Remarks at the Institute of Regulation & Risk North Asia March 30, 2010, Hong Kong, China

We examine bilateral US- and Thailand-based equity portfolios around the 1997 baht crisis using an extreme value framework for safety-first (SF) portfolio optimisation, with comparisons to the Markowitz mean-variance minimum variance portfolio (MVP). The optimal SF portfolio is invested 100 per...

The problematic point of the noise trader model is the difficulty of measuring noise and testing theories based on noise trading. We investigate the relationship between the trading volume and the stock returns, using the Granger-causality type of methodology, as a means of testing the noise...

Financial wealth over the last decades has become the clearest sign of economic advancement and well-being. The collapse of financial markets in the last 2 years has been a cataclysmic event. The loss of financial wealth has been enormous, and the consequences for the economies of the world are...

This article focuses on the financial globalization of the emerging market economies (EMEs) and the important differences across countries and country groups in this regard, particularly in the relative importance of different types of capital inflows and the pace of financial globalization....

With the trigger of the Financial Crisis of the 2008, many companies in Romania and across the world had realized that the economic environment became very unstable. In order the compete in a turbulent external environment the managers of companies must know first the stability of the internal...

Within the last two decades, the world has seen many financial crises which have spread around the globe and affected both developing and developed countries. Although each had its own particularities, there are some similar patters that stand out, most being related to an over evaluated asset...

This paper employs numerical simulations of the Park and Sabourian (2011) herd model to derive new theory-based predictions for how information risk and market stress influence aggregate herding intensity. We test these predictions empirically using a comprehensive data set of highfrequency and...

In this paper, we investigate the relationship between liquidity and stock returns in the Vietnam stock market during the global financial crisis. Vietnam is one of a new group of frontier emerging markets referred to as CIVETS (Colombia, Indonesia, Vietnam, Egypt, Turkey, and South Africa). We...

I analyze how U.S. financial shocks and the U.S. business cycle, as well as the business cycles of local economies, can help explain changes in international lending by U.S. banks. I find that during the financial crisis of 2007-8, U.S. financial shocks were transmitted to emerging market...