Emerging markets have long posed a challenge for finance. Standard models are often ill suited to deal with the specific circumstances arising in these markets. However, the interest in emerging markets has provided impetus for the adaptation of current models to new circumstances in these...

At a time of historic challenges to the viability of the Eurozone, we assess the contribution of the EU and the Euro to equity market integration in Europe. We use a simple and essentially model free measure of bilateral market segmentation: two countries are segmented if there is a wide...

We present critical examination of the role of the speculator in transitional market-based economies. Speculators provide additional liquidity to the market and, in general, enhance the operational efficiency of the market. This serves to reduce the cost of capital which has broad positive...

Capital markets play an important role in the economic development of emerging capital markets. Well functioning markets insure that both corporations and investors get or receive fair prices for their securities. This ensures that valuable projects will be financed and negative value projects...

This paper successively introduces variable velocity, durability and habit persistence in a standard two-country general equilibrium model and explores their effects on the variability of exchange rate changes, forward premiums and the foreign exchange risk premium. A new feature of the model is...

We examine the ability of existing and new factor models to explain the comovements of G10-currency changes, measured using “currency baskets.” A clustering technique reveals a clear two-block structure in currency comovements with the first block containing mostly the dollar currencies, and...

This online appendix provides additional tables and data information mostly in the order it is referred to in the paper.The full-text paper can be found at: "https://ssrn.com/abstract=3022623" https://ssrn.com/abstract=3022623

Using the 2007-09 financial crisis as a laboratory, we analyze the transmission of crises to country-industry equity portfolios in 55 countries. We use a factor model to predict crisis returns, defining unexplained increases in factor loadings and residual correlations as indicative of...

Using the 2007-2009 financial crisis as a laboratory, we analyze the transmission of crises to country-industry equity portfolios in 55 countries. We use an asset pricing framework with global and local factors to predict crisis returns, defining unexplained increases in factor loadings as...

We introduce a "bad environment-good environment" technology for consumption growth in a consumption-based asset pricing model. Using the preference structure from Campbell and Cochrane (1999), the model generates realistic time-varying volatility, skewness and kurtosis in fundamentals while...