Template-Type: ReDIF-Article 1.0 Author-Name: Mouna Abdelhedi-Zouch Author-X-Name-First: Mouna Author-X-Name-Last: Abdelhedi-Zouch Author-Name: Mouna Boujelbene Abbes Author-X-Name-First: Mouna Boujelbene Author-X-Name-Last: Abbes Author-Name: Younes Boujelbene Author-X-Name-First: Younes Author-X-Name-Last: Boujelbene Title: Subprime crisis and volatility spillover Abstract: The subprime financial crisis has sparked our interest in identifying channels through which US crisis spread across 20 developed and emerging stock markets. Empirical results of GARCH and EGARCH estimated models show a high persistence and asymmetric effect of volatility. Estimation of an augmented GARCH model indicates that the US current crisis spilled over American, European, Asian and Arabic financial markets. Interestingly, there are significant spillovers of volatility to Asian markets from UK and Swiss. Financial markets of Japan, Korea and especially Singapore constitute a channel through which crises are transmitted across global equity return. Journal: Int. J. of Monetary Economics and Finance Pages: 1-20 Issue: 1 Volume: 4 Year: 2011 Keywords: subprime crisis; volatility persistence; asymmetric effect; volatility spillover; developed markets; emerging markets; EGARH model; augmented GARCH model; financial crisis; stock markets. File-URL: http://www.inderscience.com/link.php?id=38266 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:4:y:2011:i:1:p:1-20 Template-Type: ReDIF-Article 1.0 Author-Name: Damjan Kozamernik Author-X-Name-First: Damjan Author-X-Name-Last: Kozamernik Author-Name: Tina Zumer Author-X-Name-First: Tina Author-X-Name-Last: Zumer Title: Monetary policy and the disinflation on the way to the euro in Slovenia Abstract: To cope with the inflation increase to almost 10%, coupled with a weakened external position, in 1999 the Bank of Slovenia (BoS) implemented inflation targeting within a managed float regime. On the basis of the estimated macroeconomic transmission, we argue in favour of using an interest rate rule to achieve price stability. Furthermore, the inflation response to shocks is found to be highly persistent, which points to a strong need for active macroeconomic policy to maintain price stability. The increase in interest rates after 2000 strongly contributed to resuming of the disinflation trend. While the exchange rate was roughly neutral, a moderately negative output-gap, falling oil prices and inflation expectations also contributed to disinflation. Journal: Int. J. of Monetary Economics and Finance Pages: 21-48 Issue: 1 Volume: 4 Year: 2011 Keywords: monetary policy framework; Slovenia; transmission mechanism; small-size dynamic macro models; interest rate channel; credit channel; exchange rate pass-through; disinflation; euro adoption; inflation; price stability; interest rates; macroeconomic policy; disinflation. File-URL: http://www.inderscience.com/link.php?id=38267 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:4:y:2011:i:1:p:21-48 Template-Type: ReDIF-Article 1.0 Author-Name: Luisa Mueller Author-X-Name-First: Luisa Author-X-Name-Last: Mueller Author-Name: Dirk Schiereck Author-X-Name-First: Dirk Author-X-Name-Last: Schiereck Title: The role of timing at Mergers and Acquisitions in the banking industry Abstract: We identify 72 bank Mergers and Acquisitions (M&As), in which US banks acquired other financial institutions. We focus on the role of timing at M&A in the context of boom phase and financial crisis. Applying event study methodology, we examine: value generation to bank shareholders; value implications on bank shareholders according to rival banks' M&A considering whether transactions are undertaken prior to or during crisis. Since we identify JPMorgan Chase & Co. as crisis winner, we compare its returns with the results of competitors. The findings partially confirm our hypotheses that a well-performing bank creates value through M&A. Journal: Int. J. of Monetary Economics and Finance Pages: 49-76 Issue: 1 Volume: 4 Year: 2011 Keywords: M&A; mergers and acquisitions; bank mergers; event study; subprime mortgages; financial crisis; banking industry; value generation; US banks; USA; United States; value creation; subprime crisis. File-URL: http://www.inderscience.com/link.php?id=38268 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:4:y:2011:i:1:p:49-76 