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International Securities
The world of finance has been revolutionized in the last twenty years by factors such as the liberalization and subsequent integration of global financial markets and the advances in computing and communications technology. Thsee important changes have led to a stream of financial innovations and theoretical breakthroughs in the area of pricing diverse financial instruments. More than ever before, we witness a process where international securities are traded in a global marketplace.
This comprehensive collection encompasses the most recent contributions in the area of international securities. It includes the most important articles on current issues and future development in this key area of international finance. It will be an essential source of reference to researchers, students and practitioners alike.
This comprehensive collection encompasses the most recent contributions in the area of international securities. It includes the most important articles on current issues and future development in this key area of international finance. It will be an essential source of reference to researchers, students and practitioners alike.
More Information
Contributors
Contents
More Information
The world of finance has been revolutionized in the last twenty years by factors such as the liberalization and subsequent integration of global financial markets and the advances in computing and communications technology. These important changes have led to a stream of financial innovations and theoretical breakthroughs in the area of pricing diverse financial instruments. More than ever before, we witness a process where international securities are traded in a global marketplace.
This comprehensive collection encompasses the most recent contributions in the area of international securities. It includes the most important articles on current issues and future development in this key area of international finance. It will be an essential source of reference to researchers, students and practitioners alike.
This comprehensive collection encompasses the most recent contributions in the area of international securities. It includes the most important articles on current issues and future development in this key area of international finance. It will be an essential source of reference to researchers, students and practitioners alike.
Contributors
70 articles, dating from 1983 to 1999
Contributors include: R.A. Defusco, P. Jorion, R.W. Kopcke, M.H. Miller, R. Roll
Contributors include: R.A. Defusco, P. Jorion, R.W. Kopcke, M.H. Miller, R. Roll
Contents
Contents:
Volume I
Acknowledgements
Foreword Richard Roll
Preface George Philippatos and Gregory Koutmos
Introduction George Philippatos and Gregory Koutmos
PART I INTERNATIONAL EQUITIES
1. Richard O. Michaud, Gary L. Bergstrom, Ronald D. Frashure and Brian K. Wolahan (1996), ‘Twenty Years of International Equity Investing’
2. Giorgio De Santis and Bruno Gérard (1997), ‘International Asset Pricing and Portfolio Diversification with Time-Varying Risk’
3. Gregory Koutmos (1992), ‘Asymmetric Volatility and Risk Return Tradeoff in Foreign Stock Markets’
4. Richard Roll (1992), ‘Industrial Structure and the Comparative Behavior of International Stock Market Indices’
5. Cheol S. Eun and S. Janakiramanan (1986), ‘A Model of International Asset Pricing with a Constraint on the Foreign Equity Ownership’
6. Shinsuke Ikeda (1991), ‘Arbitrage Asset Pricing under Exchange Risk’
7. Antonios Antoniou, Ian Garrett and Richard Priestley (1998), ‘Macroeconomic Variables as Common Pervasive Risk Factors and the Empirical Content of the Arbitrage Pricing Theory’
PART II INTERNATIONAL DIVERSIFICATION AND PORTFOLIO MANAGEMENT
8. Philippe Jorion and Leonid Roisenberg (1993), ‘Synthetic International Diversification’
9. Cheol S. Eun, Richard Kolodny and Bruce G. Resnick (1991), ‘U.S.-based International Mutual Funds: A Performance Evaluation’
10. Hiroshi Konno and Jing Li (1998), ‘Internationally Diversified Investment Using an Integrated Portfolio Model’
11. Bing Liang (1999), ‘On the Performance of Hedge Funds’
12. Richard Roll and Stephen A. Ross (1984), ‘The Arbitrage Pricing Theory Approach to Strategic Portfolio Planning’
PART III SECURITY CROSS LISTINGS AND MULTINATIONALS
13. Richard A. DeFusco, George C. Philippatos and Dosoung Choi (1988), ‘Risk, Return and International Investment by US Corporations’
14. John Doukas and Nickolaos G. Travlos (1988), ‘The Effect of Corporate Multinationalism on Shareholders’ Wealth: Evidence from International Acquisitions’
15. Anna D. Martin, Jeff Madura and Aigbe Akhigbe (1999), ‘Economic Exchange Rate Exposure of U.S.-Based MNCs Operating in Europe’
