In this paper, we analyze hyper-return periods from 1976 to 1994 for 20 emerging stock markets. We define a hyper-return period as a calendar year during which a cumulative geometric return in excess of 70% is observed. According to this definition, the hyper-return periods represent 23% of the...

This paper finds that the growth and expansion of U.S. cross-listings by firms from emerging markets around the world facilitated an expansion of cross-border equity flows and overall development of their stock markets during the 1990s. However, these benefits have negative spillover effects;...

This study examines the effects of technological changes on selected stock market qualities such as liquidity, turnover and volatility. The data set includes daily data of 361 stocks from 10 emerging market exchanges, namely Colombia, Indonesia, Johannesburg, Korea, Malaysia, Mexico, Russia,...

We model stock price manipulation when the manipulator is in the role of an intermediary (broker). We find that in the absence of superior information, the broker can manipulate equilibrium outcomes without losing credibility with respect to accurate forecasting. This result extends to the case...

In this paper, we examine long-run determinants of cross-country variation in reserve volatility for 30 emerging market economies from 1973 to 2000. Reserve holdings and openness are found to be the most important explanatory variables of reserve volatility. The empirical results are robust for...

In this paper, we examine external, monetary, and structural determinants of crosscountry variation in reserve volatility for 30 emerging market economies from 1973 to 2000. We find that reserve holdings and openness to be the most important determinants of reserve volatility. These results are...