Foreign speculators and emerging equity markets

McGill University
Ph.D. Course in International Finance - FINE 709 Fall 2015 - Thursdays 10 A.M.- 5 P.M.

2. Students will develop a portfolio of potential theses topics that they could further pursue if they are so inclined.

This course will be conceptual rather than technical. It will focus exclusively on Finance issues and not cover issues generally identified with topics in International Economics such as, Balance of Payments, Theory of Foreign Exchange etc.

All student participants MUST register for credit - No auditors will be allowed. Faculty members will be most welcome. Of course, they will be expected to fully participate in all aspects of the course.

MCGILL POLICY STATEMENTS
McGill University values academic integrity. Therefore all students must understand the meaning and consequences of cheating, plagiarism and other academic offences under the

International Asset Pricing –Theory (Vihang Errunza) Sept. 10
Solnik, B., 1974, “An Equilibrium Model of the International Capital Market”, Journal of Economic Theory, 8, 500-524. (O)

Stulz, R.M., 1981, “A Model of International Asset Pricing”, Journal of Financial Economics, 9, 383-406. (O)

Chaieb, I. and V. Errunza, 2007, “International Asset Pricing Under Segmentation and PPP Deviations”, Journal of Financial Economics, Vol. 86, No.2, Nov. 2007, 543–578. (R)

Solnik, B., and Zuo L., 2012, "A Global Equilibrium Asset Pricing Model with Home Preference,"

Harvey, C. R., 1991, “The World Price of Covariance Risk”, Journal of Finance, 46, 111-157. (R)

Ferson, W.E. and C. Harvey, 1993, “The Risk and Predictability of International Equity Returns”, Review of Financial Studies, 6, 527-566. (O)

International Market Integration (Vihang Errunza)Sept. 24 and Oct.8

Bekaert, G. and C. Harvey, 1995, “Time-varying World Market Integration”, Journal of Finance, 50, 403-445. (R)
Carrieri, F., V. Errunza and K. Hogan, 2007, “Characterizing World Market Integration Through Time”, Journal of Financial and Quantitative Analysis, 42, No. 4. (R)
Pukthuanthong-Le, K., and R., Roll, 2009. Global Market Integration: An Alternative Measure and Its Application. Journal of Financial Economics 94, 214-232. (O)
Bekaert, G., C. Harvey, C. Lundblad, and S. Siegel, 2011, “What segments equity markets?”, Review of Financial Studies. (R)
Carrieri, F., I. Chaieb and V. Errunza, 2013, “Do Implicit Barriers Matter for Globalization?”, Review of Financial Studies.Vol. 26, No. 7, 1694-1739 (R)
Correlations and International Diversification ( ) Oct. 8
Longin, F. and B. Solnik, 1995, “Is the Correlation in International Equity Returns Constant: 1960-1990?”, Journal of International Money and Finance, 14, 3-26. (O)
Karolyi A. and R.M. Stulz, 1996, “Why do Markets Move Together? An Investigation of U.S.- Japan Stock Return Comovements”, Journal of Finance, 51, 951-986. (O)
De Santis G. and Gerard B. 1997, “International Asset Pricing and Portfolio Diversification with Time-varying Risk”, Journal of Finance, 52, 1881-1912. (R)
Errunza, V., K. Hogan and M-W. Hung, 1999, “Can the Gains from International Diversification be Achieved Without Trading Abroad”, Journal of Finance, 54, 2075-2107. (R)
Longin, F., and B. Solnik, 2001, Extreme Correlation of International Equity Markets, Journal of Finance 56, 649-676. (O)
Forbes, K. and R. Rigobon, 2002, “No Contagion, Only Interdependence: Measuring Stock Market Comovements”, Journal of Finance, 57, 2223-2261. (O)
Ang, A., and G. Bekaert, 2002, International Asset Allocation with Regime Shifts, Review of Financial Studies 15, 1137-1187. (O)
Goetzmann,W., L., Li, and G., Rouwenhorst, (2005), “Long�Term Global Market Correlations,” The Journal of Business 78, 1-38. (O)
Berger, D., K. Pukthuanthong, and J. Yang, 2011, “International diversification with frontier markets,” Journal of Financial Economics 101, 227-242. (O)

Ferreira, Miguel and Paolo Gama, 2005, “Have World, Country and Industry Risks Changed Over Time? An Investigation of the Volatility of Developed Stock Markets,” Journal of Financial and Quantitative Analysis, 40(1), 195-222. (R)

Bekaert, G., Hodrick, R., and X. Zhang, 2009, International Stock Return Comovements, Journal of Finance 64, 2591-2626. (O)

in partially segmented markets? W.P. McGill University (O)

International Corporate Finance ( ) Nov. 5

Dahlquist, M., L. F. Pinkowitz, R. M. Stulz, and R. Williamson, 2003, Corporate Governance and the Home Bias, Journal of Financial and Quantitative Analysis 38, 87-110. (R)

Investor Protection and Governance ( ) Nov.5

Market Liberalization, C.O.C., Volatility and Correlation ( ) Nov. 19
Bekaert, Geert and Campbell Harvey, 1997, “Emerging Equity Market Volatility”, Journal of Financial Economics, 43, 29-77. (O)

Henry, P. B., 2000, “Stock Market Liberalization, Economic Reform, and Emerging Market Equity Prices”, Journal of Finance, 55, 529-564. (R)

Country Funds and ADRs ( ) Nov.19

Errunza, Vihang, Lemma Senbet, and Ked Hogan, 1998, “The Pricing of Country Funds from Emerging Markets: Theory and Evidence”, International Journal of Theoretical and Applied Finance, 1, 111-143. (R)

of Economics and Statistics, 86, 670-690. (R)

Bailey W., G. A. Karolyi, and C. Salva, 2006. The economic consequences of increased disclosure: Evidence from international cross-listings, Journal of Financial Economics 81, 175-213. (O)