Purpose - This paper investigates the causal nexus between the exchange rate and foreign equity investors' behavior in Shanghai and Hong Kong by using daily time series data after the Shanghai-Hong Kong Stock Connect scheme was launched.Design/Methodology/Approach - The empirical data period is...

This paper develops an international asset-pricing model with defaultable firms and governments that demonstrates how sovereign credit risk in Europe affects US equity market prices. The risk of a sovereign debt crisis is a threat to economic growth that reduces the value of international...

We use stock market data to test cross-sectional implications of theories of sovereign default and provide a market-based estimate of sovereign default costs. We find that the stock prices of firms vulnerable to financial intermediation disruption, or firms more exposed to the government, are...

This paper analyses the Shanghai Stock Exchange (SSE) co-movement behaviour from January 2001 till December 2011. The study used 699 listed companies from the SSE and compares its co-movement behaviour during and after the global financial crisis. It is found that stocks in the SSE were highly...

The 2009 surge in bank lending in China was accompanied by allegations of substantial funds being funneled into the nation's stock and property markets. This paper uses 2004-2010 People's Bank survey data to examine the possible linkages between banking activity and the stock market as well as...

Using data for four South Asian countries over a twelve-year period, we examine how the stock markets in these recently liberalised economies assess diversification attempts of listed public banks. We find that the income diversification has a significant positive association with market to book...

Previous studies have investigated the argument that corporate governance structures in emerging markets affected firms' stock price performance during the East Asian economic crisis. In this chapter, we analyze how corporate governance structures in an industrial country (Japan) affect firms'...

This paper is the first to draw a global picture of worldwide microfinance equity by taking full advantage of daily quoted prices. We revisit previous findings showing that investors should consider microfinance as a self-standing sector. Our results are threefold. First, microfinance has become...

This paper defines financial market spillovers as the comovement between two countries' financial markets and analyzes financial market spillovers over the period 2001-12 through four channels: bilateral portfolio investment, bilateral trade, home bias, and country concentration. The paper finds...

The global financial crisis (2007-2009) saw sharp declines in stock markets around the world, affecting both advanced and emerging markets. In this paper we test for the existence of equity market contagion originating from the US to advanced and emerging markets during the crisis period. Using...