Previous research claims that low constant correlations among international stock indices create substantial risk-reduction from diversification. We contend that only using constant correlations is too simplistic an approach. We examine international diversification by: (1) using conditional...

This study examines the multiple listing phenomena by studying the characteristics of the hosting and listing countries and listing firms of the multiple-listed stocks. We document the loss of preeminence of the US as a preferred hosting country, this role now being taken by the EU. We find that...

Employing a sample of stocks cross-listed and subsequently delisted from foreign markets, we examine the consequences of delisting to investors in terms of price, risk, and liquidity. We also provide a direct comparison between the firm's performance after a foreign cross-listing and after its...

We consider the effect of higher moments on diversification, since most assets possess a potential for tail losses. In particular, we examine higher-moment Value-at-Risk measures for individual instruments and diversified portfolios. We find that a naïve futures portfolio is consistently...

This paper investigates the impact of public-listing age on the future operating performance of Chinese firms making initial public offerings (IPOs) during the period 1998-2010 and examines whether accounting accruals contribute to this impact. We found that, on average, public-listing age has a...

The minimum spanning tree concept from physics is used to study the process of market integration for a large group of national stock market indices. We show how the tree grows over time and describe the dynamics of its various characteristics. Over the period studied, 1997-2006, the tree shows...

This paper examines short-term and long-term comovements between developed European Union (EU) stock markets and those of three Central European (CE) countries which recently joined the EU. Dynamic cointegration and principal components methods are applied, in addition to static tests. While we...

This paper studies capital market integration in Middle Eastern and North African (MENA) countries and its implications for international portfolio investment allocation. Starting with four cointegration methodologies, we significantly reject the hypothesis of a stable, long-run bivariate...