This paper uses a term structure of Mexican sovereign debt to create measures of country and currency risk premia. We use these measures to test hypothesis about investors' expectations regarding these risks and their relationship to volatility in securities markets. In the period 1993-94, the...

The magnitude and determinants of credit and currency risks are topics of considerable importance. This paper uses data on peso- and dollar-denominated debt issued by the Mexican government to identify currency and country risk premia. We show that shoc ks in equity and debt market returns...

This paper examines empirically the impact of ADR listing in the United States on the Mexican Stock Exchange. The Mexican Stock Exchange is of particular interest because it is an emerging market that faces competition from highly liquid U.S. ADR markets during exchange hours. In addition,...

Policy makers in emerging markets are increasingly concerned about the consequences for the domestic equity market when a company lists its stock abroad. We show that the effects of cross-listing depends on market transparency, i.e., the quality of inter-market information linkages. We...