I present a model that provides a theoretical solution to the Lucas Puzzle using Financial Efficiency, which is a time-varying component of TFP. The model predicts that a financially underdeveloped economy is to benefit from financial integration through FDI capital inflow only if it experiences...

In this paper we examine integration between emerging and U.S. debt and equity markets. We first investigate price changes around significant quot;events,quot; in this case changes in short-term U.S. interest rates brought about by actions of the Federal Reserve. Second, we estimate the...

Using Wright's (2000) nonparametric variance-ratio (VR) test, we revisit the empirical validity of the random walk hypothesis in eight emerging markets in the Middle East and North Africa (MENA). After correcting for measurement biases caused by thin and infrequent trading prevalent in nascent...

Using Wright's (2000) new non-parametric variance-ratio (VR) test, we revisit the empirical validity of the random walk hypothesis in eight emerging markets in the Middle East and North Africa (MENA): Bahrain, Egypt, Jordan, Kuwait, Morocco, Oman, Saudi Arabia, and Tunisia. We show that: (i)...

This paper explores the resilience of French listed companies to the COVID-19 shock. We examine the effect of numerous firm characteristics related to financial flexibility, ownership structure, corporate governance, and corporate social responsibility on the stock returns during the COVID-19...

We develop a multiple asset rational expectations model of asset prices to study the determinants of financial market contagion, and to provide an explanation for the pattern of contagion during the Asian financial crisis. Our findings show that the pattern and severity of financial contagion...

During the last two decades, many emerging markets have embarked on a course of economic reform, including stock market liberalization. This paper addresses the question of whether these markets have become more informationally efficient in the years following liberalization. We find that...

Five Asian stock markets (Hong Kong, Japan, South Korea, Taiwan, and Thailand) and the U.S. stock market are evaluated for evidence of cross-autocorrelation. We find evidence of Lo and MacKinlay's (1990a) cross-autocorrelation in each of the five Asian markets. Specifically, within each country,...

From January 2002 to August 2007, foreign institutions held almost 70% of the free-float value of the Indonesian equity market, or 41% of the total market capitalization. Over the same period, liquidity on the Jakarta Stock Exchange improved substantially with spread more than halved and depth...

In this article, we study conditional heteroskedasticity in a market index on the Bombay Stock Exchange, from April 1979 to March 1995. We find strong evidence of heteroskedasticity in daily, weekly and monthly returns in the form of GARCH(1,1) models. We find there is seasonality in the...