Faculty & Research

2nd EMG Conference on Emerging Markets Finance

Papers

Thursday, 15 May 2008

9:00-10:30

Financial Markets

"The impact of derivatives trading on the volume-volatility link: evidence from the Indian stock market"
Menelaos Karanasos (Brunel University), S. Bhaumik (Brunel University), A. Kartsaklas (University of York)

Discussant: Nikos Nomikos (Cass Business School)

"The Information Content of Options Trading: Evidence from the Taiwan Stock Exchange"
Chuang-Chang Chang (National Central University, Taiwan), Pei-Fang Hsieh (National Central University, Taiwan), Hung Neng Lai (National Central University, Taiwan)

Discussant: Lavern McFarlane (Manchester Business School),

"Duration, trading volume and the price impact of trades in an emerging futures market"
Lavern McFarlane (Manchester Business School), Michael Bowe (Manchester Business School), Stuart Hyde (Manchester Business School)

Discussant: Menelaos Karanasos (Brunel University)

Banking

"Do Reserve Requirements Matter? The Response of Bank Credit in Lebanon to Different Currency Reserve Requirements"
Nada Mora (Bank of England)

Discussant: Heiko Hesse (International Monetary Fund)

"Islamic Banks and Financial Stability: An Empirical Analysis"
Heiko Hesse (International Monetary Fund), Martin Cihak (IMF)

Discussant: Christian Kalhoefer (The German University in Cairo)

"The impact of regulatory reforms on cost structure, ownership and competition in Indian banking"
Barbara Casu (Cass Business School), Tianshu Zhao (Bangor University), Alessandra Ferrari (University of Reading)

Discussant: Nada Mora (Bank of England)

Corporate Finance

"When loans are Bad News: Market reactions to loan announcements under poor governance"
Weihua Huang (Maastricht University), Shan Zhao (University of Toulouse)

Discussant: Fei Guo (Curtin University of Technology)

"The Value of Family Networks: Marriage and Network Formation in Family Business Groups"
Pramuan Bunkanwanicha (ESCP-EAP European School of Management), Joseph P.H. Fan (Chinese University of Hong Kong), Yupana Wiwattanakantang (Hitotsubashi University)

Discussant: Mezianne Lasfer (Cass Business School)

"Related lending: evidence of tunneling and propping in China"
Fei Guo (Curtin University of Technology)

Discussant: Weihua Huang (Maastricht University)

10:45-12:15

Sovereign Risk

"The dynamic pricing of sovereign risk in emerging markets: fundamentals and risk aversion"
Eliza Wu (University of New South Wales), Eli Remolona (Bank for International Settlements), Michela Scatigna (Bank for International Settlements)

Discussant: Andrew Powell (Inter American Development Bank)

"A Model of Country Risk"
Sandro Andrade (University of Miami)

Discussant: Eli Remolona (Bank for International Settlements)

"On Emerging Economy Sovereign Spreads and Ratings"
Andrew Powell (Inter American Development Bank), Juan Francisco Martinez (Oxford University)

Discussant: Sandro Andrade (University of Miami)

13:30-15:00

Financial Markets

"Disentangling Liquidity and Size Effects in Stock Returns: Evidence from China"
Youchang Wu (University of Vienna), Rong Cui (University of Vienna)

Discussant: Shing-Yang Hu (National Taiwan University)

"Banking Market Integration in the SADC Countries: Evidence from Interest Rate Analyses"
Stefanie, Kleimeier (Maastricht University),Meshach Aziakpono (Rhodes University), Harald Sander (Maastricht University)

Discussant: Youchang Wu (University of Vienna)

"What Kind of Trading Drives Return Autocorrelation?"
Shing-Yang Hu (National Taiwan University), Chun-Kuei Hsieh (National Taiwan University)

Discussant: Juliana Caicedo-Llano (Université Paris X-Nanterre)

Open Macro

"Are capital controls in the foreign exchange market effective?"
Christian Wolff (Maastricht University), Stefan Straetmans (Maastricht University), Roald J. Versteeg (Maastricht University)

Discussant: M Ayhan Kose (International Monetary Fund)

"The Performance of UIP and PPP: Emerging Markets"
Rachel Campbell (Maastricht University), Kees Koedijk (RSM Erasmus University), James Lothian (Fordham University)

Discussant: Roald J. Versteeg (Maastricht University)

