In this paper, we develop and test a theoretical model of multi-market trading to explain the differences in the foreign share of trading volume of internationally cross-listed stocks. The model derives an equilibrium which predicts that, under fairly general conditions, the distribution of...

This paper analyses the dynamic interrelationship between sovereign bond spreads in ten emerging markets. It investigates the nature of the volatility transmission in secondary bond markets through conditional covariance estimates obtained by orthogonal methods. This approach, which combines PCA...

We use partisan and opportunistic political business cycle quot;PBCquot; considerations to develop a framework for explaining election-period decisions by credit rating agencies quot;agenciesquot; publishing developing country sovereign risk-ratings quot;ratingsquot;. We test six hypotheses...

Using the conditional Capital Asset Pricing Model (CAPM), this paper tests for the existence and pattern of contagion and capital market integration in global equity markets. Contagion is defined as significant excess conditional correlation among different countries' asset returns above what...

As domestic sources of outside finance are limited in many countries around the world, it is important to understand factors that influence whether foreign investors provide capital to a country's firms. We study 4,409 firms from 29 countries to assess whether and why concerns about corporate...

This study further explores a structural break in the relation between stock returns of firms with foreign currency positions and lagged exchange rate changes (exchange rate exposure effect) documented in Bartov and Bodnar (l994). We examine whether changes in the financial accounting reporting...

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...