16. Dennis T. Officer and J. Ronald Hoffmeister (1987), ‘ADRs: A Substitute for the Real Thing?’
17. Leonard Rosenthal (1983), ‘An Empirical Test of the Efficiency of the ADR Market’
18. Richard A. DeFusco, George C. Philippatos and Dosoung Choi (1990), ‘Differences in Factor Structures between U.S. Multinational and Domestic Corporations: Evidence from Bilinear Paradigm Tests’
19. John S. Howe and Jeff Madura (1990), ‘The Impact of International Listings on Risk: Implications for Capital Market Integration’
20. Shelly E. Webb, Dennis T. Officer and Bryan E. Boyd (1995), ‘An Examination of International Equity Markets Using American Depositary Receipts (ADRs)’
PART IV INTERNATIONAL FIXED INCOME SECURITIES
21. Gregory Koutmos (1996), ‘Time Varying Risk Premia in Eurocurrency Rates’
22. Gikas A. Hardouvelis (1994), ‘The Term Structure Spread and Future Changes in Long and Short Rates in the G7 Countries: Is There a Puzzle?’
23. Richard W. Kopcke and Ralph C. Kimball (1999), ‘Inflation-Indexed Bonds: The Dog That Didn''t Bark’
24. Charles Pigott (1993–1994), ‘International Interest Rate Convergence: A Survey of the Issues and Evidence’
25. Peter Kugler (1990), ‘The Term Structure of Euro Interest Rates and Rational Expectations’
PART V FOREIGN EXCHANGE MARKETS
26. Craig S. Hakkio and Anne Sibert (1995), ‘The Foreign Exchange Risk Premium: Is It Real?’
27. Bernard Dumas and Bruno Solnik (1995), ‘The World Price of Foreign Exchange Risk’
28. Richard W. Kopcke (1999), ‘Currency Boards: Once and Future Monetary Regimes?’
29. Christopher J. Neely (1994), ‘Realignments of Target Zone Exchange Rate Systems: What Do We Know?’
30. Simon Wren-Lewis (1997), ‘The Choice of Exchange Rate Regime’
31. Gregory Koutmos (1994), ‘Time Dependent Autocorrelation in EMS Exchange Rates’
32. Jeffrey D. Sachs (1996), ‘Economic Transition and the Exchange-Rate Regime’
PART VI INTERNATIONAL BANKING
33. John D. Wagster (1996), ‘Impact of the 1988 Basle Accord on International Banks’
34. Gary C. Zimmerman (1995), ‘Implementing the Single Banking Market in Europe’
35. Fariborz Moshirian (1993), ‘Determinants of International Financial Services’
36. Anthony Saunders (1999), ‘Consolidation and Universal Banking’
37. Anjan V. Thakor (1999), ‘Information Technology and Financial Services Consolidation’
Name Index
Volume II
Acknowledgements
A preface by the editors to both volumes appear in Volume I
Introduction George Philippatos and Gregory Koutmos
PART I GLOBALIZATION OF FINANCIAL MARKETS
1. Peter A. Abken (1991), ‘Globalization of Stock, Futures, and Options Markets’
2. G.C. Philippatos, A. Christofi and P. Christofi (1983), ‘The Inter-Temporal Stability of International Stock Market Relationships: Another View’
3. Steven L. Heston, K. Geert Rouwenhorst and Roberto E. Wessels (1995), ‘The Structure of International Stock Returns and the Integration of Capital Markets’
