Search   Date Range  
  in   All Years to:
Volume 17, Numbers 1 & 2 / March/June 2013 , Pages 1-148
Multinational Finance Journal, 2013, vol. 17, no. 1/2, pp. 1-47 |
Anand B. Gulati , Hanken School of Economics, Finland    Corresponding Author
James W. Kolari , Texas A&M University, USA
Johan Knif , Hanken School of Economics, Finland

This study empirically examines how exchange rate shocks affect firms’ competitiveness in the small, export-oriented country of Finland. Specifically, using Sweden as a benchmark and controlling for cross-country sector and industry effects, the forex competition hypothesis is tested using the impact of exchange rate shocks on Finnish stock returns. The empirical tests reveal statistically significant exchange rate exposure of Finnish stock returns. Comparing pre- versus post-euro periods, equities’ exchange rate exposure is much stronger after the introduction of the euro. Further results indicate that Finnish and Swedish sector and industry stock returns positively co-move. This implies market integration in contradiction to the forex competition hypothesis. However, for some sectors and industries interaction variables reveal that the co-movement is conditional on exchange rate movements, especially in the post-euro period.

Keywords : exchange rate exposure; stock returns; cross-country industry competition; market integration; pre- and post-euro
View in Bib TeX Format      View Cite Format 1      View Cite Format 2      
Multinational Finance Journal, 2013, vol. 17, no. 1/2, pp. 49-76 |
Dimitris Kenourgios , University of Athens, Greece    Corresponding Author
Dimitrios Dimitriou , University of Athens, Greece
Apostolos Christopoulos , University of Athens, Greece

This study investigates the contagion effects of the 2007-2009 global financial crisis across multiple asset markets and different regions. It uses daily return data of six asset classes: stocks, bonds, commodities, shipping, foreign exchange and real estate. A robust analysis of financial contagion is provided by estimating and comparing asymmetric conditional correlations among asset markets during stable and turmoil periods. Results provide evidence on the existence of a correlated-information channel as a contagion mechanism among the US stocks, real estate, commodities and emerging Brazilian bond index. The findings also support the decoupling of BRIC equity markets from the crisis, the diversification benefits of shipping and foreign exchange value of the US dollar indices, and the existence of a flight to quality mechanism from risky US assets to German bonds. This evidence has important implications for portfolio diversification strategies and the future work of policymakers.

Keywords : global financial crisis; asset markets; contagion; asymmetric dynamic conditional correlations
View in Bib TeX Format      View Cite Format 1      View Cite Format 2      
Multinational Finance Journal, 2013, vol. 17, no. 1/2, pp. 77-106 |
Xiangnan Meng , University of South Australia, Australia
Xin Deng , University of South Australia, Australia    Corresponding Author

This study employs a GARCH model to investigate the effects of interest rate and foreign exchange rate changes on Chinese banks’ stock returns. The results suggest that market movement and foreign exchange rate changes are statistically significant in explaining banks’ stock returns, despite different reactions from different bank portfolios in regard to risks. Interest rate fluctuations, on the other hand, appear to be insignificant factors in equity pricing. The results confirm the link between market risks and stock returns and highlight the need for further interest rate liberalization.

Keywords : risks; GARCH; banking industry; China
View in Bib TeX Format      View Cite Format 1      View Cite Format 2      
Multinational Finance Journal, 2013, vol. 17, no. 1/2, pp. 107-148 |
Dimitrios V Kousenidis , Aristotle University of Thessaloniki, Greece    Corresponding Author
Christos Negakis , University of Macedonia, Greece

In the present paper we study the performance of young closed-end funds (CEFs) in Greece. Using monthly CEF data from 1997 to 2007, we provide evidence showing that young funds underperform both old funds and the market. As in Kaplan and Schoar (2005), we note that new underperforming funds occur more frequently during hot market periods, potentially due to the presence of uninformed investors. The entrance of the newly raised funds in the market dilutes the overall industry performance and motivates financial institutions to take over fairly-performing subsidiary funds. As a result, well-performing funds are gradually delisted from the market and eventually only poor-performing funds survive. In this context the takeover activities prevail as a rational explanation for the underperformance and the shrinking of the closed-end fund industry in Greece

Keywords : closed-end funds; young fund underperformance; models of portfolio performance; ATHEX
View in Bib TeX Format      View Cite Format 1      View Cite Format 2      

Copyright © 2010. All rights reserved. Multinational Finace Society. Design and Development by: Exarsis Business Solutions Ltd.

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.