Showing papers in "Journal of International Financial Markets, Institutions and Money in 2012"

TL;DR: In this article, a detailed empirical investigation of the EMU sovereign-debt crisis is presented, where the authors find a marked shift in market pricing behavior from a "convergence-trade" model before 2007 to one driven by macro-fundamentals and international risk thereafter.

TL;DR: This paper examined whether there are structural breaks in commodity spot return volatility using an iterative cumulative sum of squares procedure and then used GARCH (1,1) to model volatility during each regime.

TL;DR: In this article, a quantile regression model is adopted to observe the various relationships between stock and foreign exchange markets in six Asian countries to estimate the relationship between stock price index and exchange rate.

TL;DR: In this article, the authors examined return co-movements and volatility spillovers between major exchange rates before and after the introduction of the euro and found that the euro is the dominant net transmitter of volatility, while the British pound is dominant net receiver of volatility.

TL;DR: This paper studied the relationship between oil price and stock markets in developing countries due to their heavy dependence on oil prices co-movements and observed that the left tail dependency between international oil prices and Vietnam's stock market while Chinese market shows opposite results.

TL;DR: In this article, bank capital, charter value, off-balance sheet activities, dividend payout ratio and size as determinants of bank equity risk (systematic risk, total risk, interest rate risk and idiosyncratic risk) and credit risk are investigated.

TL;DR: In this paper, the authors investigate the association between bank market power and revenue diversification and whether revenue diversication interacts with market power impacting on individual bank stability in South Asian banking markets.

TL;DR: The authors examined whether bank earnings volatility depends on bank size and the degree of concentration in the banking sector and found that bank size reduces return volatility, while market concentration decreases the negative impact of bank size.

TL;DR: In this paper, the post-print version of the final paper published in Journal of International Financial Markets, Institute ofInstitutions and Money, 2011 is available from the link below.

TL;DR: In this article, a database of Euro-denominated government bonds covering the period from January 2000 to December 2010 is used to provide an empirical analysis of the determinants of government credit spreads in the Euro-area.

TL;DR: The authors investigated the permanent and transitory effects of sovereign credit ratings on time-varying stock and bond market correlations with their respective regional markets for a sample of up to nineteen emerging countries over the period from 1 January 1994 to 1 July 2007.

TL;DR: In this article, the authors proposed the use of conditional extreme value theory and time-varying copula to capture the tail dependence between the Australian financial market and other selected international stock markets.

TL;DR: In this paper, the authors proposed an information asymmetry hypothesis to examine why bank credit ratings vary among countries even when bank financial ratios remain constant, and the estimated results show that the effects of financial ratios on ratings are significantly affected by information asymmetries.

TL;DR: In this article, the authors used univariate and multivariate GARCH-type models to investigate the properties of conditional volatilities of stock returns and exchange rates, as well as their empirical relationships.

TL;DR: This article proposed an ideal specification for studying joint dynamics of emerging stock and foreign exchange markets, and applied it on European emerging markets where this interaction is of particular significance due to large external deficits.

TL;DR: This paper investigated the influence of financial institutions on economic growth in Taiwan and found that appropriate volatility enhances Taiwan's economic growth under the circumstance of a more matured stock market following financial openness, suggesting the beneficial influence of liquidity on real output before financial openness turned negative afterward.

TL;DR: In this paper, the influence of migrant remittances on two dimensions of the financial sector, namely, size and efficiency in a sample of 94 non-OECD economies, was investigated.

TL;DR: The authors employ a semi-parametric empirical model and reveal evidence that the U.S. bank profitability is affected non-parametrically by the business cycle, short-term interest rates, inflation expectations, credit risk, and loan portfolio structure.

TL;DR: In this article, the authors analyzed the long-term stock performance of Chinese IPOs between the years of 2000 and 2007 and found that firms with political connections experienced better long-time stock performance.

TL;DR: This paper examined stock market volatility measured by either "beta-volatility" or by the standard deviation of stock returns over 1995-2007 and found some support to increases in financial integration reducing total stock return volatility for representative emerging markets with almost no impact for industrial economies.

TL;DR: In this paper, the authors investigate the pricing of idiosyncratic volatility of seven frontier markets in six GCC countries and find a significant negative relationship between expected returns and lagged idiosyncratic variance for individual stocks in Saudi Arabia (Qatar) but none in Kuwait and Abu Dhabi.

TL;DR: In this paper, the authors investigated the integration process in the European Union retail banking sector during the period 2003-2011, by analysing deposit and lending rates to non-financial corporations, and the empirical results point to the presence of convergence in all FD and Lending rates up to 2007, while the null of convergence is rejected in all deposit and credit markets after the onset of the 2008 financial crisis.

TL;DR: This article showed that exchange rate risk measured by contemporaneous exchange rate changes is not priced in the US stock market if they use industry portfolios which do not have a strong factor structure as the testing assets.

TL;DR: In this paper, the impact of news announcements on foreign exchange implied volatility (IV) for four major FX rates for the 12-year period 1998-2009 was investigated. And the results show some of these announcements impact on FX IV, which is important to market participants for trading and risk management purposes.

TL;DR: In this article, the authors investigate the practical issues of implementing the self-financing pairs portfolio trading strategy presented by Gatev et al. and provide new evidence on the profitability of pairs trading under different weighting structures and trade initiation conditions.

TL;DR: In this paper, the intertemporal capital asset pricing model (ICAPM) is extended to integrate the heterogeneous trading behavior of three groups of investors; rational utility maximizers, positive feedback, or momentum, traders, and fundamental traders.

TL;DR: Wang et al. as mentioned in this paper investigated the relationship between information disclosure and depositor behavior in Chinese banking sector and found that enhanced information disclosure enables investors to more effectively infer a banking institution's risk profile, thereby influencing their deposit decisions.

TL;DR: In this paper, the authors highlight pairs trading as the main price-correcting mechanism by which arbitrage can maintain stock-ADR parity, and show that arbitraging stockADR pairs extracts small per-trade profits which accumulate to a substantial aggregate return.

TL;DR: In this article, the authors examine time dependency in the factors motivating delisting of foreign firms from major U.S. exchanges over the period 1962-2006 and find that governance has no significant effect on delisting but after SOX, it becomes one of the main forces driving delisting.

TL;DR: In this article, the authors examined the dynamics, structural breaks and determinants of the real exchange rate (RER) of Australia derived from an inter-temporal general equilibrium model.