4. Gregory Koutmos (1996), ‘Modeling the Dynamic Interdependence of Major European Stock Markets’
5. François Longin and Bruno Solnik (1995), ‘Is the Correlation in International Equity Returns Constant: 1960–1990?’
6. Bala Arshanapalli and John Doukas (1993), ‘International Stock Market Linkages: Evidence from the Pre- and Post-October 1987 Period’
7. Philippe Jorion and William N. Goetzmann (1999), ‘Global Stock Markets in the Twentieth Century’
8. M. Wayne Marr, John L. Trimble and Raj Varma (1991), ‘On the Integration of International Capital Markets: Evidence from Euroequity Offerings’
PART II INTERACTIONS OF FINANCIAL MARKETS AND PRICE DYNAMICS
9. George C. Philippatos, Efi Pilarinu and A.G. Malliaris (1993), ‘Chaotic Behavior in Prices of European Equity Markets: A Comparative Analysis of Major Economic Regions’
10. Gregory Koutmos and G. Geoffrey Booth (1995), ‘Asymmetric Volatility Transmission in International Stock Markets’
11. Johan Knif and Seppo Pynnönen (1999), ‘Local and Global Price Memory of International Stock Markets’
12. Gregory Koutmos (1997), ‘Feedback Trading and the Autocorrelation Pattern of Stock Returns: Further Empirical Evidence’
13. Robert F. Engle and Raul Susmel (1993), ‘Common Volatility in International Equity Markets’
PART III EMERGING MARKETS
14. John Mullin (1993), ‘Emerging Equity Markets in the Global Economy’
15. Gregory Koutmos (1997), ‘Do Emerging and Developed Stock Markets Behave Alike? Evidence from Six Pasific Basin Stock Markets’
16. Gregory Koutmos (1999), ‘Asymmetric Price and Volatility Adjustments in Emerging Asian Stock Markets’
17. Richard A. DeFusco, John M. Geppert and George P. Tsetsekos (1996), ‘Long-Run Diversification Potential in Emerging Stock Markets’
18. Claude B. Erb, Campbell R. Harvey and Tadas E. Viskanta (1999), ‘New Perspectives on Emerging Market Bonds’
19. Geet Bekaert and Michael S. Urias (1999), ‘Is There a Free Lunch in Emerging Market Equities?’
20. Vihang Errunza, Lemma W. Senbet and Ked Hogan (1998), ‘The Pricing of Country Funds from Emerging Markets: Theory and Evidence’
PART IV INTERNATIONAL DERIVATIVE SECURITIES
21. Tribhuvan N. Puri and George C. Philippatos (1993), ‘Equilibrium Pricing Functions of Foreign Exchange Forward, Futures, and Option Contracts’
22. Darrell Duffie (1999), ‘Credit Swap Valuation’
23. Lixin Wu, Yue Kuen Kwok and Hong Yu (1999), ‘Asian Options with the American Early Exercise Feature’
24. Ajay Dravid, Matthew Richardson and Tong-sheng Sun (1994), ‘The Pricing of Dollar-Denominated Yen/DM Warrants’
25. Merton H. Miller (1995), ‘Do We Really Need More Regulation of Financial Derivatives?’
PART V EUROPEAN MONETARY UNION AND IMPLICATIONS FOR FINANCIAL MARKETS
26. Stan Beckers (1999), ‘Investment Implications of a Single European Capital Market’
27. Anil K. Kashyap and Jeremy C. Stein (1997), ‘The Role of Banks in Monetary Policy: A Survey with Implications for the European Monetary Union’
28. Daniel Gros (1998), ‘EMU and Capital Markets: Big Bang or Glacier?’
PART VI INTERNATIONAL FINANCIAL CRISES
29. George C. Philippatos and K.G. Viswanathan (1991), ‘Brazilian Debt Crisis and Financial Markets: An Analysis of Major Economic Events Leading to the Brazilian Debt Moratorium’
30. Richard Roll (1988), ‘The International Crash of October 1987’
31. Merton H. Miller (1998), ‘The Current Southeast Asia Financial Crisis’
32. Steven B. Kamin (1999), ‘The Current International Financial Crisis: How Much is New?’
33. Joseph E. Stiglitz (1999), ‘Reforming the Global Economic Architecture: Lessons from Recent Crises’
Name Index
Volume I
Acknowledgements
Foreword Richard Roll
Preface George Philippatos and Gregory Koutmos
Introduction George Philippatos and Gregory Koutmos
PART I INTERNATIONAL EQUITIES
1. Richard O. Michaud, Gary L. Bergstrom, Ronald D. Frashure and Brian K. Wolahan (1996), ‘Twenty Years of International Equity Investing’
2. Giorgio De Santis and Bruno Gérard (1997), ‘International Asset Pricing and Portfolio Diversification with Time-Varying Risk’
3. Gregory Koutmos (1992), ‘Asymmetric Volatility and Risk Return Tradeoff in Foreign Stock Markets’
4. Richard Roll (1992), ‘Industrial Structure and the Comparative Behavior of International Stock Market Indices’
5. Cheol S. Eun and S. Janakiramanan (1986), ‘A Model of International Asset Pricing with a Constraint on the Foreign Equity Ownership’
6. Shinsuke Ikeda (1991), ‘Arbitrage Asset Pricing under Exchange Risk’
7. Antonios Antoniou, Ian Garrett and Richard Priestley (1998), ‘Macroeconomic Variables as Common Pervasive Risk Factors and the Empirical Content of the Arbitrage Pricing Theory’
PART II INTERNATIONAL DIVERSIFICATION AND PORTFOLIO MANAGEMENT
8. Philippe Jorion and Leonid Roisenberg (1993), ‘Synthetic International Diversification’
9. Cheol S. Eun, Richard Kolodny and Bruce G. Resnick (1991), ‘U.S.-based International Mutual Funds: A Performance Evaluation’
10. Hiroshi Konno and Jing Li (1998), ‘Internationally Diversified Investment Using an Integrated Portfolio Model’
11. Bing Liang (1999), ‘On the Performance of Hedge Funds’
12. Richard Roll and Stephen A. Ross (1984), ‘The Arbitrage Pricing Theory Approach to Strategic Portfolio Planning’
PART III SECURITY CROSS LISTINGS AND MULTINATIONALS
13. Richard A. DeFusco, George C. Philippatos and Dosoung Choi (1988), ‘Risk, Return and International Investment by US Corporations’
14. John Doukas and Nickolaos G. Travlos (1988), ‘The Effect of Corporate Multinationalism on Shareholders’ Wealth: Evidence from International Acquisitions’
15. Anna D. Martin, Jeff Madura and Aigbe Akhigbe (1999), ‘Economic Exchange Rate Exposure of U.S.-Based MNCs Operating in Europe’
