Journal ArticleDOI
Do Foreigners Facilitate Information Transmission in Emerging Markets
TLDR
This paper used the degree of accessibility of foreign investors to emerging stock markets, or investibility, as a proxy for the extent of foreign investments, to assess whether investibility has a significant influence on the diffusion of global market information across stocks in emerging markets.Abstract:
Using the degree of accessibility of foreign investors to emerging stock markets, or investibility, as a proxy for the extent of foreign investments, we assess whether investibility has a significant influence on the diffusion of global market information across stocks in emerging markets. We show that greater investibility reduces price delay to global market information where the price delay is measured as the proportion of stock returns explained by the lagged world market returns in the regression of stock returns on contemporaneous and lagged world and local market returns. We also find that returns of highly investible stocks lead those of non-investible stocks because they incorporate global information more quickly. These results are consistent with the idea that financial liberalization in the form of greater investibility yields informationally more efficient stock prices in emerging markets.read more
Citations
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Journal ArticleDOI
Do Market Efficiency Measures Yield Correct Inferences? A Comparison of Developed and Emerging Markets
TL;DR: The authors found that short-term reversal, post-earnings drift, and momentum strategies earn similar returns in emerging and developed markets using data from 56 markets, and showed that commonly used efficiency tests can yield misleading inferences because they do not control for the information environment.
Journal ArticleDOI
Currency unions and trade: A post-EMU reassessment
Reuven Glick,Andrew K. Rose +1 more
TL;DR: The authors used a variety of empirical gravity models to estimate the currency union effect on trade and exports, using recent data which includes the European Economic and Monetary Union (EMU), and their preferred methodology indicates that EMU has boosted exports by around 50%.
Journal ArticleDOI
Stock market liberalization and innovation
TL;DR: In this article, the authors investigate the effect of stock market liberalization on technological innovation and find that these economies exhibit a higher level of innovation output after liberalization and that this effect is disproportionately stronger in more innovative industries.
Journal ArticleDOI
Real Exchange Rates and Sectoral Productivity in the Eurozone
Martin Berka,Michael B. Devereux,Michael B. Devereux,Charles Engel,Charles Engel,Charles Engel +5 more
TL;DR: In this article, the authors investigated the link between real exchange rates and sectoral total factor productivity measures for countries in the Eurozone and found that real exchange rate patterns closely accord with an amended Balassa-Samuelson interpretation, both in cross-section and time series.
Journal ArticleDOI
Risk and Return in High-Frequency Trading
TL;DR: In this article, the authors study performance, concentration, and competition in the high-frequency trading (HFT) industry and find that small differences in HFT firms' latencies are associated with large differences in trading revenues.
References
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Journal ArticleDOI
A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
TL;DR: In this article, a parameter covariance matrix estimator which is consistent even when the disturbances of a linear regression model are heteroskedastic is presented, which does not depend on a formal model of the structure of the heteroSkewedness.
ReportDOI
A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
Whitney K. Newey,Kenneth D. West +1 more
TL;DR: In this article, a simple method of calculating a heteroskedasticity and autocorrelation consistent covariance matrix that is positive semi-definite by construction is described.
Journal ArticleDOI
A Simple Model of Capital Market Equilibrium with Incomplete Information
TL;DR: The model financial economics encompasses finance, micro-investment theory and much of the economics of uncertainty as mentioned in this paper, and it has had a direct and significant influence on practice, as is evident from its influence on other branches of economics including public finance, industrial organization and monetary theory.
Journal ArticleDOI
Econometric Issues in the Analysis of Regressions with Generated Regressors.
Journal ArticleDOI
On the Estimation of Beta-Pricing Models
TL;DR: In this article, an integrated econometric view of maximum likelihood methods and more traditional two-pass approaches to estimating beta-pricing models is presented, and several aspects of the well-known errors-in-variables problem are considered, and an earlier conjecture concerning the merits of simultaneous estimation of beta and price of risk parameters is evaluated.