Consistent with predictions from the psychology literature, we find that stock prices co-move more (less) in culturally tight (loose) and collectivistic (individualistic) countries. Culture influences stock price synchronicity by affecting correlations in investors' trading activities and a...

Motivated by the rising importance of international sourcing by U.S. firms in recent decades, we study the influence of international sourcing on capital structure. We find that international sourcing has a significant negative influence on financial leverage. The negative influence is stronger...

China's stock markets have grown rapidly since their inception and have become an increasingly important emerging market for international investors. However, there are few systematic studies on how asset prices are formed in Chinese domestic equity markets; popular financial media even depict...

We investigate price discovery for internationally traded stocks. For a sample of Canadian stocks cross-listed on the Toronto Stock Exchange (TSE) and the NYSE, we find that both markets contribute to price discovery. The U.S. share of price discovery ranges from 0.4 percent to 98.1 percent, and...

This paper provides an analysis of the design and pricing of closed-end country funds (CECFs) under segmented capital markets, where an investment company acquires a set of eligible securities from the home country to form a CECF and issues shares to the residents of the host country. The key...

In this paper, we show (i) that the risk-return characteristics of our sample of 17 developed stock markets of the world have converged significantly toward each other during our study period 1974-2004, and (ii) that this international convergence in risk-return characteristics is driven mainly...

To the extent that investors diversify internationally, large-cap stocks receive the dominant share of fund allocation. Increasingly, however, returns to large-cap stocks or stock market indices tend to co-move, mitigating the benefits from international diversification. In contrast, stocks of...

We examine the contribution of cross-listings to price discovery for a sample of Canadian stocks listed on both the Toronto Stock Exchange (TSE) and a U.S. exchange. We find that prices on the TSE and U.S. exchange are cointegrated and mutually adjusting. The U.S. share of price discovery ranges...

Using five-minute index data from three major countries, i.e. the U.S., the U.K., and Canada, we investigate the pattern of cross-border transmission of stock price innovations during the overlapping trading hours, i.e. 9:30 a.m. to 11:30 a.m. in EST. A Sim's test indicates that the U.S. stock...