Working papers

We welcome submissions of working papers in all areas of Emerging Markets Finance and Foreign Exchange markets. Notes for contributors [pdf]

2016

WP-EMG-01-2016
Fuertes A.M, Phylaktis K, and Yan C 'Uncovered Equity “Disparity” in Emerging Markets'

2015

WP-EMG-02-2015
Phylaktis K 'The Cyprus Debacle: Implications for the European Banking Union'

WP-EMG-01-2015

Yan C, Phylaktis K, and Fuertes A.M 'On cross-border bank credit and the U.S. subprime crisis transmission to equity markets'

2013

WP-EMG-03-2013
Phylaktis K and Manalis G
'Futures trading and market microstructure of the underlying security: A high frequency experiment at the single stock future level'

WP-EMG-02-2013
Banti C and Phylaktis K
'FX market illiquidity and funding liquidity constraints'

WP-EMG-01-2013
Muradoglu G, Onay C and Phylaktis K
'European Integration and Corporate Financing'

2012

WP-EMG-04-2012
Fuertes A.-M, Kalotychou E, and Todorovic N

'VolumeIntraday and Overnight Returns for Volatility Prediction: Profitability or Accuracy?'

WP-EMG-03-2012
Geert Bekaert, Marie Hoerova, and Marco Lo Duca

'Risk, Uncertainty and Monetary Policy'

WP-EMG-02-2012
Geert Bekaert, Lieven Baele, Seonghoon Cho, Koen Inghelbrecht, and Antonio Moreno

'Macroeconomic Regimes'

WP-EMG-01-2012
Geert Bekaert, Michael Ehrmann, Marcel Fratzscher, and Arnaud Mehl

'Global Crises and Equity Market Contagion'

2011

WP-EMG-05-2011
Bruce Hearn, Kate Phylaktis and Jenifer Piesse

'The Influence of Institutions, Investor Protection and Corporate Block-shareholders in Asset Pricing'

WP-EMG-04-2011
Jana P. Fidrmuca, Adriana Korczakb and Piotr Korczakb

'Why are abnormal returns after insider transactions larger in better shareholder protection countries?*'

WP-EMG-03-2011
Adriana Korczak and Piotr Korczak

'Development of Emerging Stock Markets and the Demand for Cross-Listing'

WP-EMG-02-2011
Mario Cerrato, Christian de Peretti, Rolf Larsson, and Nicholas Sarantis
"A Nonlinear Panel Unit Root Test under Cross Section Dependence"

WP-EMG-01-2011
Chiara Banti, Kate Phylaktis and Lucio Sarno
"Liquidity in the Foreign Exchange Market"

2010

WP-EMG-02-2010
Kwabena Duffour, Ian W. Marsh and Kate Phylaktis
"Order Flow and Exchange Rate Dynamics: An Application to Emerging Markets"

WP-EMG-01-2010
Francesca Carrieri, Ines Chaieb and Vihang Errunza"Do Implicit Barriers Matter for Globalization"

2009

WP-EMG-31-2009
Riza Demirer, Ali M. Kutan and Chun-Da Chen"Do Investors Herd in Emerging Stock Markets?: Evidence from the Taiwanese Market"

WP-EMG-30-2009
David Hauner, Ali M. Kutan and Christy Spivey"What Drives Crime? Evidence from Russia's Regions"

WP-EMG-29-2009
Bernd Hayo, Ali M. Kutan, and Matthias Neuenkirch
"FOMC Communication and Emerging Equity Markets"

WP-EMG-28-2009
Josef C. Brada, Ali M. Kutan and Goran Vukšic"The Costs of Moving Money across Borders and the Volume of Capital Flight: The Case of Russia and Other CIS Countries"

WP-EMG-27-2009
Jian Yang, Yinggang Zhou and Zijun Wang"The Stock-Bond Correlation and Macroeconomic Conditions: One and a Half Centuries of Evidence"

WP-EMG-26-2009
Xiaojing Su, Tao Wang and Jian Yang"Out of Sample Predictability in International Equity Markets: A Model Selection Approach"

