This paper presents three tests of contagion of the US subprime crisis to the European markets of the NYSE-Euronext group. Copula models are used to analyse dependence structures between the US’s and the other markets in the sample, in the pre-crisis and in the subprime crisis periods. The first test assesses the existence of contagion on the relevant markets’ indices, the second checks the hom...

This paper studies international portfolio ßows of US investors to examine the information structure of international equity markets. Based on a model of portfolio choice with both public and private information, we propose new empirical measures of trades due to private information. We show that these trades help explain the cross section of international equity returns, after controlling for ...

Established illiquidity measures are constructed for emerging markets in Africa and used to determine which best explain trading costs. Costs of equity are derived from an augmented CAPM for a sample of emerging financial markets generally ignored in the literature. These include: South Africa and Namibia, three countries in North Africa and four in SSA, plus London and Paris as examples of int...

This paper explains why public domestic debt composition in emerging economies can be risky, namely in foreign currency, with a short maturity or indexed. It analyses empirically the determinants of these risk sources separately, developing a new large dataset compiled from national sources for 33 emerging economies over 1994-2006. The paper finds that economic size, the breadth of the domestic...

This paper considers the main elements of the standard pattern of fi nancial liberalization that has become widely prevalent in developing countries. The theoretical arguments in favour of such liberalization are considered and critiqued, and the political economy of such measures is discussed. The problems for developing countries, with respect to fi nancial fragility and the greater propensit...

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...