We study the asset pricing implications arising from imperfect investor protection using a new governance measure. This is defined as the product of institutional quality in a country and the proportion of free float shares, which captures the impact of controlling block holders. Using monthly...

A new governance index is constructed, which forms the basis of a new governance valuation factor, defined as the product of the firm governance index and the country institutional quality. Using monthly returns of 4,714 blue chip firms from 35 OECD equity markets for 17 years, our tests of...

This paper considers the impact of full Islamic shari'ya compliance on developing stock exchanges in their effective provision of development capital. Evidence from a unique study focusing on the Sudan telecommunications company and its listings on the Khartoum as well as Arabian Gulf stock...

This paper investigates whether global imbalance in the size of the exchange rates order flow introduces asymmetric linkages. In particular, we study the high frequency volatility spillover between DEM/USD and GBP/USD using multivariate GARCH models over a two-year sample period of 1997 to 1998....

The paper examines the impact of economic integration on the relationship between the currency and equity markets for a group of Asian emerging economies using both linear and non-linear frameworks. We first derive the dynamic conditional correlations between the two markets and then examine the...