Empirical evidence shows that fundamental models have produced disappointing results over the past 20 years while carry trade strategies have performed superbly. But the real picture is much more complex. In fact, the track records of both strategies have varied considerably. This article shows...

Financial innovation, which was originally introduced for a positive aim, over time has actually had relevant negative effects on the economy. This occurred because it encouraged intermediaries to change their way of operating, allowing them to modify their solvency without changing radically...

This paper discusses the role of the credit rating agencies during the recent financial crises. In particular, it examines whether the agencies can add to the dynamics of emerging market crises. Academics and investors often argue that sovereign credit ratings are responsible for pronounced...

In this paper we provide an investigation on the potential benefits that may exist for portfolio managers, private and institutional investors from domestic portfolio diversification. We employ daily data for the period 1996-2002 from the Cyprus Stock Exchange, recently established emerging...

This paper deals with the proposed use of sovereign credit ratings in the “Basel Accord on Capital Adequacy” (Basel II) and considers its potential effect on emerging markets financing. It investigates in a first attempt the consequences of the planned revisions on the two central aspects of...

Common stochastic trends among major international stock price indices has been a very intensively analyzed issue mainly as a result of the 1987 stock market crash and the need for policy coordination in financial markets. This paper investigates the existence of common stochastic trends among...

Is liberalization in developing countries good for growth even if it leads to crises? The answer is a clear yes. But then, how can we explain the less-than-stellar growth performance of Mexico, a prominent liberalizer and member of NAFTA? In this paper we address these questions by analyzing the...

This paper presents a method of selecting several currency cocktails (synthetic currency baskets) to be used in commercial and financial transactions with no EMU countries assuming a minimum exchange rate risk. The method of procedure in selecting synthetic currency baskets is based on work from...

This study analices the neuronal networks models’ capacity to predict the sign of the weekly variations of CAC40, Hang Seng, KLSE, MMX, STI, Dow Jones Industry, S&p500, GDAX, Bovespa, Nikkei225 and FTSE100.The relative performance of the models was measured by the number of correct predictions...

In this paper we look for evidence of structural changes in the Chilean stock market between the mid eighties and the nineties. We find two important structural changes in the Chilean stock market. The first, at the end of 1990, indicates a significant re