This paper examines stock market volatility measured by either “beta-volatility” or by the standard deviation of stock returns over 1995–2007. In our dynamic panel data framework, after controlling for size, turnover, and real output growth, we find some support to increases in financial...

This paper takes a new approach to investigate the interaction between the U.S. and China's stock markets. Since the U.S. and China's stock markets have no overlap in their trading hours, many empirical studies show that the daily returns on these two markets are not correlated. In this paper,...

This paper analyses the role of asymmetric information and moral hazard on IPO underpricing and lockups. I document that high information asymmetry is related to underpricing while the lockup length and lockup expiration return is related to moral hazard. Accordingly, lockup length and...

This paper analyzes whether risk shifting took place in the European Union’s banking sector in 2002–2009. We also identify the type of risk shifting, if any, in the sample. In addition, our method provides a way to determine which variables incentivize/disincentivize risk shifting. Our main...

This paper investigates the impact on financial stability of bank competition in emerging markets by taking into account crisis periods. Based on a broad set of commercial banks in Asia over the 1994–2009 period, the empirical results indicate that a higher degree of market power in the...

This study examines the relation between private capital flows and economic growth in Africa during the period 1990–2007. We estimate the empirical relation with a panel Instrumental Variable Generalized Method of Moments (IV-GMM) estimator which allows for arbitrary heteroskedasticity and...

It is well known that high levels of regional integration enable portfolio risk diversification and capital mobility. While there have been a number of empirical attempts to verify the presence of capital mobility using the Feldstein–Horioka (FH) approach, none of them to the best of our...

This paper presents empirical evidence suggesting that the volatility, trend-growth, and shock-duration of terms-of-trade (TOT) are important drivers of the degree and composition of international financial integration (IFI). Our results are based on a panel of 55 primary-commodity exporting...

We utilize the Feldstein–Horioka puzzle to investigate the impact of regional integration agreements (AFTA, EU, EFTA, CARTAGENA, MERCOSUR and NAFTA) on the international capital mobility. In doing so, we employed a novel empirical technique i.e. the general to specific (GETS) method of Hendry...

This paper investigates whether the South-Eastern European (SEE) stock markets of Bulgaria, Croatia, Romania, Slovenia and Turkey are integrated with their developed counterparts in Germany, the UK and the USA. Using static cointegration analysis, we find that the SEE markets are cointegrated...