This volume addresses important trends in the internationalization of equity markets. Essays examine such issues as: the current extent of international market integration; gains to US investors through international diversification; and the behaviour of country funds.

Preface Introduction 1 Jeffrey A. Frankel 1: A Test of the International CAPM Using Business Cycles Indicators as Instrumental Variables 23 Bernard Dumas 2: An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns 59 Wayne Ferson, Campbell R. Harvey. 3: Tests of CAPM on an International Portfolio of Bonds and Stocks 149 Charles M. Engel 4: International Equity Transactions and U.S. Portfolio Choice 185 Linda L. Tesar, Ingrid M. Werner. 5: The Effect of Barriers to Equity Investment in Developing Countries 231 Stijn Claessens, Moon-Whoan Rhee. 6: International Experiences with Securities Transaction Taxes 277 John Y. Campbell, Kenneth A. Froot. 7: Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets 309 Wen-Ling Lin, Takatoshi Ito. 8: What Moves the Discount on Country Equity Funds? 345 Gikas Hardouvelis, Rafael La Porta, Thierry A. Wizman. Contributors 405 Author Index 407 Subject Index 411