World Investment Report

http://neumann.hec.ca/~p283/gii/Longin_Solnik.pdf

Is the correlation in international equity returns constant: 1960–1990?

Publisher Summary The class of stochastic volatility (SV) models has its roots in both, mathematical finance and financial econometrics. In fact, several variations of SV models originated from research looking at very different issues. Volatility plays a central role in the pricing of derivative securities. The Black-Scholes model for the pricing of an European option is by far the most widely used formula even when the underlying assumptions are known to be violated. The Black-Scholes model predicts a flat term structure of volatilities. In reality, the term structure of at-the-money implied volatilities is typically upward sloping when short term volatilities are low and the reverse when they are high. The Black-Scholes model is taken as a reference point from which several notions of volatility are presented. Several stylized facts regarding volatility and option prices are also presented. Both sections set the scene for a formal framework defining stochastic volatility. The chapter introduces the statistical models of stochastic volatility.

5 Stochastic volatility

On the Determinants of Foreign Direct Investment to Developing Countries: Is Africa Different?

This book explores whether the world economy is breaking up into regional trading and currency blocs centred on the European Community, Japan and the United States. Frankel uses trade, investment and financial data to assess this issue. He concludes with an analysis of how trends in regional economic integration can be used as building blocks for a stronger multilateral system.

Regional Trading Blocs in the world economic system, reseñado por Antonio Ortiz-Mena L.N.

This paper reexamines Asian stock market contagion by applying a dynamic multivariate GARCH model to daily stock-return data in nine Asian countries and the United States during the period from 1996 to 2003. The empirical results find supportive evidence of a contagion effect. By analyzing the correlation-coefficient series, this paper identifies two phases of the Asian crisis. The first phase shows an increase in correlation (contagion) and the second phase shows continued high correlation (herding). Statistical analysis of the correlation coefficients shows shifts in the level as well as in the variance of the correlation coefficients during the crisis period, casting some doubt on the benefit of international portfolio diversification. This study finds that international rating agents play significant role in shaping the structure of dynamic correlations in the Asian markets.

https://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1052661_code365382.pdf?abstractid=1052661&type=2

Dynamic Correlation Analysis of Financial Contagion: Evidence from Asian Countries

http://www.pages.drexel.edu/~chiangtc/JIMF_Paper_Chiang_Jeon_Li_11_28_2005.pdf

Dynamic correlation analysis of financial contagion: Evidence from Asian markets

SINCE THE BEGINNING of 1986, the major stock markets have become increasingly internationalized by deregulation . By 1987 some 600 foreign stocks traded in the New York market, and the markets in London, Frankfurt, and Tokyo had also attracted numerous foreign listings. Some analysts worried that the growing international integration of financial markets could help transfer national financial disturbances to other markets.' The spectacle, in October of 1987, of nearly simultaneous price collapses around the world was evidence to the point. In this paper we analyze the daily movements in the stock price indexes, from close to close, of the United States, Japan, Great Britain, and Germany during 1986-88, focusing particularly on the correlation of price movements in these, the world's four largest equity markets. We begin by assuming that stock markets anticipate successfully most events that bear on dividends and discount rates, and that changes in stock prices will be related only to unanticipated events. Dealing with daily changes in asset prices and yields assures this, because more than a normal return can never be expected in efficient markets on financial assets, such as foreign deposits or bundles of shares, or on storable

/pdf/international-stock-price-movements-links-and-messages-1ejzpyjl9r.pdf

International Stock Price Movements: Links and Messages

This study investigates the determining factors of the successful adoption of e-business by small and medium enterprises (SMEs) in Korea using survey data. After the major determining factors were identified from the innovation adoption literature and were extracted by applying the principal component analysis to the survey data and by adding the country-specific characteristics of Korea, we conducted empirical analyses to determine the critical success factors for the adoption of e-business by Korean firms. The empirical results which are based on t-tests of the differences between adopters and non-adopters, the linear probability model, and the logit model, all suggest that the important determinants of the successful adoption of e-business by SMEs in Korea are: the CEO's knowledge of information technology (IT)/e-business, relative advantages and benefits from implementing e-business, governmental support, globalization strategy and the North Korean factor. Business size, the cost of e-business adoption and competitive pressure of the industry do not seem to play an important role in the adoption of e-business by Korean SMEs. The policy implications of this study on promoting e-business adoption by SMEs in emerging economies, such as Korea, are also discussed.

Determining Factors for the Adoption of E-Business: The Case of SMEs in Korea

In this paper we examine the impact of foreign bank penetration on the competitive structure of domestic banking sectors in host emerging economies. We focus our analysis on Asia and Latin America during the period 1997–2008. Using bank-level panel data to identify foreign banks and to estimate measures of banking competition, we are able to provide robust empirical evidence that an increase in foreign bank penetration enhances competition in these host countries’ banking sectors. We find that this positive foreign bank penetration and banking competition link is associated with a spillover effect from foreign banks to their domestic counterparts. This spillover effect becomes stronger when more efficient and less risky foreign banks enter into less concentrated host country markets. We also find that the spillover effect is greater when foreign banks enter in the form of ‘de novo penetration’ than through mergers or acquisitions of domestic banks (‘M&A penetration’).

Bang Nam Jeon

Papers

Dynamic Correlation Analysis of Financial Contagion: Evidence from Asian Countries

Dynamic correlation analysis of financial contagion: Evidence from Asian markets

International Stock Price Movements: Links and Messages

Determining Factors for the Adoption of E-Business: The Case of SMEs in Korea

Do foreign banks increase competition? Evidence from emerging Asian and Latin American banking markets