This paper examines whether foreign direct investment between countries fosters stock market integration. Empirical tests demonstrate that both the flow and the level of bilateral foreign direct investment between countries explain country-pair stock market integration. More specifically, higher...

This paper investigates the determinants of credit spreads (levels and changes) via credit derivatives, using an Australian sample. We incorporate a number of different relationships to assess the contributions of various market-wide and firm-specific factors in determining levels, and changes...

This paper explores and tests two multi-factor asset pricing models in an international context. One model focuses only on local risk factors and therefore assumes that the market is completely segmented. The other model focuses only on global risk factors and assumes that the market is fully...

A firm's incentive to disclose has been linked empirically to a range of variables including information asymmetry, agency costs, political costs, and proprietary costs. While the intuition underlying each of the variables seems plausible, Verrecchia (2001) argues that disclosure models can be...

This paper examines the trend towards regionalism upon stock market returns for a sample of Asian countries. We find that stock markets are becoming regionally integrated at a faster rate than globally. This finding reflects the growing co-operation between Asian countries. This study focuses...

The purpose of this chapter is to investigate the trend towards regionalism for a selection of Asian countries. In particular, we examine the stock markets of Indonesia, Malaysia, the Philippines, South Korea, Thailand and Taiwan. It is discovered that these markets have undergone closer...

There is substantial argument that political risk is an important and increasing influence on international portfolio allocation decisions. The purpose of this paper is to investigate the relation between political risk and stock returns within the context of emerging markets. The issue is...

Emerging stock markets have been identified as being at least partially segmented from global capital markets. As a consequence, it has been argued that local risk factors rather than world risk factors are the primary source of equity return variation in these markets. This paper seeks to...