Understanding how markets are connected and shocks are transmitted is an important issue for policymakers and market participants. In this paper, we examine the connectedness of Asian equity markets within the region and vis-à-vis other major global markets. Using time-varying connectedness...

This paper studies how the presence of sponsor and external management affect leverage and debt maturity decisions in three major Asian-Pacific REIT markets: Australia, Japan and Singapore. Our empirical results indicate that sponsored REITs opt for higher levels of leverage and loans with...

This paper analyzes the evolution of the private equity and venture capital industries in Brazil, using the U.S. market as an ideal type. The main challenges faced by this sector in Brazil are the volatility of the economy, a lack of seed capital, and the illiquidity of capital markets, which...

Over the past two decades, Mexico has hedged oil price risk through the purchase of putoptions. We examine the resulting welfare gains using a standard sovereign default modelcalibrated to Mexican data. We show that hedging increases welfare by reducing incomevolatility and reducing risk spreads...

Contagion has mostly been interpreted and tested as a break from a stable linear correlation of financial markets caused by an extraordinary shock. This paper argues that quantile regression can provide a tool to investigate alterations in other features of financial returns' distribution caused...

In this paper we assess the effect of a high frequency investor sentiment measure, captured by aggregating search volume indices (SVI) for a set of economically negative and relevant search terms and its effect on returns of cross-listed securities indices. Similar to US stock returns, the ADR's...

Most long-run empirical research on the historical risk premium has focused on the experience of the United States. However, the United States has been a remarkably successful economy, making it unlikely that the US risk premium is representative. Until recently, evidence on the risk premium in...

Whereas conventional wisdom argues that markets shut down during crises, with sellers struggling to find buyers, we find that markets continue to operate during financial turmoil even in narrow and volatile emerging economies. Specifically, volume traded increases when crises erupt, decreasing...

This paper analyzes whether the convergence of European economies and the introduction of the euro has produced some effects on European Stock Market volatilities. Using multivariate switching regime models we test this issue for stable European economies, such as Germany and France, and...