Template-Type: ReDIF-Article 1.0 Author-Name: Wissem Daadaa Author-X-Name-First: Wissem Author-X-Name-Last: Daadaa Author-Name: Mohamed Tahar Rajhi Author-X-Name-First: Mohamed Tahar Author-X-Name-Last: Rajhi Title: Stock splits, stock dividends and abnormal trading volume: evidence from Tunisia stock exchange Abstract: Although stock splits and stock dividends seem to be a purely cosmetic event, there exists ample empirical evidence that these events are associated with abnormal trading volume on both the announcement and the execution dates. This paper investigates the trading volume reaction to these events using a set of Tunisian firms. We find an abnormal trading volume around the announcement day of stock dividends. This result can be explained by the size of firms and by the neglected firm hypothesis. However, we do not find any reaction of volume around the announcement or the execution dates of stock splits. Journal: Int. J. of Monetary Economics and Finance Pages: 77-94 Issue: 1 Volume: 4 Year: 2011 Keywords: stock dividends; stock splits; abnormal volume; noisy trading; abnormal trading volume; cash dividends; Tunisia. File-URL: http://www.inderscience.com/link.php?id=38269 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:4:y:2011:i:1:p:77-94 Template-Type: ReDIF-Article 1.0 Author-Name: Ritesh Kumar Mishra Author-X-Name-First: Ritesh Kumar Author-X-Name-Last: Mishra Author-Name: Chandan Sharma Author-X-Name-First: Chandan Author-X-Name-Last: Sharma Title: An empirical test of Purchasing Power Parity in the post-Bretton Woods era: a panel data approach Abstract: After the collapse of Bretton-Woods system, it was believed that under flexible exchange rate system nominal exchange rate will adjust instantaneously to reflect movements in prices between two countries. Consequently, Purchasing Power Parity (PPP) will hold continuously. This study examines the validity of long-run PPP hypothesis for two panels of OECD and developing Asian countries. The results of the study suggest that the PPP hypothesis with its strict symmetry and proportionality condition does not hold in the post-Bretton Woods era. However, when the strict PPP conditions are relaxed, we find a cointegrating relationship between nominal exchange rate and prices, which in turn provides support for the weak form of PPP. Journal: Int. J. of Monetary Economics and Finance Pages: 95-109 Issue: 1 Volume: 4 Year: 2011 Keywords: PPP; purchasing power parity; panel unit root; panel cointegration; real exchange rates; Bretton-Woods; OECD; developing countries; Asia. File-URL: http://www.inderscience.com/link.php?id=38270 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:4:y:2011:i:1:p:95-109 Template-Type: ReDIF-Article 1.0 Author-Name: Matthias Reith Author-X-Name-First: Matthias Author-X-Name-Last: Reith Title: Unconventional monetary policy in practice: a comparison of 'Quantitative Easing' in Japan and the USA Abstract: Quantitative Easing (QE) has been widely used by major central banks in the recent economic and financial crisis that started in 2007. However, the Bank of Japan (BoJ) already applied QE between 2001 and 2006. This paper tries to examine the differences between BoJ-type QE and QE applied by the US central bank (Fed). It turns out that both approaches differ fundamentally from each other with respect to the main goals and the instruments used to achieve these goals. Thus, the primary aim of QE in Japan was fighting deflation, whereas the fed addressed mostly strains in the banking system. Journal: Int. J. of Monetary Economics and Finance Pages: 111-134 Issue: 2 Volume: 4 Year: 2011 Keywords: unconventional policies; monetary policies; USA; United States; Bank of Japan; Federal Reserve System; Fed; active quantitative easing; passive quantitative easing; central banks; banking; deflation; system strains; monetary economics; finance. File-URL: http://www.inderscience.com/link.php?id=39325 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:4:y:2011:i:2:p:111-134 Template-Type: ReDIF-Article 1.0 Author-Name: Anis Omri Author-X-Name-First: Anis Author-X-Name-Last: Omri Author-Name: Sonia Ghorbel-Zouari Author-X-Name-First: Sonia Author-X-Name-Last: Ghorbel-Zouari Title: International financial contagion of the US sub-prime crisis: evidence through the adjusted