WP-EMG-25-2009
Gulnur Muradoglu and Kristina Vasileva"Home Bias in Foreign Direct Investments"

WP-EMG-24-2009
Gulnur Muradoglu, Ceylan Onay and Kate Phylaktis
"Capital Structure and Debt Maturity in Europe: The Role of Integration and FDI"

WP-EMG-23-2009
Piotr Korczak and Kate Phylaktis"Related Securities, Allocation of Attention and Price Discovery: Evidence from NYSE -Listed Non-U.S. Stocks"

WP-EMG-22-2009
Bruce Hearn, Kate Phylaktis and Jenifer Piesse
"Legal Regime, Size, and Liquidity Factors in Asset Pricing"

WP-EMG-21-2009
Xiaoxiang Zhang, Jenifer Piesse and Igor Filatotchev"A Comparison of the Impact of Largest Family Shareholders and Institutional Blockholders on Informed Trading: Evidence from Hong Kong"

WP-EMG-20-2009
Mike Bowe, Stuart Hyde and Ike Johnson"Determining the Intensity of Buy and Sell Limit Order Submissions: a Look at the Market Preopening Period"

WP-EMG-19-2009
Slawa V. Roschkow, Ian Marsh and Natasha Todorovic"MICEX vs RTS, Battle of Exchanges: Who Wins the Order Flow Supremacy?"

WP-EMG-18-2009
Carol Osler and Vitaliy Vandrovych"Hedge Funds and the Origin of Private Information in Currency Markets"

WP-EMG-17-2009
Michael J. Moore and Richard Payne"Size, Specialism and the Nature of Informational Advantage in Inter-dealer Foreign Exchange Trading"

WP-EMG-16-2009Geir Bjonnes, Carol Osler and Dagfinn Rime"Assymetric Information in the Interbank Foreign Exchange Market"

WP-EMG-15-2009
Kate Phylaktis and Gikas Manalis"Futures Trading and Market Microstructure of the Underlying Security: A High Frequency Experiment at the Single Stock Future Level"

WP-EMG-14-2009
Albert J. Menkveld and Terry Hendershott"Price Pressures"

WP-EMG-13-2009
Tarun Chordia, Qing Tong, Michael Brennan and Avanidhar Subrahmanyam"Sell-side Illiquidity and the Cross-Section of Expected Stock Returns"

WP-EMG-12-2009
Bruce Hearn and Jenifer Piesse"Modelling Size and Illiquidity in West African Equity Markets"

WP-EMG-11-2009
Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad
"Financial Openness and Productivity"

WP-EMG-10-2009
Kate Phylaktis and Gikas Manalis"Futures Trading and Market Microstructure of the underlying security: A high frequency experiment at the single stock future level"

WP-EMG-09-2009
Kate Phylaktis"Emerging Markets Finance: Overview of the special issue of the Journal of International Money and Finance"

WP-EMG-08-2009
Sandro C. Andrade"A Model of Asset Pricing under Country Risk"

WP-EMG-07-2009
M. Ayhan Kose, Eswar S. Prasad and Marco E. Terrones
"Does Openness to International Financial Flows Raise Productivity Growth?"

WP-EMG-06-2009
Bill Francis, Iftekhar Hasan and Xian Sun
"Political Connections and the Process of Going Public: Evidence from China"

WP-EMG-05-2009
Chan Shik Jung, Dong Wook Lee and Kyung Suh Park
"Can Investor Heterogeneity be used to explain the Cross-section of Average Stock Returns in Emerging Markets?"

WP-EMG-04-2009
Alexander Groh and Heinrich von Liechtenstein
"How Attractive is Central Eastern Europe for Risk Capital Investors"

WP-EMG-03-2009
Beata S. Javorcik and Shang-Jin Wei"Corruption and Cross-border Investment in Emerging Markets: Firm-Level Evidence"

WP-EMG-02-2009
Gerben de Zwart, Thijs Markwat, Laurens Swinkels and Dick van Dijk"The Economic Value of Fundamental and Technical Information in Emerging Currency Markets"

WP-EMG-01-2009
Xiaochi Lin, Yi Zhang and Ning Zhu "Does Bank Ownership Increase Firm Value? Evidence from China"

2008

WP-EMG-08-2008
Marcos Chamon and Eswar Prasad"Why are Savings Rates of Urban Households in China Rising?"

