This study analyzes the impact of regional cross-listing of stocks on the depth of the stock markets in sub-Saharan Africa (SSA). It analyzes data from 1990 to 2007 for a panel of 13 stock markets in SSA countries, only some of which have regional cross-listings. Using event study methodology,...

August to September 1998 has been characterized as one of the worst episodes of global financial distress in decades. This paper investigates the transmission of the Russian and the LTCM crises through global equity markets using a panel of 14 developing and industrial countries. The results...

Using symmetric data sets of 92 weekly return observations before and after the introduction of the euro, the paper analyzes the impact of the new currency on the return structure of equity markets in the European Monetary Union. Variance decompositions, cluster analyses, and principle component...

Statistical measures of the volatility of exchange rates, interest rates, and stock prices are estimated for a number of countries. Periods of high volatility are identified and compared with periods of financial difficulty. The results indicate that GARCH models of volatility could be...

The paper analyses the earnings management practices of Malaysian firms over the post-crisis period. We propose three dimensions of earnings management, namely earnings aggressiveness, loss avoidance and earnings smoothing, to empirically test a sample of public-listed firms on Bursa Malaysia....

This paper examines the empirical validity of the conditional capital asset pricing model (CAPM) with three betas. Specifically, having modelled the market volatility return like a GARCH (1,1) process and having defined three regimes of volatility (low, neutral and high), we find that most of...

This paper investigates the increasing exposure of European households to risky financial assets and the consequent impact on the economy. I analyze household data for Italy and the United Kingdom, countries that differ dramatically in their financial structure and capital markets. I estimate an...

The paper provides a systematic analysis of bilateral, source and host factors driving portfolio equity investment across countries, using newly-released data on international equity holdings at the end of 2001. It develops a model that links bilateral equity holdings to bilateral trade in goods...

Asian equity markets have grown significantly in size since the early 1990s, driven by strong international investor inflows, growing regional financial integration, capital account liberalization, and structural improvements to markets. The development of equity markets provides a more...

There is ample empirical evidence for developed economies that asset prices contain information about future economic developments. But is this also the case in transition economies? Using a panel of monthly data for the Czech Republic, Hungary, Poland, Russia, Slovakia, and Slovenia for the...