correlation test and non-linear Error Correction Models (ECM) Abstract: In this essay, we test the presence of the contagion phenomenon during the US sub-prime crisis. We adopt the test of adjusted correlation coefficients between markets and propose a new procedure which involves testing the non-linearity of the propagation mechanisms shocks, estimated with a model of long-term interdependence. We apply this methodology to the financial markets which measure the risk perception. Our results conclude "some contagion, some interdependence" between the financial markets of USA, France, Germany, Japan and UK during the current crisis. Journal: Int. J. of Monetary Economics and Finance Pages: 135-149 Issue: 2 Volume: 4 Year: 2011 Keywords: sub-prime mortgages; financial crises; international contagion; adjusted correlation tests; nonlinear error correction models; USA; United States; market coefficients; non-linearity; propagation mechanisms; propagation shocks; long-term interdependence; financial markets; risk perceptions; risk measurement; France; Germany; Japan; UK; United Kingdom; monetary economics; finance. File-URL: http://www.inderscience.com/link.php?id=39326 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:4:y:2011:i:2:p:135-149 Template-Type: ReDIF-Article 1.0 Author-Name: Panayotis Alexakis Author-X-Name-First: Panayotis Author-X-Name-Last: Alexakis Title: Short selling and equity returns with full information dissemination Abstract: This paper sheds further light on whether short selling can be associated with negative returns in the spot market. It provides evidence for the case of the capital market of the Athens Exchange (ATHEX) that is empirically tested for the first time, during the period 2003–2007. This market possesses certain interesting characteristics, as along with constrained sales it entailed the rare feature of wide short sales transparency. The empirical findings indicate that short selling is associated with subsequent negative abnormal stock returns for the heavily sold short stocks of this market. Journal: Int. J. of Monetary Economics and Finance Pages: 150-171 Issue: 2 Volume: 4 Year: 2011 Keywords: short selling; spot markets; excess returns; abnormal returns; equity returns; information dissemination; negative returns; capital markets; Athens Exchange; ATHEX; Greece; constrained sales; short sales; transparency; short stocks; stock exchanges; monetary economics; finance. File-URL: http://www.inderscience.com/link.php?id=39327 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:4:y:2011:i:2:p:150-171 Template-Type: ReDIF-Article 1.0 Author-Name: Fathi Abid Author-X-Name-First: Fathi Author-X-Name-Last: Abid Author-Name: Slah Bahloul Author-X-Name-First: Slah Author-X-Name-Last: Bahloul Title: Regime switching, asymmetric correlation and international portfolio choices Abstract: The aim of this paper is to investigate the behaviour of international equity returns and correlations using the discrete-time Markov-switching model and the impact of this behaviour on international portfolio choices. We take the perspective of a US-based global investor who considers investment across the six largest major markets over the period from December 1994 to July 2009. Results show that financial markets are characterised by two regimes: a bull and a bear market. Besides, correlations appear to be very important in a bear state and significantly different from those in the bull market. Finally, optimal portfolio weights vary considerably across regimes and over time as investors revise their estimates of the state probabilities. Journal: Int. J. of Monetary Economics and Finance Pages: 172-194 Issue: 2 Volume: 4 Year: 2011 Keywords: Andrey Markov; regime switching; asymmetric correlation; portfolio optimisation; portfolio choices; international portfolios; home equities; equity bias; equity returns; discrete-time models; USA; United States; global investors; investments; financial markets; bull markets; bear markets; optimal portfolio weights; probabilities; probability; estimate revision; monetary economics; finance. File-URL: http://www.inderscience.com/link.php?id=39328 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:4:y:2011:i:2:p:172-194 Template-Type: ReDIF-Article 1.0 Author-Name: Samson E. Edo Author-X-Name-First: Samson E. Author-X-Name-Last: