In the past few years there has been a large increase in portfolio capital flows into emerging markets, mostly fueled by mutual funds and other institutional investors. Based on a simple variance ratio test, this paper finds that emerging stock markets as a group experienced a sharp increase in...

In this paper, we test the hypothesis of stock market integration in six Asian stock markets. The private capital flows has been linked to high stock market performance in these countries. We argue that if there has been co-movement of net equity flows across markets, then, there will also be...

This paper provides a broad empirical examination of the major currencies' roles in international capital markets, with a special emphasis on the first year of the euro. A contribution is made as to how to measure these roles, both from the viewpoint of international financing as well as from...

Long before the introduction of the euro there was an active debate among researchers, policy-makers and financial market participants over how the new European money would change the relative roles of currencies in the international monetary and financial system. A widely held view was that the...

Emerging market corporations have significantly increased their borrowing in international markets after the global financial crisis. We show that this expansion was led by large-denomination bond issuances (bonds with face values exceeding US$300 million, and often exceeding US$500 million)....

This paper investigates mean reversion properties of real effective exchange rates (REERs) using a semi-parametric quantile autoregression approach. This method accounts for non-normality and captures asymmetric and dynamic adjustments towards the REER's long run equilibrium, conditional on the...

We study the effect of collateralized lending and securitization on international capital flows and welfare in a two-country general equilibrium model with idiosyncratic investment risk. The low-margin country (Home) endogenously supplies more safe assets and enables more risk sharing. Upon...

Theories of home bias and of portfolio choice under uncertainty both predict that the home bias should increase during a financial crisis. In contrast to these theories, using a sample of 45 countries, I document that the equity home bias fell during the financial panic of 2008. Disentangling...

Global open-ended mutual funds are an increasingly important source of capital for emerging market economies (EMEs). Mutual funds, however, have a greater propensity than other overseas investors to change their holdings of EME bonds following changes in macroeconomic conditions. This paper...

We investigate whether foreign purchases of long-term U.S. Treasury securities significantly affect their expected excess-returns. We run predictive regressions of realized excess returns on measures of net purchases of treasuries by both foreign official and private agents. We find that...