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Forthcoming Articles
Volume 4, Numbers 3 & 4 / September/December 2000 , Pages 159-288
Multinational Finance Journal, 2000, vol. 4, no. 3&4, pp. 155-157 | https://doi.org/10.17578/4-3/4-1
Yin-Wong Cheung , University of California Santa Cruz, U.S.A.    Corresponding Author

Abstract:
no abstract

Keywords : n/a
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Multinational Finance Journal, 2000, vol. 4, no. 3&4, pp. 159-179 | https://doi.org/10.17578/4-3/4-2
Torben G. Andersen , Northwestern University, U.S.A.    Corresponding Author
Tim Bollerslev , Duke University and NBER, U.S.A.
Francis X. Diebold , University of Pennsylvania and NBER, U.S.A.
Paul Labys , University of Pennsylvania, U.S.A.

Abstract:
It is well known that high-frequency asset returns are fat-tailed relative to the Gaussian distribution, and that the fat tails are typically reduced but not eliminated when returns are standardized by volatilities estimated from popular ARCH and stochastic volatility models. We consider two major dollar exchange rates, and we show that returns standardized instead by the realized volatilities of Andersen, Bollerslev, Diebold and Labys (2000a) are very nearly Gaussian. We perform both univariate and multivariate analyses, and we trace the differing effects of the different standardizations to differences in information sets

Keywords : high-frequency data; integrated volatility; realized volatility; risk management
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Multinational Finance Journal, 2000, vol. 4, no. 3&4, pp. 181-200 | https://doi.org/10.17578/4-3/4-3
Michael Hertzel , Arizona State University, U.S.A.    Corresponding Author
Paul Lowengrub , Nathan Associates, U.S.A.
Michael Melvin , Arizona State University, U.S.A.

Abstract:
This article analyzes the impact on stock prices in the home market of important events associated with a U.S. listing. Events include the "filing effect" of financial statements made public by the SEC in preparation for an ADR program; the "announcement effect" of the forthcoming ADR program; and the "listing effect" of the first day of U.S. trading. The sample includes German firms that listed in the U.S. between 1991 and 1997. While German accounting standards allow firms to show profits when U.S. GAAP would show losses, we find that the reconciliation to U.S. GAAP reported in the "filing effect" is associated with positive abnormal returns. Perhaps this reflects self-selection where firms with nothing to hide list in the U.S. The announcement effects are mixed across firms. The listing effect is associated with positive abnormal returns. We also find some evidence of volume migrating from the home market to the U.S. after U.S. trading begins

Keywords : ADRs; international cross-listing; international equity markets; German stocks
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Multinational Finance Journal, 2000, vol. 4, no. 3&4, pp. 201-219 | https://doi.org/10.17578/4-3/4-4
Hailiang Yang , The University of Hong Kong, Hong Kong    Corresponding Author

Abstract:
This article presents a simple methodology for computing Value at Risk (VaR) for a portfolio of financial instruments that is sensitive to market risk, rating change, and default risk. An integrated model for market and credit risks is developed. The Jarrow, Lando and Turnbull model (the Markov chain model) is used to represent the dynamics of the credit rating. Procedures for calculating VaR are presented. Numerical illustration results are included

Keywords : credit rating; default risk; integrated risk management; Markov chain; value at risk
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Multinational Finance Journal, 2000, vol. 4, no. 3&4, pp. 221-245 | https://doi.org/10.17578/4-3/4-5
Cheol S. Eun , Georgia Institute of Technology, U.S.A.    Corresponding Author
H. Jonathan Jang , Inha University, Korea

Abstract:
In this paper, we examine the behavior of stock prices of individual firms with different bond ratings surrounding the October market crash of 1987 and therefrom make inferences about the significance of bankruptcy costs borne by stockholders. The key findings are as follows: Immediately following the crash, stock prices of firms with different bond ratings display dramatically divergent behavior. Specifically, stocks with speculative bond ratings exhibit significantly negative cumulative abnormal returns (CAR) in the wake of crash; the more speculative a firm's bond is, the more negative is the CAR of the firm's stock. Regression analysis confirms that there indeed exists a significantly negative relationship between the post-crash CARs and individual firms' bankruptcy risk proxied by their bond ratings, a variable that measures the likelihood of financial distress ex ante.

Keywords : n/a
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Multinational Finance Journal, 2000, vol. 4, no. 3&4, pp. 247-267 | https://doi.org/10.17578/4-3/4-6
Richard T. Baillie , Michigan State University, U.S.A.    Corresponding Author
Aydin A. Cecen , Central Michigan University, U.S.A.
Young-Wook Han , Michigan State University, U.S.A.

Abstract:
This article considers the use of the long memory volatility process, FIGARCH, in representing Deutschemark - US dollar spot exchange rate returns for both high and low frequency returns data. The FIGARCH model is found to be the preferred specification for both high frequency and daily returns data, with similar values of the long memory volatility parameter across frequencies, which is indicative of returns being generated by a self similar process. The BDS test for non-linearity is applied to the residuals of the model for the high frequency returns. No evidence is found to suggest that the procedure for filtering the high frequency returns to remove the intraday periodicity has induced any non-linearities in the residuals; and the FIGARCH specification is found to be adequate.

Keywords : BDS test; correlation dimension; FIGARCH; high frequency data; intra day periodicity; volatility
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Multinational Finance Journal, 2000, vol.4, no. 3&4, pp. 269-288 | https://doi.org/10.17578/4-3/4-7
W.C Lo , Open University of Hong Kong, Hong Kong    Corresponding Author
W.S. Chan , The University of Hong Kong, Hong Kong

Abstract:
Using a modified outlier identification procedure by Chen and Liu (1993), this article studies the large shocks of the Greater China stock markets. We find that while large shocks are typical in all the markets and more outliers appear in the Chinese stock markets than in the other markets. We also find that most of the outliers identified in the Hong Kong market cluster in the periods of the 1997 Asian financial crisis and after the government's market intervention in August 1998. With the exception of Hong Kong, most outliers seem to be driven by local events

Keywords : Greater China stock markets; large shocks; time series outliers
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