We consider impulse response functions to study the impact of both return and volatility on the correlation between international equity markets. Using data on the US (as the reference country), Canada, the UK and France equity indices, empirical evidence shows that without taking into account...

We consider cross-border competition by stock exchanges for listings from firms that have controlling shareholders who have private benefits. We examine exchanges' choices of their listing standards and firms' choices of the exchanges where they cross-list their shares. We show that the share...

Value at risk (VaR) is a central concept in risk management. As stressed by Artzner et al. (1999, Coherent measures of risk, Math. Finance 9(3) 203-228), VaR may not possess the subadditivity property required to be a coherent measure of risk. The key idea of this paper is that, when tail...

Common negative extreme variations in returns are prevalent in international equity markets. This has been widely documented with statistical tools such as exceedance correlation, extreme value theory, and Gaussian bivariate GARCH or regime-switching models. We point to limits of these tools to...