Vector Auto Regression (VAR) and Beysian Vector Auto-Regression (BVAR) models are used to trace the dynamic linkages across daily returns of stock market indexes in the Middle East and the United States, and to investigate how a shock in one market is transmitted to other markets. The Middle...

This paper addresses and resolves the issue of microstructure noise when measuring the relative importance of home and U.S. market in the price discovery process of Canadian interlisted stocks. In order to avoid large bounds for information shares, previous studies applying the Cholesky...

We examine the relation between exchange rate variability and stock return volatility for U.S. multinational firms and decompose this relation into components of systematic and diversifiable risk. Focusing on two five-year periods around the 1973 switch from fixed to floating exchange rates, we...

In this paper we examine the relative efficiency of the U.S. and Swedish Stock Exchanges. Numerous stocks are cross-listed on United States Exchanges and the Swedish Stock Exchange. We compare the prices of these firms at near-simultaneous trading times. We find evidence of a lack of efficiency...