Edo Title: Capital market development in an emerging economy and the challenge of fostering foreign participation Abstract: This paper investigates the contribution of foreign investors to capital market development in an emerging economy. The findings reveal that Foreign Portfolio Investment (FPI) as well as foreign issue of securities (FS) made insignificant contribution to development of the market compared to other contending factors such as domestic securities investment (DSI) and domestic issue of securities (DS). This appears to constitute a policy challenge, considering the enormous gain that would accrue to the economy from increasing foreign participation in the market. The challenge could be surmounted by liberalising investment laws, offering fiscal incentives, and strengthening surveillance of the market to enhance efficiency. Journal: Int. J. of Monetary Economics and Finance Pages: 195-215 Issue: 2 Volume: 4 Year: 2011 Keywords: capital markets; emerging economies; market development; foreign participation; foreign investors; foreign portfolio investment; domestic securities investment; economic policies; liberalisation; investment laws; fiscal incentives; market surveillance; enhanced efficiency; Nigeria; monetary economics; finance. File-URL: http://www.inderscience.com/link.php?id=39329 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:4:y:2011:i:2:p:195-215 Template-Type: ReDIF-Article 1.0 Author-Name: Nont Dhiensiri Author-X-Name-First: Nont Author-X-Name-Last: Dhiensiri Author-Name: Olgun Fuat Sahin Author-X-Name-First: Olgun Fuat Author-X-Name-Last: Sahin Author-Name: Pattarake Sarajoti Author-X-Name-First: Pattarake Author-X-Name-Last: Sarajoti Title: Equity-based compensation and performance of acquisitions Abstract: We investigate how the equity-based compensation (EBC) of top executives affects the performance of acquisitions. In contrast to the results of Datta et al. (2001), we find that high EBC acquirers pay higher premiums for targets than that of low EBC acquirers. The cumulative abnormal return around the acquisition announcement is lower for acquiring firms with high EBC. However, we find that the long-run performance of acquiring firms is positively correlated with EBC. Our results suggest that high EBC acquirers experience lower sensitivity to size and momentum factors that unexpectedly lowers the cost of equity, leading to higher returns. Journal: Int. J. of Monetary Economics and Finance Pages: 217-237 Issue: 3 Volume: 4 Year: 2011 Keywords: EBC; equity-based compensation; mergers and acquisitions; M&A; executive pay; cost of equity; acquisition risk; top executives; abnormal returns; acquisition performance. File-URL: http://www.inderscience.com/link.php?id=40920 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:4:y:2011:i:3:p:217-237 Template-Type: ReDIF-Article 1.0 Author-Name: T.K. Jayaraman Author-X-Name-First: T.K. Author-X-Name-Last: Jayaraman Author-Name: Chee-Keong Choong Author-X-Name-First: Chee-Keong Author-X-Name-Last: Choong Title: Equilibrium real exchange rate in Fiji: an empirical study Abstract: Given the fact that Fiji has a very narrow range of exportable commodities with a high degree of dependence on tourism earnings, maintenance of a competitive real exchange rate is of utmost importance. This paper undertakes an empirical analysis of Fiji's real exchange rate, by estimating long-run equilibrium real exchange rate and examining the short-run dynamics of real exchange rates and detection of possible misalignment. Empirical investigation shows that there has been no large, persistent instance of misalignment of Fiji's Real Effective Exchange Rate (REER). Journal: Int. J. of Monetary Economics and Finance Pages: 238-253 Issue: 3 Volume: 4 Year: 2011 Keywords: exchange rate misalignment; evaluation; monetary policy; cointegration; Granger causality; real exchange rates; Fiji. File-URL: http://www.inderscience.com/link.php?id=40921 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:4:y:2011:i:3:p:238-253 Template-Type: ReDIF-Article 1.0 Author-Name: Samir Mabrouk Author-X-Name-First: Samir Author-X-Name-Last: Mabrouk Author-Name: Chaker Aloui Author-X-Name-First: Chaker Author-X-Name-Last: Aloui Title: GARCH-class models estimations and value-at-risk analysis for exchange rate Abstract: In this paper, we