We test whether foreign investors price foreign exchange risk differently from local investors. Drawing from the closed-end country fund literature, we argue that both differential access to information by foreign versus local investors and different sources of exchange risk that investors face...

We examine the effect of the introduction of index futures trading in the Korean markets on spot price volatility and market efficiency of the underlying KOSPI 200 stocks, relative to the carefully matched non‐KOSPI 200 stocks. Employing both an event study approach and a matching‐sample...

Unlike the U.S. and Japanese securities markets, we find new evidence of volatility spillover between index stocks and non‐index stocks following the introductions of index derivatives trading in the Korean securities markets. We further find that the degree of volatility spillover is closely...

Purpose -The purpose of this paper is to empirically examine the relation between financial leverage and investment opportunities of Chinese industrial firms, which operate in a vastly different financial environment than USA and Japanese firms. Design/methodology/approach -Multivariate...