This paper analyzes the efficiency of the Brazilian banking sector over the post-privatization period of 2000-2007. We employ a Bayesian stochastic frontier approach, which provides exact efficiency estimates and confidence intervals and thus, allows an accurate comparison across institutions and bank groups. The results suggest that large banks are the most cost and profit efficient, supportin...

We explore two main questions. First, can two markets for a company’s shares coexist and, if so, what determines the distribution of trading volume across them? For firms cross-listed in the U.S. we find that in most cases U.S. trading is a significant fraction of total volume, and tends to be larger for companies based in countries that are geographically close, with low financial development ...

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...