The goal of this study is to measure market prices of risk and the associated foreign exchange risk premia extending the approach proposed by Balduzzi and Robotti (2001) to an international framework. Estimations of minimum variance stochastic discount factors permits the determination of market prices of risk, which, in turn, in an international framework, allow to compute foreign exchange ris...

We develop a discrete-time model in which the stock markets of two countries are linked via and with the foreign exchange market. The foreign exchange market is characterized by nonlinear interactions between technical and fundamental traders. Such interactions may generate complex dynamics and recurrent switching between “bull” and “bear” market phases via a well-known pitchfork and period-dou...

The Policy Research Working Paper Series disseminates the findings of work in progress to encourage the exchange of ideas about development issues. An objective of the series is to get the findings out quickly, even if the presentations are less than fully polished. The papers carry the names of the authors and should be cited accordingly. The findings, interpretations, and conclusions expresse...

This paper examines whether foreign investors (FIs) affect the information production of analysts. Based on China's stock market, we find that FIs significantly reduce analysts’ coverage. Such negative association is more pronounced in firms with a high level governance and disclosure varies analyst characteristics. We also identify two possible economic mechanisms: channel channel. Further tes...

This journal investigates the effect of foreign institutional investor ownership on share price volatility with a sample 207 companies between 2008 and 2021 that are included in Kompas100 Index. The empirical results this study indicate reduces Indonesia control variables: market capitalization, turnover, leverage, to book. In addition, we also document research greater capitalization company, ...

High population growth and growing income lead to increasing demand for poultry products in Nigeria. The poultry industry has emerged as the most commercialized and fastest expanding segment in the animal husbandry subsector but still faces many problems. Private investment from foreign countries could help to facilitate this market. This paper reveals the opportunities and threats of a market ...

We analyze the effect of risk aversion, wealth and portfolios on the behavior of investors in a global game model of currency crises with continuous action choices. The model generates a rich set of striking theoretical predictions. For example, risk aversion makes currency crises significantly less likely; increased wealth makes crises more likely; and foreign direct investment (illiquid inves...

Background A synergy exists between investment liberalisation and the effective application of competition policy. An effective competition policy does not only remove obstacles to entry, but can also facilitate foreign investment flows by providing a predictable legal and regulatory environment that reduces the scope of arbitrary decision-making. Regulation of the business practices of investo...