"The Economic Value of Fundamental and Technical Information in Emerging Currency Markets"
Gerben de Zwart (ING Investment Management), Thijs Markwat (Erasmus Research Institute of Management), Dick van Dijk (Erasmus University Rotterdam), Laurens Swinkels (Erasmus Research Institute of Management)

Discussant: Michael Melvin (Barclays Global Investors)

Corporate Governance

"Private Contracting and Corporate Governance: Evidence from the Provision of Tag-Along Rights in an Emerging Market"
Morten Bennedsen (Copenhagen Business School), Kasper Meisner Nielsen (Chinese University of Hong Kong), Thomas Vester Nielsen (BankInvest)

Discussant: Marcus V. Braga Alves (University of Pittsburgh),

"Corporate governance, valuation and performance: Evidence from a voluntary market reform in Brazil"
Marcus V. Braga Alves (University of Pittsburgh), Kuldeep Shastri (University of Pittsburgh)

Discussant: Lin Guo (Suffolk University)

"Corporate Governance and Market Segmentation: Evidence from the Price Difference between Chinese A and H Shares"
Lin Guo (Suffolk University), Liang Tang (Bridgewater State College), Shiawee X.Yang (Northeastern University)

Discussant: Kasper Meisner Nielsen (Chinese University of Hong Kong)

15:30-17:00

International Investments

"The Attractiveness of Central Eastern European Countries for Venture Capital and Private Equity Investors"
Alexander Groh (GSCM - Montpellier Business School), Heinrich Liechtenstein (IESE Business School - University of Navarra), Karsten Lieser (IESE Business School - University of Navarra)

Discussant: Mario Levis (Cass Business School)

"Corruption and Cross-border Investment in Emerging Markets: Firm-Level Evidence"
Beata Javorcik (University of Oxford), Shang-Jin Wei (Columbia University)

Discussant: Alexander Groh (GSCM - Montpellier Business School)

"Testing for Asset Market Linkages : A new Approach based on Time-Varying Copulas"
Bertrand Candelon (Maastricht University), Hans Manner (Maastricht University)

Discussant: Lorenzo Trapani (Cass Business School)

17:15-18:30

Keynote Speech

"Current Challenges in Financial Regulation for Emerging Markets"
Stijn Claessens

Friday, 16 May 2008

9:00-10:30

Banking

"Performance-Structure and Market Power versus Efficiency in Latin American Banking"
Claudia Girardone (Essex University) Georgios Chortareas (University of Athens), Jesus G. Garza-Garcia (Essex University)

Discussant: Barbara Casu (Cass Business School)

"The Determinants of Bank Performance in China"
Shelagh Heffernan (Cass Business School), Maggie Fu (University of Macau)

Discussant: Huainan Zhao (Cass Business School)

"Does Bank Ownership Increase Firm Value? Evidence from China"
Ning Zhu (University of California, Davis), Xiaochi Lin (Guanghua School of Management), Yi Zhang (Guanghua School of Management)

Discussant: Claudia Girardone (Essex University)

Corporate Finance

"The Determinants of Corporate Risk in Emerging Markets: An Option-Adjusted Spread Analysis"
Eduardo Cavallo (Inter-American Development Bank), Patricio Valenzuela (International Monetary Fund)

Discussant: Paul Mizen (Centre for Finance and Credit Markets, University of Nottingham)

"Corporate Debt Restructuring: The Response in Emerging Asia and the United States When Interest Rates Fell"
Paul Mizen (Centre for Finance and Credit Markets, University of Nottingham), Cihan Yalcin (Central Bank of Turkey)

Discussant: Eduardo Cavallo (Inter-American Development Bank)

Finance and Economic Growth

"Does Openness to International Financial Flows Contribute to Productivity Growth?"
M Ayhan Kose (International Monetary Fund), Eswar S. Prasad (Cornell University), Marco E. Terrones (IMF)

Discussant: Nauro Campos (Brunel University)

"Financial Development, Economic Growth and Political Instability: Power-GARCH Evidence From Argentina, 1896-2000"
Nauro Campos (Brunel University), Menelaos Karanasos (Brunel University), Bin Tan (Brunel University)

Discussant: Michail Karoglou (University of Leicester)

"One Date, One Break?"
Michail Karoglou (University of Leicester), Panicos Demetriades (University of Leicester), Siong Hook (University Putra Malaysia)

