This paper investigates the convergence between the prices of ADRs and Mexican traded shares using a sample of 21 dually listed shares. Since both markets have similar trading hours, standard arbitrage considerations should make persistent deviation from price parity rare. We use a STAR model,...

This paper analyzes the behavior of time-varying volatility when structural changes are allowed in international stock markets. A model developed by Hamilton and Susmel (1994), the switching autoregressive conditional heteroskedastic (SWARCH) model, which is a more general specification than the...

In this paper, we are interested in the impact a Major League Baseball (MLB) manager has on a team’s outcome. Using data on manager’s contracts, team performance, and team and manager characteristics, first, we determine the variables that determine a manager's salary. Then, we use a...

In this paper we compare the distributions of ADR returns and the returns of the locally traded shares between Chile and Argentina. This comparison is interesting because both countries are emerging economies with a similar free market orientation. Both countries have similar free market...

In this article, the authors take advantage of the time-varying structure of stock-returns variances to investigate whether two international stock markets share the same volatility process. They use a test recently developed by R. F. Engle and S. Kozicki (1990). This test is also used to assess...

We use high-frequency interest-rate data for a group of Latin American and Asian countries to analyze the behavior of volatility through time. We focus on volatility comovements across countries. Our analysis relies on univariate and bivariate switching volatility models. We compare the results...