement
between Bitcoin and the US stock market is positive, whereas, for other stock markets, it is
negative at certain frequencies and time periods. Overall, the findings highlight additional risk-
management capabilities of Bitcoin according to different stock markets.

5. Swanson, 2003 examines the “The interrelatedness of global equity markets, money
markets, and foreign exchange markets”. This article investigates different aspects of global
financial markets, specifically relationships among equity markets, money markets, and foreign
exchange markets across countries. To represent the three major financial markets of the world,
Japan is the proxy for Asia, Germany is the proxy for Europe, and the United States is the proxy
for North America. Strong evidence exists that international money markets and international
equity markets are becoming increasingly integrated over time. This article incorporates foreign
exchange values as partial determinants of equity returns and money market returns and
investigates the interactions among these three asset markets from a global perspective

6. Cuadro Sáez, Fratzscher and Thimann, 2007 examines the “The transmission of
emerging market shocks to global equity markets”. The paper analyzes whether, and to what
extent, emerging market economies (EMEs) have systemic importance for global financial
markets, above and beyond their influence during crises episodes. Using a novel database of
exogenous economic and political shocks for 14 systematically relevant EMEs, we find that
EME shocks not only have a statistically but also economically significant impact on global
equity markets. The economic significance of EME shocks is in particular underlined by their
remarkably persistent effects over time. Importantly, EMEs are found to influence global equity
markets about just as much in “good” times as in “bad” times, though they tend to be stronger
during crises or periods of financial turbulence. Finally, we detect a large degree of heterogeneity
in the transmission of EME shocks to individual countries' equity markets, stressing the different
degrees of financial exposure, which is relatively higher for European equity markets.

7. Phylaktis and Xia, 2006 examines the “The Changing Roles of Industry and Country
Effects in the Global Equity Markets”. This paper examines the roles of country and industry
effects on international equity returns using a comprehensive database covering 50 industry
groups and 34 countries over the period 1992 to 2001. The study focuses on the evolving process
of those effects over time and on geographical differences. The main results are as follows:
although the country effects still dominate the industry effects in the full sample period, there has
been a major upward shift in industry effects since 1999. The degree of this shift varies across
regions and is prominent in Europe and North America, while in Asia Pacific and Latin America,
country effects still dominate. The increasing industry effects are not found to be confined to the
Technology, Media and Telecommunications sectors and thus are not considered a temporary
phenomenon. The above developments have implications for international portfolio
diversification.

8. Barth, Clinch and Shibano, 1999 Examines the “International accounting harmonization
and global equity markets”. We show harmonizing domestic GAAP with foreign GAAP can
have deleterious effects on security market performance, specifically price informativeness and
trading volume. Harmonization effects result from interaction between two forces. Direct
informational effects depend on whether harmonization increases or decreases GAAP precision.
Expertise acquisition effects depend on benefits and costs to foreign investors of becoming
domestic GAAP experts. These countervailing forces can result in harmonization to more (less)
precise GAAP increasing (decreasing) or, unexpectedly, decreasing (increasing) price
informativeness and trading volume. We also observe this for a cost of capital metric. Thus,
harmonization is not necessarily a desirable singular goal.

9. Magiera, 2001 Examines the “The Rise of Sector Effects in Major Equity Markets”.
Historically, country effects have been dominant in explaining variations in global stock returns,
even in the developed markets, and investors have segmented their allocations accordingly. We
set out to investigate whether this situation still prevails. We found a significant shift in the
relative importance of national and economic influences in the stock returns of the world's largest
equity markets. In these markets, the impact of industrial sector effects is now roughly equal to
that of country effects. In addition to supporting the notion of increasing global capital market
integration, these findings suggest that country-based approaches to global investment
management may be losing their effectiveness.

The degree to which global economies and capital markets are integrated plays a critical role in
the relative importance of country and sector factors in global stock returns. Higher levels of
integration blur national borders and diminish the significance of country factors vis-a-vis
sectors. The historical dominance of country effects in explaining variations in global stock
returns suggests that global capital markets have been relatively segmented. Accordingly,
country-oriented strategies have been the most common approach to global equity management.
Our research found evidence that country effects no longer dominate sector effects to the extent
they have historically.

