We examine effects of sovereign risk on bond duration in European and Latin American sovereign bond markets over the period 1996-2011. We compare the sovereign risk-adjusted duration for U.S. dollar-denominated sovereign bonds with their Macaulay duration for both investment- and...

In this paper, we analyze the impact of a transaction tax on the market quality of U.S. futures markets by estimating the elasticity of trading volume and of price volatility with respect to bid-ask spread in a three-equation model framework for eleven financial, agricultural, metals, and energy...

China, the second largest economy in the world after the US, has started the process to internationalize its currency, the renminbi (RMB), to become a global reserve currency. To this end, the offshore market for RMB-denominated bonds (dim sum bond) market in Hong Kong has been established to...

This paper discusses the role of Hong Kong in China's grand scheme to build up the RMB as a global reserve currency. We highlight the economic importance of Hong Kong to China in terms of channeling foreign direct investment into China, some of which, in the future, will be denominated in the...

In the wake of the recent financial crisis, several commentators have suggested a transaction tax on financial markets. The potential consequences of such a tax could be hazardous to the financial markets affected as well as to the economy. In this paper, we review the relevant theoretical and...

Using daily data of four currencies (Japanese yen, euro, British pound, and Australian dollar) in terms of the U.S. dollar, and these four currencies in terms of the euro from January 2004 to February 2008, we examine the lead-lag relationship between the credit default swap (CDS) market and the...

The globalization of financial markets has led to an integrated world market. Emerging economies such as China and India have opened up their markets to foreign investors. New instruments such as exchange-traded funds are being created, and current instruments are being expanded to include real...

Hedge funds typically have non-normal return distributions marked by significant positive or negative skewness and high kurtosis. Mean-variance optimization models ignore these higher moments of the return distribution. If a mean-variance optimization model suggests significant allocation to...

This study uses reported exports and imports figures of China-Hong Kong and China-Thailand trade to examine the relations among trade, foreign direct investment flows, and tax-induced market impediments. The empirical results, largely consistent with theoretical models, support several...

Hedge funds typically have non-normal return distributions marked by significant positive or negative skewness and high kurtosis. Mean-variance optimization models ignore these higher moments of the return distribution, and thus fail to convince investors who care about the unwanted skewness and...