focus on three daily exchange rate returns dynamics. Indeed, we have assessed five GARCH-class models under three alternative distributions. Our findings confirm that the skewed Student-t FIAPARCH model performs very well. Then, we have computed short and long Value-at-Risk and Expected Shortfall based on AR (1) – FIAPARCH under normal, Student-t and skewed Student-t distributions. More precisely, we have investigated the estimation performance by computing both In-sample and Out-of-sample VaR for one-day-ahead horizon. Results reveal that VaR and ES estimations based on skewed Student-t FIAPARCH models outperform other models for both long and short trading positions. Journal: Int. J. of Monetary Economics and Finance Pages: 254-278 Issue: 3 Volume: 4 Year: 2011 Keywords: value at risk; VaR; expected shortfall; fat tail; long memory; exchange rates; GARCH. File-URL: http://www.inderscience.com/link.php?id=40922 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:4:y:2011:i:3:p:254-278 Template-Type: ReDIF-Article 1.0 Author-Name: Jens Klose Author-X-Name-First: Jens Author-X-Name-Last: Klose Title: A simple way to overcome the zero lower bound of interest rates for central banks: Evidence from the Fed and the ECB within the financial crisis Abstract: In this paper, we investigate how Fed and ECB monetary policy changed within the financial crisis of 2007-2010. We argue that due to the very low interest rates classical monetary policy rules like, e.g., the Taylor rule could lead to false conclusions. We propose a new way of conducting monetary policy when the zero lower bound becomes binding via shaping the inflation expectations. Our results indicate that using this modified Taylor rule shows similar tendencies in the reaction coefficients as the standard Taylor rule at least if no interest smoothing term is included. Journal: Int. J. of Monetary Economics and Finance Pages: 279-296 Issue: 3 Volume: 4 Year: 2011 Keywords: financial crisis; Federal Reserve; European Central Bank; quantitative easing; inflation expectations; Taylor rule; zero lower bound; interest rates; central banks; monetary policy. File-URL: http://www.inderscience.com/link.php?id=40923 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:4:y:2011:i:3:p:279-296 Template-Type: ReDIF-Article 1.0 Author-Name: Musa Essayyad Author-X-Name-First: Musa Author-X-Name-Last: Essayyad Author-Name: Khaled Albinali Author-X-Name-First: Khaled Author-X-Name-Last: Albinali Author-Name: Omar Al-Titi Author-X-Name-First: Omar Author-X-Name-Last: Al-Titi Title: Revising the structure of the Euro index to improve measurement of movements in the currency markets Abstract: This paper applies the same methodology applied by Essayyad et al. (2009) to the construction of an alternative Euro dollar index. Specifically, it employs multivariate statistical tests to identify weights based on 12 economic and financial factors that are deemed theoretically more relevant in building an alternative Euro Index (EI) that would reflect more accurately the movements in the currencies making up that index. Journal: Int. J. of Monetary Economics and Finance Pages: 297-308 Issue: 3 Volume: 4 Year: 2011 Keywords: Euro index; dollar index; currency index; multivariate statistical analysis; international finance; international trade; currency markets; currency movements. File-URL: http://www.inderscience.com/link.php?id=40924 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:4:y:2011:i:3:p:297-308 Template-Type: ReDIF-Article 1.0 Author-Name: Manish Kumar Author-X-Name-First: Manish Author-X-Name-Last: Kumar Title: An approximate entropy approach to examine the non-linear dependence in daily Indian exchange rates Abstract: The purpose of the study is to examine whether the returns and volatility for Indian exchange rates possess non-linear dependence. Furthermore, an attempt is made through a rolling-window approach to check whether non-linear dependence is time-varying. The study employs approximate entropy statistics to examine the non-linear dependence. We also estimate the Tsay statistics to test for non-linearity. The empirical results provide the evidence of strong non-linear dependence in the Indian exchange rate returns and volatility and also that is time-varying. The results also suggest that the GARCH model, which has been