Discussant: Alec Chrystal (Cass Business School)

10:45-12:15

Asset Pricing

"Can investor heterogeneity be useful in explaining the cross-section of average stock returns in emerging markets?"
Dong Wook Lee (Korea University Business School), Chan Shik Jung (Korea University Business School), Kyung-Suh Park (Korea University Business School)

Discussant: Aneel Keswani (Cass Business School)

"Determinants of Cross Sectional Stock Return Variations in Emerging Markets"
Ye Bai (Loughborough University), Christopher J. Green (Loughborough University)

Discussant: Elena Kalotychou (Cass Business School)

"Is there a novelty premium on new financial instruments? The Argentine experience with GDP-indexed Warrants", Alejo Costa (University of Chicago), Marcos Chamon (IMF), Luca Antonio Ricci (IMF)

Discussant: Dong Wook Lee (Korea University Business School)

13:30-15:00

Banking

"What Motivates Banks to use Derivatives: Evidence from Taiwan"
Yung-Ming Shiu (National Cheng Kung University), Peter Mole (University of Edinburgh Management School), Yi-Cheng Shin (Tunghai University, Taiwan)

Discussant: Klaus Schaeck (Cass Business School)

"Revenue diversification and insolvency risk: Evidence from banks in emerging economies"
Sarah Odesanmi (University Of Southampton), Simon Wolfe (University of Southampton)

Discussant: Alistair Milne (Cass Business School)

"The design of bank loan syndicates in Emerging Markets Economies"
Christophe Godlewski (University of Strasbourg, Faculty of Business and Economics, LaRGE)

Discussant: Simon Wolfe (University of Southampton)

Corporate Finance

"Going Public Process and Political Connections: Evidence from an Emerging Market"
Iftekhar Hasan (Rensselaer Polytechnic Institute), Bill Francis (Rensselaer Polytechnic Institute), Xian Sun (U.S. Department of Treasury)

Discussant: Pramuan Bunkanwanicha (ESCP-EAP European School of Management)

"The Impact of Hedging on Firm Value: Evidence from Brazil"
Jose Rossi (Ibmec São Paulo), Juliana Laham (Ibmec São Paulo)

Discussant: Huainan Zhao (Cass Business School)

"Market Behaviour of Foreign versus Domestic Investors Following a Period of Stressful Circumstances"
Mezianne Lasfer (Cass Business School, Gulnur Muradoglu (Cass Business School), Sharon Lin (Cass Business School)

Discussant: Iftekhar Hasan (Lally School of Management and Technology)

Financial Markets

"Liquidity and Credit Risk in Emerging Debt Markets"
David Lesmond (Tulane University), John Hund (Tulane University)

Discussant: Mathijs van Dijk (RSM Erasmus University),

"Futures trading and market microstructure of the underlying security: A high frequency natural experiment at the single Stock Future level"
Kate Phylaktis (Cass Business School), Gikas Manalis (Athens Stock Exchange)

Discussant: Hung Neng Lai (National Central University, Taiwan)

"Common Patterns in Commonality in Returns, Liquidity, and Turnover Around the World"
Mathijs van Dijk (RSM Erasmus University), G. Andrew Karolyi (Ohio State University), Kuan-Hui Lee (Rutgers Business School)

Discussant: David Lesmond (Tulane University)

15:30-17:00

Asset Pricing

"Are the investable indices priced globally or locally?"
Francesca Carrieri (McGill University), Ines Chaieb (University of Amsterdam), Vihang Errunza (McGill University)

Discussant: Söhnke M Bartram (Lancaster University)

"Crossing the Lines: The Conditional Relation between Exchange Rate Exposure and Stock Returns in Emerging and Developed Markets"
Söhnke M Bartram (Lancaster University), Gordon M. Bodnar (John Hopkins University)

Discussant: Duncan Shand (Barclays Global Investors)

"Asset Growth and Stock Returns: Evidence from the Pacific-Basin Stock Markets"
Tong Yu (University of Rhode Island), Shaw Chen (University of Rhode Island), Tong Yao (University of Arizona), Jeffrey Zhang (University of Rhode Island)

Discussant: Francesca Carrieri (McGill University)

17:15-18:30

Keynote Speech

"Valuation and "Segmentation in Emerging Markets"
Campbell R. Harvey