WP- EMG-07-2008
Bruce Hearn and Jenifer Piesse
"The Opportunities and Costs of Portfolio Diversification in Southern Africa's Smallest Equity Markets"

WP- EMG-06-2008
Bruce Hearn, Jenifer Piesse and Roger Strange
"Market Liquidity and Stock Size Premia in Emerging Financial Markets: The Implications for Foreign Investment"

WP- EMG-05-2008
Nada Massoud
"FDI and Growth in Emerging Markets: Does the Sectoral Distribution Matter - The Case of Egypt"

WP-EMG-04-2008
Josef C. Brada, Ali M. Kutan and Goran Vuksic
"Capital Flight from Central and East European Countries: Estimates and Causes"

WP-EMG-03-2008
Shelagh Heffernan and Maggie Fu
"The Determinants of Bank Performance in China"

WP-EMG-02-2008
Kate Phylaktis and Long Chen
"Asymmetric Information, Price Discovery and Macroeconomic Announcements in FX Market: Do Top Trading Banks Know More?"

WP-EMG-01-2008
Kate Phylaktis and Long Chen
"Asymmetric Linkages between High-frequency DEM/USD and GBP/USD Exchange Rates"

2007

WP-EMG-07-2007
Kate Phylaktis and Antonis Aristidou
"Margin Changes and Futures Trading Activity: A New Approach"

WP-EMG-06-2007
Geert Bakaert, Eric Engstrom and Steve Grenadier
"Stock and Bond Returns with Moody Investors"

WP-EMG-05-2007
Geert Bakaert, Robert Hodrick and Xiaoyan Zhang
"International Stock Return Comovements"

WP-EMG-04-2007
Geert Bekaert, Campbell R. Harvey and Christian Lundblad
"Liquidity and Expected Returns: Lessons from Emerging Markets"

WP-EMG-03-2007
Ali M. Kutan and Gulnur Muradoglu
"Real and Financial Sector Returns, the IMF, and the Asian Crisis"

WP-EMG-02-2007
Kate Phylaktis and Long Chen
"Price Discovery in Foreign Exchange Markets: A Comparison of Indicative and Actual Transaction Prices"

WP-EMG-01-2007
Kate Phylaktis and Lichuan Xia
"Equity Market Comovement and Contagion: A Sectoral Perspective"

2006

WP-EMG-05-2006
Amy Kam, David Citron and Gulnur Muradoglu
"Value Creation in Distress Resolution: Market Impact of Restructuring Announcements in China"

WP-EMG-04-2006
Amy Kam, David Citron and Gulnur Muradoglu
"Financial Distress Resolution in China: A Case Study Approach"

WP-EMG-03-2006
Kate Phylaktis and Piotr Korczak
"Specialist Trading and the Price Discovery Process of NYSE-Listed Non-U.S. Stocks"

WP-EMG-02-2006
Mohsen Bahmani-Oskooee, Ali M. Kutan and Su Zhou
"Do Real Exchange Rates Follow a Non-Linear Mean Reverting Process in Developing Countries?"

