Article history: Received 31 December 2013 Received in revised form 17 April 2015 Accepted 20 April 2015 Available online 25 April 2015 This paper investigates how cross-country variations in institutional variables affect the relationship between rating changes and firms' capital structure adjustment. Our results demonstrate first that the asymmetric effect exists, that is, firms adjust their ...

We study the dynamics of gains from sectoral versus geographic diversification and relate economic sources to changes in those gains. We estimate conditional correlations between returns on the U.S. equity market and 16 equity markets and 10 local industries from other OECD countries and find that the average correlation across countries has increased in relation to that across industries. We a...

This paper explores seven international stock markets (DJIA, Euro STOXX 600, Russell 2000, Nikkei, NASDAQ, FTSE, Global Dow) in the quest for jumps and regime-switches. The methodological framework borrows from the Markov-switching approach and the stochastic modelling literature based on Lévy processes. The econometric procedure is detailed in a twostep fashion. The dataset covers the period f...

Although the insurance industry is less affected than the banking industry, the credit crisis has revealed room for improvement in its risk management and supervision. Based on this observation, we formulate ten consequences for risk management and insurance regulation. Many of these reflect current discussions in academia and practice, but we also add a number of new ideas that have not yet be...

This paper provides a set of empirical tests of the cross-sectional variation of stock volatility and investablility, where investability is defined as the degree to which a stock is accessible to foreigners. Unlike previous studies, which focus on market volatility and market return, we study the relationship between individual stock return volatility and its investablility. Our findings have ...

Article history: Received 14 February 2014 Accepted 2 November 2014 Available online 8 November 2014 We apply a jump GARCH model to daily returns of the ten largest international securitized real estatemarkets and investigate the sources of large price changes. We document, for the first time, evidence for jump dynamics across major international securitized real estate markets. Large price jum...

The effects of the introduction of the euro were expected not only on the real convergence of economies but also on stock markets. This paper compares the dynamics and synchronization of stock markets regimes in European markets before and after the launch of the euro. The results show that countries of the euro zone have different dynamics concerning the switching between bull and bear markets...

In this paper we employ variance ratio tests of the random walk hypothesis to investigate the interdependence of global equity markets in terms of the predictability of equity index returns and how the clustering pattern has evolved in recent years. The study is based on almost 15 years of daily returns of free float-adjusted market capitalization equity indices from 46 countries. First, we exa...

The microstructure of the Saudi Stock Market (SSM) under the new computerized trading system, ESIS, is described, and order and other generated data sets are used to examine the patterns in the order book, the dynamics of order ̄ow, and the probability of executing limit orders. Although the SSM has a distinct structure, its intraday patterns are surprisingly similar to those found in other mar...

We investigate whether term structure anomalies in U.S. data may be due to a generalized peso problem, in which a high-interest-rate regime occurred less frequently in the U.S. sample than was rationally anticipated. We formalize this idea by estimating a regime-switching model of short-term interest rates with data from seven countries. Under the small-sample distributions generated by the mod...