10. Grobys, 2014 examines the “Momentum in global equity markets in times of troubles:
Does the economic state matter”. This paper investigates the profitability of momentum-based
trading strategies pursued during the most recent economic downturns in global equity markets.
In contrast to previous studies, it reveals that such strategies generated statistically significant
negative returns during the most recent recessions. These “momentum crashes” happen during
market reversals following exceptionally large market declines, as occurred in March and April
2009.
11. Bekaert, 1995 examines the “Market Integration and Investment Barriers in Emerging
Equity Markets” This article develops a return-based measure of market integration for
nineteen emerging equity markets. It then examines the relation between that measure, other
return characteristics, and broadly defined investment barriers. Although the analysis is
exploratory, some clear conclusions emerge. First, global factors account for a small fraction of
the time variation in expected returns in most markets, and global predictability has declined
over time Second, the emerging markets exhibit differing degrees of market integration with the
U.S. market, and the differences are not necessarily associated with direct barriers to investment.
Third, the most important de facto barriers to global equity-market integration are poor credit
ratings, high and variable inflation, exchange rate controls, the lack of a high-quality regulatory
and accounting framework, the lack of sufficient country funds or cross-listed securities, and the
limited size of some stock markets.

12. Nguyen, Phan, Ming and Nguyen, 2021 examines the “An assessment of how COVID-19
changed the global equity market”. This paper investigates the impact of the U.S and China
equity markets on global equity markets during the COVID-19 pandemic. Specifically, we
compare the contagion of global equity markets, their volatility persistence, and the volatility
spillover effects from the U.S and China to other countries in pre-pandemic and during-pandemic
periods. We find evidence of significant contagion effects from the U.S and China stock markets
during the COVID-19 pandemic period. Further, we observe that the nature of stock index
volatility does not change and there is weak evidence for volatility spillover effects during the
pandemic period.

13. Bilson, Brailsford, Hallett and Shi, 2012 Examines the “The impact of terrorism on
global equity market integration”. In this paper we investigate the short-term contagion and
long-term integration effects of terrorist activity on national stock markets. Using the partially
integrated model of Bekaert et al. (Bekaert G, Harvey C and Ng A (2005) Market integration and
contagion. Journal of Business 78: 39–69), we examine whether changes in cross-border
relationships surrounding recent terrorist events are caused by changes in exposure to common
risk factors and investigate whether these findings are similar across both developed and
emerging market securities. Our research concludes that terrorism induces substantial contagion
and market integration effects on national equity markets. Specifically, we provide strong
evidence that major terrorist attacks induce substantial contagion consequences, particularly for
developed nation equity markets. In terms of longer-term integration effects, a strong increase in
cross-market correlation is observed from the pre to post-9/11 period. However, we find little
evidence of an increase in the risk exposures of national markets to common risk factors,
suggesting that this heightened correlation is driven by an increase in global risk factor
uncertainty. This finding is consistent with the argument that an increase in the risk aversion of
market participants is associated with terrorist attacks.

14. Phylaktis and Ravazzolo, 2004 examines the “The Risk Exposure of Emerging Equity
Markets”. The low correlation between returns in emerging equity markets and industrial equity
markets implies that the global investor would benefit from diversification in emerging markets.
This article explores the sensitivity of the emerging-market returns to measures of global
economic risk. When these traditional measures of risk are used, the emerging markets have little
or no sensitivity. This finding is consistent with these markets' being segmented from world
capital markets. However, the correlation between the emerging-market returns and the risk
factors appears to be changing over time.

15. Wongswan, 2005 examines the “The response of global equity indexes to U.S. monetary
policy announcements”. This paper analyzes the impact of U.S. monetary policy announcement
surprises on 15 foreign equity indexes in Asia, Europe, and Latin America. Using high-frequency
data, I find a large and significant response of foreign equity indexes to U.S. monetary policy
surprises at short time horizons. On average, a hypothetical unanticipated 25-basis-point cut in
the federal funds target rate is associated with a ½– 2½% increase in foreign equity indexes. This
paper also provides evidence that U.S. monetary policy surprises, and by extension changes in
U.S. interest rates, affect foreign equity indexes through their discount rate component. This
finding suggests that U.S. monetary policy may be a risk factor in global equity markets.