Two parallel analyses are carried out in order to assess the degree of integration of financial markets within Europe, within East Asia, between these two regions, and with the external financial community. The investigation is based on cointegration and Granger causality techniques, to detect the presence of short-run and long-run cross-country relationships in equity and bond markets. The emp...

This paper investigates jumps and cojumps in European financial markets employing more than six years of tick by tick data on stock indices, currency and interest rate futures. Using a jump detection measure proposed by Lee and Mykland (2008), we find that while the U.S macroeconomic announcements cause significant jumps on all asset classes, European equity markets are found to be the more sen...

This study examines the impact of globalization on cross-country inequality and poverty using a panel data set for 65 developing counties, over the period 1970-2008. The role of globalisation in increasing inequality in economies with financial markets imperfections has been highlighted in the theoretical literature but has not been systemically tested empirically. We provide a first pass at te...

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...

We study the effects of sell-side debt research on price formation and investor behavior in debt and equity markets. Sell-side corporate debt research involves the production and dissemination of information by sell-side analysts to debt investors. Our sample includes 921 companies with publicly traded bonds and equity over the period from 2002 through 2004, with 429 of them being the subject o...

By testing a large sample of US-based multinational enterprises (MNEs), we attempt to microscope the relations between FDI advantages and excess market value created thereby. Two most commonly pursued FDI advantages—market expansion and cost reduction—come under the analysis. We find that the overseas divisions of US-based MNEs have significant market expansion advantage over the domestic divis...

Tax rates have fluctuated considerably since federal income taxes were introduced in the U.S. in 1913. This paper analyzes the effects of stochastic taxation on asset prices in a dynamic general equilibrium model. Stochastic taxation affects the after-tax returns of both risky and safe assets. Whenever taxes change, bond and equity prices adjust to clear the asset markets. These price adjustmen...

We study the role of financial market development in the financing choice of firms in developing countries using a dynamic panel approach with aggregate firm-level data. The results suggest that equity market development favors firms’ equity financing over debt financing, while banking sector development favors debt financing over equity financing, as one would expect. However, surprisingly, eq...

Financial markets reveal information through which firm managers increase the value of equity, e.g., by improving investment decisions. With debt, however, such decisions are not necessarily socially efficient. We demonstrate that investors’ endogenous information acquisition, acting through this feedback channel, attenuates risk-shifting but amplifies debt overhang. The most ex-ante inefficien...

The pervasive intraday periodicity in the return volatility in foreign exchange and equity markets is shown to have a strong impact on the dynamic properties of high frequency returns. Only by taking account of this strong intraday periodicity is it possible to uncover the complex intraday volatility dynamics that exists both within and across different financial markets. The explicit periodic ...