16. Dennis T. Officer and J. Ronald Hoffmeister (1987), ‘ADRs: A Substitute for the Real Thing?’
17. Leonard Rosenthal (1983), ‘An Empirical Test of the Efficiency of the ADR Market’
18. Richard A. DeFusco, George C. Philippatos and Dosoung Choi (1990), ‘Differences in Factor Structures between U.S. Multinational and Domestic Corporations: Evidence from Bilinear Paradigm Tests’
19. John S. Howe and Jeff Madura (1990), ‘The Impact of International Listings on Risk: Implications for Capital Market Integration’
20. Shelly E. Webb, Dennis T. Officer and Bryan E. Boyd (1995), ‘An Examination of International Equity Markets Using American Depositary Receipts (ADRs)’
PART IV INTERNATIONAL FIXED INCOME SECURITIES
21. Gregory Koutmos (1996), ‘Time Varying Risk Premia in Eurocurrency Rates’
22. Gikas A. Hardouvelis (1994), ‘The Term Structure Spread and Future Changes in Long and Short Rates in the G7 Countries: Is There a Puzzle?’
23. Richard W. Kopcke and Ralph C. Kimball (1999), ‘Inflation-Indexed Bonds: The Dog That Didn''t Bark’
24. Charles Pigott (1993–1994), ‘International Interest Rate Convergence: A Survey of the Issues and Evidence’
25. Peter Kugler (1990), ‘The Term Structure of Euro Interest Rates and Rational Expectations’
PART V FOREIGN EXCHANGE MARKETS
26. Craig S. Hakkio and Anne Sibert (1995), ‘The Foreign Exchange Risk Premium: Is It Real?’
27. Bernard Dumas and Bruno Solnik (1995), ‘The World Price of Foreign Exchange Risk’
28. Richard W. Kopcke (1999), ‘Currency Boards: Once and Future Monetary Regimes?’
29. Christopher J. Neely (1994), ‘Realignments of Target Zone Exchange Rate Systems: What Do We Know?’
30. Simon Wren-Lewis (1997), ‘The Choice of Exchange Rate Regime’
31. Gregory Koutmos (1994), ‘Time Dependent Autocorrelation in EMS Exchange Rates’
32. Jeffrey D. Sachs (1996), ‘Economic Transition and the Exchange-Rate Regime’
PART VI INTERNATIONAL BANKING
33. John D. Wagster (1996), ‘Impact of the 1988 Basle Accord on International Banks’
34. Gary C. Zimmerman (1995), ‘Implementing the Single Banking Market in Europe’
35. Fariborz Moshirian (1993), ‘Determinants of International Financial Services’
36. Anthony Saunders (1999), ‘Consolidation and Universal Banking’
37. Anjan V. Thakor (1999), ‘Information Technology and Financial Services Consolidation’
Name Index
Volume II
Acknowledgements
A preface by the editors to both volumes appear in Volume I
Introduction George Philippatos and Gregory Koutmos
PART I GLOBALIZATION OF FINANCIAL MARKETS
1. Peter A. Abken (1991), ‘Globalization of Stock, Futures, and Options Markets’
2. G.C. Philippatos, A. Christofi and P. Christofi (1983), ‘The Inter-Temporal Stability of International Stock Market Relationships: Another View’
3. Steven L. Heston, K. Geert Rouwenhorst and Roberto E. Wessels (1995), ‘The Structure of International Stock Returns and the Integration of Capital Markets’
