This paper examines the bene...ts for domestic ...rms in emerging markets of dual listing their shares in major U.S. exchanges. We ...nd evidence of decline in the cost of capital consistent with previous research. Additionally, we ...nd evidence that local traders learn the information relatively early, more than 6 months ahead. Additionally, this paper explores a new approach that intends to ...

In 1990’s emerging stock markets evolved from small, shallow, speculative markets into sizeable and liquid markets. If there is any relationship between market development and efficiency, it must show up in market efficiency tests over time. This conjecture is analyzed empirically, applying joint variance ratio (VR) test on weekly real Wednesday and Friday returns for 18 emerging stock markets ...

Using the introduction of Arrowhead low latency trading platform by Tokyo Stock Exchange as a natural experiment, I analyze the impact of high frequency trading on market quality of JREITs, in terms of liquidity, volatility, and systemic risks. I also analyze the impact of the 2008 financial crisis. The results document that while the crisis has significantly deteriorated the market quality, th...

Article history: This paper explores whether the relevance of a conditional multifacReceived 12 July 2012 tor model and autocorrelation in predicting the Russian aggregate Received in revised form 2 October 2012 stock return fluctuates over time. The source of return predictability is Accepted 16 December 2012 shown to vary considerably with information flow. In general, Available online 22 Dec...

This paper analyses data for the aggregate daily trading of all foreign investors in six Asian emerging equity markets and provides two new findings. First, foreigners’ flows into several markets show positive-feedback trading with respect to global, as well as domestic, equity returns. In particular, foreigners tend to be buyers in these markets on the day after rises in these markets or in US...

I use ADRs to examine if the equity markets of Argentina, Chile, and Mexico have become internationally integrated in the post-liberalization period and, if not, whether direct and/or indirect barriers are the cause of segmentation. In addition, I assess the evolution of the level of integration over time to determine if these markets are converging to or diverging from integration. I find that...

Previous literature documents that foreign firms cross-listed in the U.S. Stock Exchanges experience an improvement in the information environment. This paper disputes the idea that cross-listing per se increases the quality of the firm information environment by considering whether this enhancement depends on the effective adoption of stricter rules. As research setting, we use Section 302 of ...

This paper examines the transmission of equity returns and volatility among Asian equity markets and investigates the differences that exist in this regard between the developed and emerging markets. Three developed markets (Hong Kong, Japan and Singapore) and six emerging markets (Indonesia, Korea, Malaysia, the Philippines, Taiwan and Thailand) are included in the analysis. A multivariate gen...

Vector autoregressive models are increasingly being used in the analysis of relationships within and between financial markets. In such models, there are circumstances that require zero entries in the coefficient matrices. Such circumstances can be particularly relevant in the context of markets with special characteristics, such as emerging economies. This paper shows that a direct extension o...

In this paper we examine assets price deviation in a multi-market system with heterogeneous investors in each market. Coupled map lattices (CML) is introduced to the market maker framework. It results in market cluster sharing the same sign of deviation in the chaotic interval. Distribution plots are applied to understand the deviation persistence enhancement from the coupling e¤ect. Besides th...