This paper examines the information transmission between stocks and their corresponding deposit receipts (DRs) by collecting samples with good reputations and high liquidity in both markets. Using eight years of daily panel data from six cross-listed Taiwanese firms, our results show the...

Central banks usually intervene in order to calm disorderly market conditions, fix exchange rate misalignments, stabilise erratic short-term exchange rate fluctuations, or quell the excess demand/supply of FX. Under a floating regime, the size and timing of intervention are critical policy...

In this paper we examine the relevance of currency risk in emerging countries using a conditional version of an international capital pricing model. Our results show that both currency risk and market risk are time-varying and priced in emerging stock markets. In particular, the currency risk...

This paper aims to test the international transmission of stock market volatility and the risk of contagion among a sample of emerging and developed markets through a methodology rarely used in this context. This methodology, developed by Bai and Perron (1998, 2003), is based on the...

Using a new dataset on capital market regulation, we analyze whether capital controls helped protect emerging markets from the real economic consequences of the 2009 financial and economic crisis. The impact of the crisis is measured by the 2009 forecast error of a panel state space model, which...

This paper empirically investigates whether there is an evolution in the relation between stock market trading volume and volatility in 23 developed and 15 emerging markets. To answer this question, we develop a dynamic application of the TARCH (1, 1) model and first prove that the relationship...

In this paper we use the Markov regime-switching model to investigate the volatility behavior of six Mediterranean stock markets (France, Spain, Greece, Egypt, Tunisia, and Turkey) over the turbulent period 1995-2010. Our results show strong evidence of regime shifts in each of these markets. We...

Based on technical analysis and White's and Hansen's data-snooping-robust tests, we examine the efficiency of the Taiwan-U.S. forward foreign exchange market and find that, unlike the spot market, the forward market is inefficient even under a very high transaction cost, suggesting that the...

This paper looks into the role of gold as a safe haven or a hedge against stocks. We extend the existing literature in two ways. First, we consider crisis periods successively defined by recessions and bear markets. Second, we use a bivariate ARMA-GARCH-X model to estimate conditional...

The current decade was marked by the worst economic and financial crisis since the Great Depression, many economies experiencing a severe contraction of output in late 2008 and early 2009. But, was this evolution of the activity only the result of the domestic factors or a certain form of...