In this paper we review the factors that may lead to structural changes in stock market volatility and present an analysis that assesses whether emerging stock market volatility has changed significantly over the period 1976:01-2002:03. This period corresponds to the years of more profound development of both the financial and the productive sides in emerging countries. We use alternative metho...

This study analyses the information diffusion between Chinese A shares (restricted to domestic investors) and B shares (restricted to foreign investors). The results show that there is an important long-run information diffusion between A and B shares. In the Shanghai stock market, information flows from foreign to domestic investors. However, in the smaller and less liquid Shenzhen stock marke...

Risk Tolerance and Entrepreneurship A tradition from Knight (1921) argues that more risk tolerant individuals are more likely to become entrepreneurs, but perform worse. We test these predictions with two risk tolerance proxies: stock market participation and personal leverage. Using investment data for 400,000 individuals, we find that common stock investors are around 50 percent more likely t...

This paper investigates how and to what extent institutional development influences and permits firm-specific information to be incorporated into share prices, as measured by stock price synchronicity. Tracing the experience of China, an economy undergoing dramatic changes in the last 20 years with rich variation in experiences across provinces, this paper reveals that stock price synchronicity...

This paper uses a simple model of mean-variance capital markets equilibrium with proportional transactions costs to analyze the competition of stock markets for investors. We assume that equity trading is costly and endogenize transactions costs as variables strategically influenced by stock exchanges. Among other things, the model predicts that increasing financial market correlation leads to ...

We consider a pollution permits market in which there are a large polluting firm plays and a fringe of competitive firms. To smooth compliance towards the longrun emissions goal, firms are initially allocated a stock (i.e., bank) of permits to be gradually consumed. We first show how the large firm can credibly manipulate the spot market in subgame-perfect equilibrium. Motivated by features obs...

The authors examine how the co-movement between daily stock and Treasury bond returns varies with stock market uncertainty. They use the lagged implied volatility from equity index options to provide an objective, observable, and dynamic measure of stock market uncertainty. The authors find that stock and bond returns tend to move substantially together during periods of lower stock market unce...

Closed solutions to the problem of pricing a Russian option when the stock is modeled by a diffusion with negative jumps are obtained. The Russian option is a perpetual American option on the maximum value of the stock. That stock is assumed to have the form of a Wiener process with drift and negative mixed–exponentially distributed jumps driven by a Poisson process. This result generalizes tho...

Available online 23 October 2015 We explain stable growth performance in democracies by characterizing political systems in terms of the distribution of political power across groups, and show when the qualities of policy alternatives are uncertain, greater democracy (decentralization of authority) leads to more stable policy choices. We empirically test this mechanism by creating measures of t...

We focus on investor-state dispute settlement provisions contained in various, though far from all, bilateral investment treaties as a possible determinant of BIT-related effects on bilateral FDI flows. Our estimation results prove to be sensitive to the specification of these provisions as well as the inclusion of transition countries in the sample. Stricter dispute settlement provisions do no...