A large sample of developed and emerging economies is utilized to investigate import pass-through. Panel models reveal that various economic aspects of the destination country can explain about one third of the total variation in pass-through elasticities and the remaining variation comes...

This chapter provides a summary of international cross-listing behavior. It discusses the internal and external factors, which prompt firms to cross-list in the first instance, where to cross-list, and for some, cross-delist. It also examines the behavior of firms once they crosslist. Also...

This study introduces a new asset pricing factor to capture both the effects of concentrated ownership and institutional development of in 61 international equity markets. The evidence suggests the new measure offers significant improvements over the size and book-to-market value three factor...

In this paper, we compare four months of Reuters EFX high frequency indicative data with D2000-1 inter-dealer transaction data for DEM/USD and GBP/USD. Contrary to previous studies, we find, using various information measures, that the matched tick-by-tick indicative data bear no qualitative...

The paper examines the impact of margins, adjusted for underlying price risk proxied by market volatility, on trading volume and at the same time incorporates the relationship between trading volume and price volatility documented in equities and futures markets. The study estimates bivariate...

This study investigates information asymmetry in the foreign exchange market and its implications for the existence of private information. It tests the hypothesis that top trading banks have more information on the macro-economy because they process greater order flow, which according to the...

This study investigates the existence of private information in the spot foreign exchange market by examining the impact of macroeconomic announcements on banks' currency pricing behavior. Using 5 years of indicative GBP/USD data and 11 U.S. macroeconomic announcements, we find that the price...

This paper investigates whether global imbalance in the size of the exchange rates order flow introduces asymmetric linkages. In particular, we study the high frequency volatility spillover between DEM/USD and GBP/USD using multivariate GARCH models over a two-year sample period of 1997 to 1998....

Using a comprehensive database covering 50 industry groups and 34 countries over the period 1992 to 2001 this paper examines the roles of the country and industry effects in international equity returns. It focuses on their evolution and on geographical differences. Although the country effects...

The paper compares the dynamics of global, country and industry effects in firm level returns between emerging and mature markets. Based on 1,893 firms in MSCI global index from 1990 to 2002 from 37 countries our results show that the global and industry effects are still dominated by the...