Can the credit spreads of one and the same issuer differ in two different currencies? If so, can an investor exploit this situation? To answer these questions and to add to the existing literature, we extend the Jarrow/Turnbull model with a second currency and test these theoretical results with...

The ad hoc Black-Scholes (AHBS) model is one of the most widely used option valuation models among practitioners models. The main contribution of this study is methodological. We have two main results: (1) we make the empirical observation that typically the call and put sneers are discontinuous...

Country practices towards managing financial risks on a sovereign balance sheet continue to evolve. Each crisis period, and its legacy on sovereign balance sheets, reaffirms the need for strengthening financial risk management. This paper discusses some salient features embedded in in the...

On October 5, 2001, when credit spreads were widening, the Chicago Mercantile Exchange CME de-listed the full menu of emerging market Brady bond futures contracts. This is intriguing because at a time when interest in hedging and speculating in emerging market sovereign credit risk should be at...

This paper will examine seasonal effect anomalies in emerging stock markets using monthly returns in a number of emerging stock markets from Africa and Asia. In addition, the paper will try to report an explanation for this phenomenon in case that it occurs. This study utilizes methodologies...

This paper examines the efficiency in pricing securities as well as the relation between exchange rate and dynamics of equity returns in a number of emerging stock markets from Africa and Asia,. This study utilizes methodologies based on Single variance ratio test of Lo and Mackinlay (1988),...

We document a negative and asymmetric contemporaneous relation of European stock and implied volatility returns. The negative relation is significantly more pronounced at the highest quantile of the stock market return distribution (i.e. largest price decrease). The relation between stock...

Under the system of rigidly fixed rates that do not change — the ideal envisioned by some supporters of Bretton Woods — there is only limited room or need for a broad, resilient public futures market in currencies. The central banks plus the large commercial banks can readily provide the...

For internationally oriented firms or individuals that choose to eliminate the effects of fluctuating exchange rates, either currency forward contracts or currency futures can be used to fulfil this requirement. Both tools essentially lock in prospective exchange rates, thereby eliminating both...

This paper examines the efficiency in pricing securities as well as the relation between exchange rate and dynamics of equity returns in a number of emerging stock markets from Africa and Asia,. This study utilizes methodologies based on Single variance ratio test of Lo and Mackinlay (1988),...