This paper examines co-movement of extreme returns in eight South Eastern European (SEE) stock markets during the period covering both financial crisis from 2007-2009 and COVID-19 health crisis. The analysis is based on coexceedances which represent number joint occurrences a group market indexes. To provide valuable insight how persistence, asset class, volatility effects are related with coex...

In 2013, Joux, and then Barbulescu, Gaudry, Joux and Thomé, presented new algorithms for computing discrete logarithms in finite fields of small and medium characteristic. We show that these new algorithms render the finite field F36·509 = F33054 weak for discrete logarithm cryptography in the sense that discrete logarithms in this field can be computed significantly faster than with the previo...

Long memory in volatility is a stylized fact found in most ̄nancial return series. This paper empirically investigates the extent to which interdependence in emerging markets may be driven by conditional short and long range dependence in volatility. We ̄t copulas to pairs of raw and ̄ltered returns, analyse the observed changes in the dependence structure may be driven by volatility, and discu...

This paper uses a new time series dataset of shareholder protection consisting of 60 annual legal indicators for the period 1970-2005 for France, Germany, the UK and the US. On the basis of these data it examines developments in shareholder protection and reassesses the claims that common-law countries have better shareholder protection than civil law countries. Furthermore it examines the rela...

For most of the postwar period, Europe’s capital markets remained largely closed to international capital flows. This paper explores the costs of this policy. Using the familiar event-study methodology, we examine the extent to which restrictions of current and capital account convertibility affected stock returns. We find that the delayed introduction of full currency convertibility increased ...

We show that a gravity model explains international transactions in "nancial assets at least as well as goods trade transactions. Our results support the hypothesis that informational asymmetries are responsible for the strong negative relationship between asset trade and distance. This result is very important for theories of asset trade, portfolio adjustments and home bias. We strengthen it b...

Beta, as measured by the Capital Asset Pricing Model (CAPM), is widely used for pricing stocks, determining the cost of capital, and gauging the extent to which markets are integrated. The CAPM model assumes that equilibrium conditions prevail. The choice of which market portfolio to use in the regression – the home country or global index – depends on the level of global market integration. We...

This paper presents a new measure of international gross capital flows and applies it to a global panel from 1970 to 2004. We explain why paying attention to the gross flows underlying net capital flows may be important and how our gross flow measure differs from the standard measure in the literature. For example, while by the standard measure a capital inflow decline more than fully explains ...

This paper is a pioneering attempt to include India with east and Southeast Asia to study the existence of the economic criteria for a common currency. The analysis in this paper shows that significant complementarities in trade exist among these countries, most of them experience similar shocks and labor mobility is already present. These results point to the fact that the cost of adopting a s...

——————————————————————————————————— We study optimal portfolio choice in a two-country model where assets represent claims on future consumption and facilitate trade in markets with imperfect credit. Assuming that foreign assets trade at a cost, agents hold relatively more domestic assets. Consequently, agents have larger claims to domestic over foreign consumption. Moreover, foreign assets tur...