This paper offers a detailed investigation of the foreign exchange risk premium using a structural relationship in the inflation-index bond market, firstly introduced by Clarida (2012). Unlike the conventional VAR approach, this approach estimates risk premium through the non-arbitrage...

This study examines the effect of foreign investment on firms’ information quality. We use a unique setting—the Shanghai-Hong Kong Stock Connect Program in China—that provides an exogenous shock to foreign investment and allows global investors to trade on stocks that were previously...

The initial purpose of the study is to search whether the market exhibits herd behavior or not by examining the crypto asset market in the context of behavioral finance. And the second purpose of the study is to measure whether the financial information stimulates the herd behavior or not....

The article examines the response of equity markets in Brazil, Chile and Mexico to stock prices in the US, Spain and four major European countries during three sub-periods surrounding the neoliberal reforms of the 1990s: 1988 to 1994, 1995 to 1998, and 1999 to 2004, using VAR modeling. Our...

Public sector corruption affects economic and financial outcomes, such as GDP growth, foreign direct investment, and government funding costs. Less is known about the spillovers from perceptions of public sector corruption on the private sector corporate bond market. In this paper, we assess the...

We study the effect of the home bias on international asset pricing by extending the core-satellite approach of active asset allocation to an equilibrium analysis. In this framework, investors combine a common core portfolio with an active investment in their home asset. In equilibrium, the core...

This paper introduces the need for blockchain technology integration for Islamic financial institutions. The article presents three main applications of blockchain technology. It explains how such technology can be used in the banking and financial sectors by providing examples for each...

This paper studies the interaction between foreign exchange reserves and the currency composition of sovereign debt in emerging countries. Focusing on inflation targeting countries, we find that holdings of foreign reserves are associated with higher local currency sovereign debt, an exchange...

When available financial securities allow investors to optimally diversify risk across countries, standard theory implies that exchange rates should reflect this behavior. However, exchange rates observed in the data deviate from these predictions. In this paper, we develop a framework to value...

This paper shows that the price impact of foreign official (FO) purchases or sales of U.S. Treasuries (USTs) is about twice as large as previously reported in the literature once critical sources of endogeneity are addressed. We also show that prevailing estimates of this price impact suffer...