This paper reconsiders the role of foreign investors in developed country equity markets. It presents a quantitative model of trading that is built around two new assumptions about investor sophistication: (i) both the foreign and domestic populations contain investors with superior information...

This paper explores the impact of the large stock prices increases (positive shocks) and decreases (negative shocks) from the New York Stock Exchange on the returns and volatility of some European developed capital markets. We found that more than a half of shocks from these European stock...

Since the adhesion to European Union, the influence of the international financial markets on the Romanian capital market intensified. In this paper we investigate the impact of the shocks from New York Stock Exchange on the Bucharest Stock Exchange evolution. We found that a significant...

We analyze the impact of the pro-Russian conflict on stock returns in Russia and the Ukraine during the period November 21, 2013 to September 29, 2014. We utilize a newly created indicator for the degree of (de-)escalation based on an Internet search for conflict-related news. We find that...

This paper examines whether analysts resident in a country make more precise earnings forecasts for firms in that country than analysts who are not resident in that country. Using a sample of 32 countries, we find that there is an economically and statistically significant analyst local...

The simple answer to both questions in the title of this paper is: No. We concentrate on the three main risk elements that contributed to the banking system's difficulties during the crisis: increasing dollarization of the balance sheet, expanding exposure to the government, and, eventually, the...

The short-run interdependence of prices and price volatility across three major international stock markets is studied. Daily opening and closing prices of major stock indexes for the Tokyo, London, and New York stock markets are examined. The analysis utilizes the autoregressive conditionally...

There have been several episodes of financial market contagion in the 1990s. Is contagion driven by herd behavior? Does it reflect fundamental economic linkages between countries? Or are episodes of contagion driven by investor learning and risk reassessment about a select group of countries? We...

This paper describes a corporate sector vulnerability indicator, the expected number of defaults (END), based on the joint occurrence of defaults among a number of firms and/or institutions. The END indicator is general enough to assess systemic risk in the corporate and financial sectors, as...