used in the study, is misspecified. The evidence of non-linearity has serious implications for asset pricing, risk management and policy making. Journal: Int. J. of Monetary Economics and Finance Pages: 309-325 Issue: 3 Volume: 4 Year: 2011 Keywords: exchange rates; ARIMA; GARCH; nonlinearity; approximate entropy; India; nonlinear dependence; asset pricing; risk management; policy making. File-URL: http://www.inderscience.com/link.php?id=40925 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:4:y:2011:i:3:p:309-325 Template-Type: ReDIF-Article 1.0 Author-Name: Ashima Goyal Author-X-Name-First: Ashima Author-X-Name-Last: Goyal Author-Name: Shruti Tripathi Author-X-Name-First: Shruti Author-X-Name-Last: Tripathi Title: New Keynesian aggregate supply in the tropics: food prices, wages and inflation Abstract: Since consumer prices are a weighted average of domestic and imported goods prices, domestic Price Inflation (WPII) should cause Consumer Price Inflation (CPII). But at low per capita incomes average wages respond to food prices, raising costs and hence domestic prices. Then CPII, for which food is the dominant component, should Granger cause WPII. This reverse causality is derived and finds support in an estimated new Keynesian Aggregate Supply (AS) framework with the wage-price link. The AS and the identity both hold as long-run cointegrating relationships. The AS is elastic but food prices and the exchange rate are important for inflation. Journal: Int. J. of Monetary Economics and Finance Pages: 330-354 Issue: 4 Volume: 4 Year: 2011 Keywords: consumer price inflation; wholesale price inflation; aggregate supply; Granger causality; cointegration; VECM; consumer prices; Keynesian aggregate supply; wages; food prices; exchange rate. File-URL: http://www.inderscience.com/link.php?id=43399 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:4:y:2011:i:4:p:330-354 Template-Type: ReDIF-Article 1.0 Author-Name: Keshab Bhattarai Author-X-Name-First: Keshab Author-X-Name-Last: Bhattarai Title: Impact of exchange rate and money supply on growth, inflation and interest rates in the UK Abstract: Growth rates, inflation and interest rates are determined simultaneously in the UK. Depreciations of Sterling pounds contribute to the growth by enhancing international competitiveness. Inflation from the growth of money, depreciation of Sterling and higher interest rates, impacts adversely on it. London being a hub of the global financial market higher interest rates are persistent and coexist with greater liquidity of the financial system, making money supply non-neutral in the short run as in Desai and Weber (1988), Fisher and Whitley (2000), Mellis and Whittaker (2000), Wallis (1969, 1989) for the UK and Sargent (1976) and Fair (1993). Journal: Int. J. of Monetary Economics and Finance Pages: 355-371 Issue: 4 Volume: 4 Year: 2011 Keywords: simultaneous equation modelling; macromodelling; growth rates; inflation; interest rates; exchange rates; money supply; United Kingdom; UK. File-URL: http://www.inderscience.com/link.php?id=43400 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:4:y:2011:i:4:p:355-371 Template-Type: ReDIF-Article 1.0 Author-Name: Rajeev Sooreea Author-X-Name-First: Rajeev Author-X-Name-Last: Sooreea Author-Name: Mark Wheeler Author-X-Name-First: Mark Author-X-Name-Last: Wheeler Title: US and European stock market crashes: Any evidence of interdependence? Abstract: This paper examines the response of Stock Prices (SPs) in Germany, Italy, and the UK to shocks to US Stock Prices (USSPs) using Vector Error Correction Models (VECMs) and cross-country stock return correlations. Our results yield clear implications. Positive shocks to USSPs lead to significant, positive, responses in European SPs. Shocks to US stock prices also explain over 43% of the forecast error variance in European SPs. Shocks to domestic variables never cause significant responses in European SPs. These results indicate strong interdependence between the US stock market and stock markets in the UK, Germany and Italy. Journal: Int. J. of Monetary Economics and Finance Pages: 372-389 Issue: 4 Volume: 4 Year: 2011 Keywords: stock market crash; interdependence; comovement; financial crisis; stock markets; stock prices; Germany; Italy; UK; United Kingdom; USA; United States. File-URL: