This paper analyzes empirically the behavior of foreign investors on emerging equity markets in a cross-country setting, including 14 emerging markets from the year 2000 to 2005. We could find little evidence that these investors have brought problems to local emerging markets. Foreign investors...

This paper examines whether the increased legal and reputational constraints associated with cross-listing in the U.S. reduces the propensity of insiders to trade on private information. We find that the directors in both domestic and cross-listed firms trade on private information, particularly...

We use transactions data to explore the magnet effects of price limit rules on the Shanghai Stock Exchange (SHSE). When limit hits are imminent, stock prices are found to approach the price limits at faster rates, with higher trading intensity and larger price variation, supporting the magnet...

The main focus of this paper is to develop a framework for pricing of a multiple-event coupon paying CAT bond. The model is the first of its kind to address theoretical issues of pricing of an insurance-linked security that derives its value based on two underlying processes: catastrophic...

This study evaluates the implications of three of the extant IPO models relating underpricing and aftermarket liquidity. Using hand collected data from a sample of bookbuilt Hong Kong IPOs, this study tests the predictions of the aforementioned models by evaluating not only the direction and...

Using a VECM model, findings indicate significant short-run causality running from speculators' trading activity to futures prices. However, the magnitude of this effect was small. Long-run causality, on the other hand, runs from prices to speculators' activity and not vice versa, whenever spot...

Using CFTC's COT data, both GARCH and PARCH volatility based models found the lagged volatility and news about volatility from previous month to be significant in explaining large hedgers' and speculators' volatility. The greater reliance on the ARCH term for speculators' suggested their greater...

The purpose of this paper is to explore differences among countries in perceptions of the fairness of trading in financial markets and offer these perceptions as measures of social capital in financial markets. What are the differences in the perceptions of insider trading among different...

Ethics, fairness, trust and freedom from corruption are all parts of social capital and social capital matters in financial markets because investors consider not only their tradeoff between risk and return based on available information but also their trust in the accuracy of information and...

Despite the longstanding insider trading debate, there is little empirical research on insider trading laws, especially in a comparative context. The article attempts to fill that gap. I find that countries with more prohibitive insider trading laws have more diffuse equity ownership, more...