The issue of corporate exposure to exchange rate risk of is well researched in the international finance literature, but less approached in the case of emerging markets.

Using generalized Hurst exponent, we investigate the presence of long-range dependence in the stock markets and exchange rates (vis-a-vis US dollar) of all in ation targeting countries having oating currencies. Many studies with a data set from pre-2008 crisis and that developed markets are less...

The purpose of this research is to explore the herding phenomenon during the Asian crisis of 1997 using intraday data and a herding intensity measure that is free of the bias inherent in other measures. The findings suggest that the crisis did not affect herding intensity to the same extent...

The paper examines the impact of several stock market price indices and macroeconomic variables on the Thai stock market, using a GARCH-M model and monthly data (1988M1-2004M12). We find that (a) changes in returns in Singapore, Malaysia and Indonesia before the 1997 crisis, and changes in...

In this paper we study relations between various segments of the Russian financial market (GKO market, currency market, interbank loans market and stock market). We pay special attention to the GKO market, which is remarkable for its volume and significance. We consider relations of the GKO...

We compare changes of mean and variance of returns as two regulations have changed between 1992 and 2007 in the Chinese exchanges of Shanghai and Shenzhen. Specifically, we compare the implementation of a ±10% daily return limit vs. the absence of any limit, and the effect of allowing local and...

It has been argued that the lack of transparency on the London Stock Exchange, caused by the practice of delaying publication of large trades, has adverse consequences for the market in traded share options on LIFFE. This hypothesis is investigated in two ways. First, the structure of equity...

This paper studies the time-variant interactions among US stocks, emerging market bonds and US low-grade corporate bonds. All of these assets are characterized by a similar average return, but returns are far from being perfectly correlated. Therefore, investing in these different assets...

(VF) Dans cet article, nous développons une nouvelle mesure du sentiment des investisseurs en Europe à partir d’une analyse de contenus d’articles issus du Financial Times. Nous trouvons que notre mesure du sentiment influence la performance boursière des entreprises difficiles à...

Focusing on five major emerging markets, I investigate the interactions between credit default swap premiums, foreign exchange rates, local currency government bond spreads, and national stock market returns over the period 4/2/2007 to 8/27/2009. Empirical analysis indicates that bond markets,...