WP-EMG-01-2006
Mohsen Bahmani-Oskooee and Ali M. Kutan
"The J-Curve in the Emerging Economies of Eastern Europe"

2005

WP-EMG-11-2005
Joelle Miffre
"Conditional Risk Premia in International Government Bonds"

WP-EMG-08-2005
Geert Bekaert, Campbell R. Harvey and Christian Lundblad
"Global Growth Opportunities and Market Integration"

WP-EMG-07-2005
Elena Kalotychou and Sotiris K. Staikouras
"An Empirical Investigation of the Loan Concentration Risk in Latin America"

WP-EMG-06-2005
Geert Bekaert, Campbell R. Harvey and Christian Lundblad
"Growth Volatility and Financial Liberalization"

WP-EMG-05-2005
Antonis Aristidou and Kate Phylaktis
"Security Transaction Taxes and Financial Volatility: Evidence from the Athens Stock Exchange"

WP-EMG-04-2005
Kate Phylaktis and Lichuan Xia
"Sources of Firms' Industry and Country Effects in Emerging Markets"

WP-EMG-03-2005
C Hawkesby, Ian Marsh and I Stevens
"Comovements in the Prices of Securities Issued by Large Complex Financial Institutions"

WP-EMG-02-2005
Ian Marsh and C. O'Rourke
"Customer Order Flows in Foreign Exchange Markets: Do They Really Contain Information?"

WP-EMG-01-2005
Kate Phylaktis and Lichuan Xia
"The Changing Role of Industry and Country Effects in the Global Equity Markets"

2004

WP-EMG-04-2004
Ana-Maria Fuertes and Elena Kalotychou
"Towards the Optimal Design of an Early Warning System for Sovereign Debt Crises"

WP-EMG-03-2004
Josef C. Brada, Ali M. Kutan and Taner M.Yigit
"The Effects of Transition and Political Instability on Foreign Direct Investment Inflows; Central Europe and the Balkans"

WP-EMG-02-2004
Kate Phylaktis and Piotr Korczak
"Specialist Trading and the Price Discovery Process of NYSE-Listed Non-US Stocks"

WP-EMG-01-2004
Giovanni Urga, John Bennett, Saul Estrin and James Maw
"Privatization Methods and Economic Growth"

2003

WP-EMG-07-2003
Jerry Coakley, Ana-Maria Fuertes and Andrew Wood
"A New Interpretation of the Exchange Rate - Yield Differential Nexus"

WP-EMG-06-2003
Geart Bekaert, Campbell Harvey and Angela Ng
"Market Integration and Contagion"

WP-EMG-05-2003
Geart Bekaert and Andrew Ang
"How do Regimes Affect Asset Allocation?"

WP-EMG-04-2003
Kate Phlaktis and Gikas Manalis
"Price Transmission Dynamics between Informationally Linked Securities"

WP-EMG-03-2003
Ali M. Kutan, Zijun Wang and Jian Yang
"Information Flows Within and Across Sectors in China's Emerging Stock Markets"

2002

WP-EMG-07-2002
Soosung Hwang and Christian Peterson
"Best Practice Risk Measurement in Emerging Markets"

WP-EMG-06-2002
Ali M. Kutan and Taner M. Yigit
"Nominal and Real Stohastic Convergence within the Transition Economies and the European Monetry Union: Evidence from Panel Data"

WP-EMG-05-2002
Kate Phylaktis and Fabiola Ravazzolo
"Measuring Financial and Economic Integration with Equity Prices in Emerging Markets"

WP-EMG-04-2002
Ali M. Kutan and Stella M. Perez
"Does organised crime affect stock market development? Evidence from Colombia"

WP-EMG-03-2002
Kate Phylaktis and Fabiola Ravazzolo
"Currency Risk Premium in Emerging Markets"

WP-EMG-02-2002
Kate Phylaktis and Fabiola Ravazzolo
"Stock Market Linkages in Emerging Markets: Implications for International Portfolio Diversification"

WP-EMG-01-2002
Giovanni Urga and S.Hall
"Testing for Time-Varying Stock Market Efficiency using Russian Stock Prices"

2001

WP-EMG-01-2001
Soosung Hwangand Mark Salmon
"A New Measure of Herding and Empirical Evidence for the US, UK, and South Korean Stock Markets"

1999

WP-EMG-02-1999
Ana-Maria Fuertes and Jerry Coakley
"Rethinking the Forward Premium Puzzle in a Nonlinear Framework"

WP-EMG-01-1999
Kate Phylaktis and Fabiola Ravazzolo
"Stock Prices and Exchange Rate Dynamics"