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Forthcoming Articles
Volume 3, Number 1 / March 1999 , Pages 1-70
Multinational Finance Journal, 1999, vol. 3, no. 1, pp. 1-17 | https://doi.org/10.17578/3-1-1
Pekka Ahtiala , University of Tampere, Finland    Corresponding Author
Yair E. Orgler , Tel Aviv University, Israel

Abstract:
The paper explores the conditions whereby an exporter can gain a competitive advantage by offering a buyer a contract with a choice of invoice currencies rather than a single currency, and determines the value of such a choice. The model incorporates accounts-payable management with exchange- risk management, taking into account the forward exchange rate and the seller's assumptions about the buyer's initial foreign exchange position, its expectations about the future spot rate, and its risk premium. It demonstrates how the value of a choice depends on these variables, as well as on the market interest rates in the two currencies, and on the implicit conversion factor that the seller uses in pricing in different currencies.

Keywords : invoice currency choice; payment terms in foreign trade
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Multinational Finance Journal, 1999, vol. 3, no. 1, pp. 19-40 | https://doi.org/10.17578/3-1-2
Nikitas Niarchos , University of Athens, Greece    Corresponding Author
Yiuman Tse , State University of New York at Binghamton, U.S.A.
Chunchi Wu , Syracuse University, U.S.A.
Allan Young , Syracuse University, U.S.A.

Abstract:
This article investigates the international information transmission between the U.S. and Greek stock markets using daily data from the Athens Stock Exchange (ASE) and the S&P 500 Index returns. It employs a bivariate exponential GARCH-t (EGARCH-t) that allows for both mean and variance spillovers between the two markets. It also performs cointegration tests on the long-run relation between these two markets and explores the possible common volatility feature in the spirit of Engle and Kozicki (1993). The results show no spillovers between these two markets for the conditional mean and variance. Also, the cointegration test shows that these two markets are not driven by a common trend. It appears that the U.S. and Greek stock markets are not related to each other, either in the short-run or in the long-run. Contrary to previous studies of the world’s large financial markets, the evidence here shows that the U.S. market does not have a strong influence on the Greek stock market.

Keywords : cointegration; clustering; EGARCH; heteroskedasticity; spillover
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Multinational Finance Journal, 1999, vol. 3, no. 1, pp. 41-70 | https://doi.org/10.17578/3-1-3
Hung-Gay Fung , University of Missouri, U.S.A.    Corresponding Author
Wai K. Leung , University of Hong Kong, Hong Kong
Gary A. Patterson , University of South Florida, U.S.A.

Abstract:
Numerous studies have examined trading strategies that seek to exploit price reversal behaviors in the U.S. stock market. The evidence to date suggests that taking a long position in U.S. stocks with negative returns (losers) and a short position in stocks that have positive returns (winners) may yield large profits. This article expands this line of research by applying these trading rules to Pacific Basin markets. Striking differences in the pattern of portfolio returns between most Pacific Basin markets and those in the U.S. market are found. This article demonstrates that profitable trading strategies developed in the U.S. may not be successfully transferred to other national markets.

Keywords : Pacific Basin and U.S. stock markets; trading rules; transaction costs
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