There is a growing literature on implied volatility indices in developed markets. However, no similar research has been conducted in the context of emerging markets. In this paper, an implied volatility index (GVIX) is constructed for the fast developing Greek derivatives market. Next, the properties of GVIX are explored. In line with earlier results, GVIX can be interpreted as a gauge of the i...

We study a model where the aggregate trading of currency speculators reveals new information to the central bank and affects its decision on whether to abandon a fixed exchange rate regime. We show that the learning process gives rise to informational complementarities among traders, which generates coordination motives in their trading and reduces the informational content of the market signal...

This paper studies a variety of world financial market indices to determine how widespread the phenomenon of nonlinear serial dependency is, and then, by studying a relatively financially isolated market, the Taiwan Stock Exchange of the 1980s, examines more closely the extent to which nonlinearity appears to be an inherent feature of financial trading behavior. Nonlinearity is found to be a cr...

A method is described for using the cross-linking reagent 4'-(hydroxy-methyl)-4,5',8-trimethylpsoralen (HMT) to map base paired regions and higher-order structure within RNA molecules. Applying this method to yeast tRNAPhe, we have specifically identified cross-links within the acceptor stem between U6 X U68, in the D-stem between C11 X C25, and in the T psi-stem between U50 X C63 and U52 X C63...

This paper uses a data set of industry-level equity returns from both developed and emerging markets to investigate whether the quality of the institutional environment recently shown to affect capital markets’ size also affects the expected return on equity. The paper documents that the required rate of return on equity is negatively associated with the enforceability of contracts and the impa...

China has an A-share market that is open only to local investors and a B-share market that is open only to foreign investors. Contrary to what has been observed in other markets with a similar segmented structure, the China B shares trade at a discount relative to the A shares. We show that the phenomenon can still be explained by basic economic principles. Speci®cally, the existence of the H-s...

We estimate a model with countryand industry-specific shocks that extends the dummy variable model used in the portfolio diversification literature by relaxing the restriction that all stocks with exposure to a given shock have the same exposure to that shock. We find that: i) This restriction is strongly rejected by the data. ii) Many industry betas are negative, while almost all country betas...

This paper examines the international diversification benefits subject to portfolio constraints—in particular, constraints on short selling. We show that the international diversification benefits remain substantial for U.S. equity investors when they are prohibited from short selling in emerging markets. This result is robust to investment restrictions on nonnative individuals. It is also unaf...

A very debated issue in recent years is the cyber crime and its impact on market returns and reputation of firms. The issue is made particularly actual by the proliferation of information technology and internet. Information security breaches are concerned with protecting the accessibility, integrity and confidentiality of information. As a consequence, there are potential high explicit and imp...

Increased concern for the environment has increased the number of investment opportunities in mutual funds specialized in promoting responsible environmental attitudes. This paper examines the performance and risk sensitivities of US green mutual funds vis-à-vis their conventional peers. We also analyze and compare this performance relative to other Socially Responsible Investing (SRI) mutual f...