4. Gregory Koutmos (1996), ‘Modeling the Dynamic Interdependence of Major European Stock Markets’
5. François Longin and Bruno Solnik (1995), ‘Is the Correlation in International Equity Returns Constant: 1960–1990?’
6. Bala Arshanapalli and John Doukas (1993), ‘International Stock Market Linkages: Evidence from the Pre- and Post-October 1987 Period’
7. Philippe Jorion and William N. Goetzmann (1999), ‘Global Stock Markets in the Twentieth Century’
8. M. Wayne Marr, John L. Trimble and Raj Varma (1991), ‘On the Integration of International Capital Markets: Evidence from Euroequity Offerings’
PART II INTERACTIONS OF FINANCIAL MARKETS AND PRICE DYNAMICS
9. George C. Philippatos, Efi Pilarinu and A.G. Malliaris (1993), ‘Chaotic Behavior in Prices of European Equity Markets: A Comparative Analysis of Major Economic Regions’
10. Gregory Koutmos and G. Geoffrey Booth (1995), ‘Asymmetric Volatility Transmission in International Stock Markets’
11. Johan Knif and Seppo Pynnönen (1999), ‘Local and Global Price Memory of International Stock Markets’
12. Gregory Koutmos (1997), ‘Feedback Trading and the Autocorrelation Pattern of Stock Returns: Further Empirical Evidence’
13. Robert F. Engle and Raul Susmel (1993), ‘Common Volatility in International Equity Markets’
PART III EMERGING MARKETS
14. John Mullin (1993), ‘Emerging Equity Markets in the Global Economy’
15. Gregory Koutmos (1997), ‘Do Emerging and Developed Stock Markets Behave Alike? Evidence from Six Pasific Basin Stock Markets’
16. Gregory Koutmos (1999), ‘Asymmetric Price and Volatility Adjustments in Emerging Asian Stock Markets’
17. Richard A. DeFusco, John M. Geppert and George P. Tsetsekos (1996), ‘Long-Run Diversification Potential in Emerging Stock Markets’
18. Claude B. Erb, Campbell R. Harvey and Tadas E. Viskanta (1999), ‘New Perspectives on Emerging Market Bonds’
19. Geet Bekaert and Michael S. Urias (1999), ‘Is There a Free Lunch in Emerging Market Equities?’
20. Vihang Errunza, Lemma W. Senbet and Ked Hogan (1998), ‘The Pricing of Country Funds from Emerging Markets: Theory and Evidence’
PART IV INTERNATIONAL DERIVATIVE SECURITIES
21. Tribhuvan N. Puri and George C. Philippatos (1993), ‘Equilibrium Pricing Functions of Foreign Exchange Forward, Futures, and Option Contracts’
22. Darrell Duffie (1999), ‘Credit Swap Valuation’
23. Lixin Wu, Yue Kuen Kwok and Hong Yu (1999), ‘Asian Options with the American Early Exercise Feature’
24. Ajay Dravid, Matthew Richardson and Tong-sheng Sun (1994), ‘The Pricing of Dollar-Denominated Yen/DM Warrants’
25. Merton H. Miller (1995), ‘Do We Really Need More Regulation of Financial Derivatives?’
PART V EUROPEAN MONETARY UNION AND IMPLICATIONS FOR FINANCIAL MARKETS
26. Stan Beckers (1999), ‘Investment Implications of a Single European Capital Market’
27. Anil K. Kashyap and Jeremy C. Stein (1997), ‘The Role of Banks in Monetary Policy: A Survey with Implications for the European Monetary Union’
28. Daniel Gros (1998), ‘EMU and Capital Markets: Big Bang or Glacier?’
PART VI INTERNATIONAL FINANCIAL CRISES
29. George C. Philippatos and K.G. Viswanathan (1991), ‘Brazilian Debt Crisis and Financial Markets: An Analysis of Major Economic Events Leading to the Brazilian Debt Moratorium’
30. Richard Roll (1988), ‘The International Crash of October 1987’
31. Merton H. Miller (1998), ‘The Current Southeast Asia Financial Crisis’
32. Steven B. Kamin (1999), ‘The Current International Financial Crisis: How Much is New?’
33. Joseph E. Stiglitz (1999), ‘Reforming the Global Economic Architecture: Lessons from Recent Crises’
Name Index
