The objective of this article is to outline what we, as researchers, know and, more importantly, what we do not yet know about the consequences of terrorism for financial markets. I argue that a number of the efforts used to assess quantitatively the risk of terrorist attacks are limited in...

We seek for verification and explanation of arbitrage between securities of dual-listed Brazilian-based companies which are simultaneously traded on the Brazilian and the US stock markets. Following the extant literature, our underlying hypothesis is that arbitrage events can be explained by...

This paper studies the impact of explicit deposit insurance on market discipline in a framework that resembles a natural experiment. We improve upon previous studies by exploiting a unique combination of country-specific circumstances, design features, and data availability that allows us to...

Following the methodology used by Meshke (2002), we investigate the information content of the media event of ringing the trading bell at the NYSE. Using a sample of 152 firms which had been invited to ring the opening and the closing bell at the NYSE in the year 2004, we fit a standard market...

We test the hypothesis that a market maker in New York faces a more competitive market for cross-listed European firms trading simultaneously in their home market during overlapping trading hours as compared to U.S. firms which trade mainly in New York. A theoretical model of the bid-ask spread...

Previous studies using low frequency data have found that macroeconomic shocks contribute little to international stock market covariation. However, these papers have not accounted for the presence of asymmetric information where sophisticated investors generate private information about the...

There is ample empirical evidence for developed economies that asset prices contain information about future economic developments. But is this also the case in transition economies? Using a panel of monthly data for the Czech Republic, Hungary, Poland, Russia, Slovakia, and Slovenia for the...

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...