The paper takes an asset pricing perspective to investigate the equity market comovement and contagion at the sector level during the period 1990-2004 across the regions of Europe, Asia and Latin America. It examines whether unexpected shocks from a particular market, or group of markets, are...

The paper develops an international capital asset pricing model, which includes foreign currency risk, and examines the impact of capital market liberalisation on the pricing of risks. It applies the model to data from Pacific Basin financial markets and finds substantial evidence that not only...

This paper examines stock market linkages of a group of Pacific-Basin countries with U.S. and Japan by estimating the multivariate cointegration model in both the autoregressive and moving average forms over the period 1980-1998. Recursive estimation helps identify the evolution of the linkages....

We study the long-run and short-run dynamics between stock prices and exchange rates and the channels through which exogenous shocks impact on these markets. We apply the analysis to a group of Pacific Basin countries and examine whether foreign exchange controls and the Asian financial crisis...

This paper examines the demand for money under conditions of very high inflation in Argentina, Bolivia, Brazil, Chile and Peru during the 1970s and 1980s. We test whether the monetary and inflationary experiences of these countries can be adequately characterized by the Cagan (1956) model, using...

This paper investigates the extent to which financial markets in the Pacific Basin Region have become more integrated, by analyzing the comovements of real interest rates. The paper uses cointegration and error correction models and draws inferences on the degree of capital market integration by...

A new governance index is constructed, which forms the basis of a new governance valuation factor, defined as the product of the firm governance index and the country institutional quality. Using monthly returns of 4,714 blue chip firms from 35 OECD equity markets for 17 years, our tests of...

The paper investigates the impact of global liquidity on house prices around the world using a novel proxy measured by the funding availability to global banks in the main financial centers. We find supporting evidence that global conditions from the financial centers are transmitted to local...

We investigate the impact of local and global macroeconomic factors on Eurobonds and local currency issued bonds in Sub-Saharan Africa, at different points on the yield curve. Using a unique proprietary data set collected from local authorities, central banks and independent international...

In this paper, we have examined the effects of price limits on the stock volatility in ASE. We put forward two hypotheses, the information hypothesis, which implies that price limits only slow down the process of adjustment and have no effect on stock volatility; and the overreaction hypothesis,...