We examine the response of equity mutual fund flows to sovereign rating changes in a wide sample of countries during the crisis prone years from 1996-2002. We find that Sovereign downgrades are strongly associated with outflows of capital from the downgraded country while improvements in a...

This study addresses the question of whether a more integrated stock market is associated with a higher degree of informational efficiency. We employ the adjusted pricing error from an equilibrium international asset pricing model as a proxy for market integration. The aggregate country-level...

This paper provides a survey on recent developments in the European banking industry. Traditional banking activities have contracted in relative terms, but banks remain the predomination players in the euro area financial system. Economic and monetary integration in the EU has strongly...

The purpose of this paper is to test the impact of oil price shocks on the stock markets of the two biggest and most liquid GCC equity markets, those of Kuwait and Saudi Arabia. It is expected that the two stock markets react similarly to oil price shocks. Actually the results show heterogeneity...

English Abstract: The long-horizon event study methodology is used to document the severe impact of the US subprime mortgage crisis on the Colombian economy. The estimated parameter of a constant mean return model is used to derive the “abnormal return” on the market portfolios of Colombia...

This paper investigates market-wide risk aversion in an international setting. Particularly, this empirical study evaluates risk aversion spillover dynamics as an uncertainty transmission mechanism for the period 2000-2015 to reveal if there has been a significant change in these dynamics when...

The Mexican crisis of 1994-95 had strong spillover effects on Argentina. The Argentine government successfully announced a series of policies to mitigate the contagion effects. This paper studies how capital markets reacted to each policy announcement and news. Capital markets welcomed...

In the 90s, Mexican firms issued more than ever American Depository Receipts (ADRs), i.e, certificates of Mexican stocks, traded in U.S. markets and managed by U.S. depositories. This paper is about testing the top Mexican firms' ADR for ability to: a) replicate the ups and downs of U.S....

The paper examines the return and volatility transmission between NFTs, Defi assets, and other assets (oil, gold, Bitcoin, and S&P 500) using the generalized vector autoregressive framework. The results report weak static return and volatility spillovers between NFTs and Defi assets and selected...

Neo-liberal globalization has accelerated the space of economic integration in Asia, particularly between the rising superpowers like China and India and other Asian nations. In this connection, the paper examines the degree of economic integration between Malaysia and the rapidly developing...