Traditionally Linear models dominate the finance literature. The models assume that time series of stock returns (daily, monthly etc.) follow a liner process and can be well approximated by the use of linear models. But this assumption has its own limitations as recent researches indicate that...

We examine the long-term returns of a sample of foreign equities traded on the New York Stock Exchange as American Depository Receipts (ADRs) issued between January 1, 1987 and September 30, 2000. Distinctions are made between those ADRs issued by companies headquartered in emerging and...

In this paper, we test the assertion that options act as a substitute for short sales by allowing investors an alternative way to act on bearish sentiment. An empirical test of this assertion requires a researcher to observe both types of firm - those that weren't short sale constrained, as well...

In a return commonality framework, the authors estimate portfolio betas associated with changes in returns of 15 Chinese ADRs and their underlying H-shares, where the portfolios denote hosts (NYSE and SHSE) and home (Hang Seng) markets, and their returns are common determinants of ADRs and...

We investigate the impact of two types of financial liberalizations on short- and long-horizon capital flows to emerging markets in a framework that controls for push and pull factors. The first type of liberalization, a reduction in capital controls, is countrywide but uncertain, because its...

Using a sample of GDRs cross-listed in London, we revisit the debate regarding the validity of the market segmentation and the bonding hypotheses for a cross-listing phenomenon. Unlike prior studies that relied on emerging/developed market partitioning of countries, we use equity trading costs...

In this paper, I examine the valuation effects of trading in the U.S. as non-exchange issues i.e. Level 1 and 144 firms for non-U.S. firms. The study is motivated by two facts; first, while the number of new Level 2/3 issues has fallen 2001, Level 1 issues have remained an attractive listing...

We investigate the impact of two types of financial liberalizations on short- and long-horizon capital flows to emerging markets in a framework that controls for push and pull factors. The first type of liberalization, a reduction in capital controls, is countrywide but uncertain, because its...