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Asset Markets Contagion During the Global Financial Crisis

Kenourgios, Dimitris; Dimitriou, Dimitrios; … - In: Multinational Finance Journal 17 (2013) 1-2, pp. 49-76

This study investigates the contagion effects of the 2007-2009 global financial crisis across multiple asset markets … exchange and real estate. A robust analysis of financial contagion is provided by estimating and comparing asymmetric … correlated-information channel as a contagion mechanism among the US stocks, real estate, commodities and emerging Brazilian bond …

Persistent link: https://www.econbiz.de/10011103243

Booms and Busts as Exchange Options

Miller, Stephen Matteo - In: Multinational Finance Journal 16 (2012) 3-4, pp. 189-223

Selling (buying) a country’s equity index in exchange for equity investments elsewhere during a stock market crash (boom) is analogous to exercising an option to exchange an underperforming country (global benchmark) index for a global benchmark (country) index. This can be shown by extending...

Persistent link: https://www.econbiz.de/10010934078

An Analysis of the Dynamic Relationships Between the South African Equity Market and Major World Equity Markets

Lamba, Asjeet S.; Otchere, Isaac - In: Multinational Finance Journal 5 (2001) 3, pp. 201-224

This paper provides the first comprehensive analysis of the dynamic relationships between the South African and major world equity markets during May 1988 - May 2000. Using a multivariate cointegration framework and vector error-correction modeling the results indicate that there is a long-run...

Persistent link: https://www.econbiz.de/10010937075

Regime-Switching in Emerging Stock Market Returns

Assoe, Kodjovi G. - In: Multinational Finance Journal 2 (1998) 2, pp. 101-132

Many emerging markets have experienced significant changes in government policies and capital market reforms. These changes may lead to changes in their return-generating processes. Based on Markov-switching models, this paper investigates whether there is more than one regime in the...

Persistent link: https://www.econbiz.de/10010937170

The Equivalence of Causality Detection in VAR and VECM Modeling with Applications to Exchange Rates

Brailsford, T.J.; Penm, J. H.W.; Terrell, R.D. - In: Multinational Finance Journal 10 (2006) 3-4, pp. 153-178

Vector error-correction models (VECM) are increasingly being used to capture dynamic relationships between financial variables. Estimation and interpretation of such models can be enhanced if zero restrictions are allowed in the coefficient matrices. Specifically, in tests of indirect causality...

Persistent link: https://www.econbiz.de/10010937096

Timing Decisions in a Multinational Context: Implementing the Amin/Bodurtha Framework

Fruhwirth, Manfred; Schneider, Paul; Schwaiger, Markus S. - In: Multinational Finance Journal 11 (2007) 3-4, pp. 157-178

The Amin/Bodurtha framework was developed for the valuation of American-style financial instruments driven by three sources of uncertainty— domestic interest rate risk, foreign interest rate risk and exchange rate risk. The model is not only appropriate for pricing a number of financial...

Persistent link: https://www.econbiz.de/10010937137

The Determinants of Foreign Currency Hedging by U.K. Non-Financial Firms

Judge, Amrit - In: Multinational Finance Journal 10 (2006) 1-2, pp. 1-41

For 366 large non-financial U.K. firms, this paper reports the factors that are important in determining their decision to hedge foreign currency exposure. The results provide strong evidence of a relationship between expected financial distress costs and the foreign currency hedging decision...

Persistent link: https://www.econbiz.de/10010937146

A Cure Rather than a Disease: Government Ownership and Minority Shareholder Protection

Miletkov, Mihail K. - In: Multinational Finance Journal 18 (2014) 1-2, pp. 1-41

The governments which undertake privatization of their state owned enterprises often maintain some ownership in the newly privatized firms. This paper examines the effect of the presence of the government as a minority shareholder on the protection of the minority shareholders in privatized...

Persistent link: https://www.econbiz.de/10011103239

Return-based Style Analysis in Australian Funds

Faff, Robert; Nguyen, Annette; Ip, Bonnie H.I.; … - In: Multinational Finance Journal 16 (2012) 3-4, pp. 155-188

This study applies return-based style analysis to a sample of Australian managed and superannuation funds, seeking to compare their asset allocation strategies across different style groups. Style analysis is performed using a rolling window estimation technique. As expected, riskier fund...

Persistent link: https://www.econbiz.de/10010934073

The Predictability of Non-Overlapping Forecasts: Evidence from a New Market

Kavussanos, Manolis G.; Visvikis, Ilias D. - In: Multinational Finance Journal 15 (2011) 1-2, pp. 125-156

This paper investigates the short-run forecasting performance, in the relatively new and fairly unresearched futures market of Greece. Forecasts from univariate (ARIMA) and multivariate (VAR, VECM and SURE-VECM) linear time-series models indicate that cash returns can be more accurately...

Persistent link: https://www.econbiz.de/10010934077