http://www.inderscience.com/link.php?id=43401 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:4:y:2011:i:4:p:372-389 Template-Type: ReDIF-Article 1.0 Author-Name: Flora Cunha Lobo Author-X-Name-First: Flora Cunha Author-X-Name-Last: Lobo Author-Name: Pedro Ramos Author-X-Name-First: Pedro Author-X-Name-Last: Ramos Author-Name: Oscar Lourenco Author-X-Name-First: Oscar Author-X-Name-Last: Lourenco Title: Causes of financial distress of Portuguese municipalities: empirical evidence Abstract: This paper analyses the factors behind the financial distress of local government in Portugal. A Probit model is used to estimate the probability of a municipality entering into a financial recovery contract, regulated by the Portuguese Local Finance Law. Empirical results indicate that both structural and non-structural factors influence local financial distress. In addition to financial management practices, financial distress is also conditioned by political variables and socio-economic factors. Municipalities ruled by mayors that belong to a right-wing party are more prone to financial distress, and some municipalities are more financially vulnerable than others because of structural circumstances. Journal: Int. J. of Monetary Economics and Finance Pages: 390-409 Issue: 4 Volume: 4 Year: 2011 Keywords: municipal financial distress; local indebtedness; fiscal discipline; probit models; Portugal; municipalities; local government; financial recovery; financial crisis. File-URL: http://www.inderscience.com/link.php?id=43402 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:4:y:2011:i:4:p:390-409 Template-Type: ReDIF-Article 1.0 Author-Name: Saurabh Agarwal Author-X-Name-First: Saurabh Author-X-Name-Last: Agarwal Title: Dynamics of investor's behaviour: a survey-based study on Indian securities market Abstract: This paper attempts to formalise the effect of demographic variables like marital status, gender, occupation and age on the source of investment advice which in turn affect the herd behaviour of investors and probability of investment in near future. Further, postulations have been made for most preferred investment option and purpose of saving and source of investment. Impact of theoretical analysis on choice among investment alternatives has also been investigated. The analysis contributes to understanding the different investment choices made by households in India. The insights offered in the paper indirectly contribute in uncovering the various unexplained asset pricing puzzles. Journal: Int. J. of Monetary Economics and Finance Pages: 410-431 Issue: 4 Volume: 4 Year: 2011 Keywords: portfolio choice; behavioural finance; investor behaviour; India; securities markets; demographic variables; investment advice; investment choices; asset pricing. File-URL: http://www.inderscience.com/link.php?id=43403 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:4:y:2011:i:4:p:410-431 Template-Type: ReDIF-Article 1.0 Author-Name: P.L. Beena Author-X-Name-First: P.L. Author-X-Name-Last: Beena Author-Name: Hrushikesh Mallick Author-X-Name-First: Hrushikesh Author-X-Name-Last: Mallick Title: Exchange rate and exporting behaviour of Indian Textiles and Clothing sector across major destination countries Abstract: The paper analyses the role of exchange rate in determining the export behaviour of Textiles and Clothing (T&C) sector. The study found an inverse relationship between the rises in exchange rate and exports. This suggests that the devaluation of Indian rupee has not helped to boost the exports of T&C sector. The findings further indicate the significant role of demand factor in determining the export growth. The study argues that exchange rate intervention alone may not be the right solution for export promotion; therefore government should not place much emphasis on devaluing the exchange rate as a policy option to promote export competitiveness. Journal: Int. J. of Monetary Economics and Finance Pages: 432-446 Issue: 4 Volume: 4 Year: 2011 Keywords: exports; exchange rate; prices; WTO; World Trade Organization; exporting behaviour; India; textile industry; clothing industry; apparel industry; garment industry; currency devaluation; export competitiveness. File-URL: http://www.inderscience.com/link.php?id=43404 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:4:y:2011:i:4:p:432-446