This paper tests for the martingale (or random walk) hypothesis in the stock prices of a group of Asian countries. The selected countries represent well-developed markets (Hong Kong and Japan) as well as emerging markets (Korea, Taiwan and Thailand). This paper adopts a new joint variance ratio...

We examine the equity market price interdependence between Australia, on one hand, and Japan, US, UK, Hong Kong, Singapore, Taiwan and Korea, on the other hand, based on Hacker and Hatemi-J (2003) bootstrap causality tests with leveraged adjustments. We cover the period January 1, 1993 to...

Surveys of Australian superannuation funds verify that most international bond holdings, but not equity holdings, are hedged for currency risk. We compare the mean-variance efficiency of this practice with two alternative strategies: a conventional forward hedge; and a selective hedge triggered...

Myopic loss aversion has been used to explain why a high equity premium might be consistent with plausible levels of risk aversion. The intuition is that it plays the role of high risk aversion in portfolio choice. But if so, should these agents not perceive larger gains from international...

This paper proposes a model encompassing alternative views of contagion by highlighting the different channels of transmission of financial crises in an unifying framework. We study investor behaviour when they are affected by external habit formation. It is shown how international portfolio...

We show that a model of the spirit of capitalism can generate a high degree of international risk sharing as measured by the discount-factor-based approach of Brandt, Cochrane, and Santa-Clara (2001), even when consumption and portfolio holdings exhibit "home bias". We also show how portfolio...

The objective of this paper is to measure, through econometric techniques, the existence of horizontal and vertical spillovers form Transnational Corporations presence in Uruguayan’s manufacturing sector in 1990-2000. We concluded that the factorial productivity of the firms has a...

We attempt to explain why standard explanations of the poverty of nations are unsatisfactory. We first argue that human capital is low in poor countries because its production has increasing returns with respect to life expectancy. We then show that the reason why capital does not flow to poor...

We examine the role of different explanations for the lack of flows of capital from rich to poor countries---the Lucas paradox---in an empirical framework. Broadly speaking, the theoretical explanations for this paradox include differences in fundamentals affecting the production structure...

This paper proposes a regression model for analysis of panel count data with the presence of excess zeros relative to a negative binomial distribution, in which the frequency distribution of counts changes according to an underlying two-state Markov chain. Features of the proposed model and...