1st ANNUAL CONFERENCE On MULTINATIONAL FINANCIAL ISSUES

June 2-4, 1994
Merv Griffin's Resorts Casino Hotel
Atlantic City, NJ, USA
(Organized by School of Business-Camden, Rutgers University)
Conference Chair: Panayiotis Theodossiou

Program Committee

Raj Aggarwal - John Carroll University
Peter Koveos - Syracuse University
Erkin Bairam - University of Otago
Teppo Martikainen - University of Vaasa
Geoffrey Booth - Louisiana State University
Salih Neftci - City University of New York
Ulrich Camen - IUHEI
George Philippatos - University of Tennessee
Jay Choi - Temple University
Shivaji Rao - Fischer Francis Trees & Watts
Dilip Ghosh - Suffolk University
Panayiotis Theodossiou - Rutgers University
Gregory Koutmos - Fairfield University
Uzi Yaari - Rutgers University

Distinguished Paper Award Committee

Geoffrey Booth - Louisiana State University
George Philippatos - University of Tennessee
Panayiotis Theodossiou - Rutgers University

Business and Technical Support Committee

Larry Gaines - Rutgers University
Emel Kahya - Rutgers University
Cal Maradonna - Rutgers University

Dear Participant:

Welcome to the 1st Annual Conference on Multinational Financial Issues organized by the School of Business-Camden, Rutgers University. The program committee has assembled 18 sessions reflecting a wide range of international finance topics. These sessions include a large number of outstanding papers covering the following topics: corporate acquisitions, financial issues for the multinational firm, volatility reversion, linkage and microstructure of major and emerging stock markets, relationships of macroeconomic variables, exchange rates and international stock markets, international portfolio diversification, structure and regulation of European banking, exchange rates and current account balance, financial dimensions of privatization in the former Soviet republics and other countries, and futures and options.

The organization of this conference has required the assistance of many individuals. I would like to thank all members of the organizing committees, and in particular Geoffrey Booth, Jay Choi, Larry Gaines, Dilip Ghosh, Emel Kahya, Gregory Koutmos, Teppo Martikainen, George Philippatos and Uzi Yaari for their special efforts to make the conference a success. Also, the staff of the School of Business-Camden, Shirley Blessing, Philip Carter, Roberta Diamondstein, Dorothy Juliani and Joann Santry provided valuable assistance. Special thanks go to the Dean of the School, Milton Leontiades, and the Provost of the Campus, Walter Gordon, for their encouragement and financial support and the Savid Group for sponsoring the Friday's reception. Finally, I would like to thank the session chairs, authors and discussants of papers for their cooperation. In return, I hope you enjoy the conference and find the papers stimulating and helpful.

Sincerely,

Panayiotis Theodossiou
Program Committee Chair

GENERAL INFORMATION

Registration

Thursday, June 2 6:30 pm - 9:00 pm Registration Area
Friday, June 3 8:00 am - 1:00 pm Registration Area

CONFERENCE ROOMS - THIRTEENTH FLOOR
 

LIST OF SESSIONS

Friday 8:45 - 10:15 am

Session 1 International Stock Markets: Fluctuation and Linkage Producers
Session 2 Macroeconomics, Growth and the Current Account Balance Directors A
Session 3 Corporate Acquisitions Directors B

Friday 10:30 - 12:00 am

Session 4 Volatility Reversion and Spillovers in Intl Stock Markets Producers
Session 5 Foreign Exchange Markets: Arbitrage, Hedging, and Pricing Directors A
Session 6 Stock Markets and Foreign Exchange Risk Directors B

Friday 2:00 - 3:30 pm

Session 7 Issues in Emerging Capital Markets I Producers
Session 8 Financial Dimensions of Privatization in the Former Soviet Rep. Directors A
Session 9 Fixed Income Instruments Directors B

Friday 3:45 - 5:15 pm

Session 10 Issues in Emerging Capital Markets II Producers
Session 11 Financial Markets, Privatization and Efficiency Directors A
Session 12 Futures and Options Directors B

Saturday 8:45 - 10:15 am

Session 13 Stock Markets and Macroeconomic Variables Producers
Session 14 Financial Issues for the Multinational Firm Directors A
Session 15 Microstructure of Nordic Stock Markets Directors B

Saturday 10:30 - 12:00 am

Session 16 International Portfolio Diversification Producers
Session 17 Inflation, Wealth Effects and Stock Valuation Directors A
Session 18 European Banking: Structure and Regulation Directors B
SESSION 1 Friday 8:45-10:15 Producers

INTERNATIONAL STOCK MARKETS: FLUCTUATION AND LINKAGE
Session Chair: George C. Philippatos - University of Tennessee, USA

Stock Returns, Exchange Rates and Economic Exposure
Richard Ajayi - Wayne State University, USA
Seyed Mehdian - Ohio State University, USA

European Stock Market Fluctuations: Short and Long Term Linkages
A.G. Malliaris - Loyola University of Chicago, USA
Jorge L. Urrutia - Loyola University of Chicago, USA

Application of Neural Networks to International Stock Market Movements
Suresh C. Baral - South Carolina State University, USA
Prakash L. Dheeriya - California State University-Dominguez Hill, USA

Discussants:
Stefano Athanasoulis - Yale University, USA
George Papaioanou - Hofstra University, USA
David Nawrocki - Villanova University, USA

SESSION 2 Friday 8:45-10:15 Directors A

MACROECONOMICS, GROWTH AND THE CURRENT ACCOUNT BALANCE
Session Chair: Erkin Bairam - University of Otago, New Zealand

Financial Development and Economic Growth: Cointegration and Causality Tests for 12 Countries
Panicos O. Demetriades - Keele University, UK
Khaled Hussein - Keele University, UK

Development of the Turkish Interbank Foreign Exchange Market
Asim Erdilek - Case Western Reserve University, USA

Taiwan's Current Surplus and International Financial Market Linkages
Rama Seth - Bank for International Settlements, Switzerland
Robert N. McCauley - Federal Reserve Bank of New York, USA

Discussants:
Evangelos Simos - University of New Haven, USA
Andreas Pericli - Smith Barney Shearson Inc., USA
Wim Westerman - University of Groningen, Netherlands

SESSION 3 Friday 8:45-10:15 Directors B

CORPORATE ACQUISITIONS
Session Chair: Uzi Yaari - Rutgers University, USA

The Distribution of Target Ownership and the Division of the Takeover Gain
Kenneth Högholm - Swedish School of Economics and Business, Finland

Corporate Governance in International Perspective: A Survey of Corporate Control Mechanisms Among Large Firms in the United States, the United Kingdom, Japan and Germany
Stephen Prowse - Federal Reserve Board, Washington DC, USA

Paying More for Less: Evidence From Disciplinary Takeovers
Aloke Ghosh - CUNY-Baruch College, USA
Chi-Wen Jevons Lee - Tulane University, USA

The Effects of Capital Structure on Foreign Acquisitions of U.S. Target Firms
Gordian A. Ndubizu - Pace University, USA
Augustin Arize - East Texas State University, USA
John Aheto - Pace University, USA

Discussants:
Christopher Coyne - St. Joseph's University, USA
Michael Pescow - St. Joseph's University, USA
Robert Lippert - Rutgers University, USA
Ahmet Tezel - St. Joseph's University, USA

SESSION 4 Friday 10:30-12:00 Producers

VOLATILITY REVERSION AND SPILLOVERS IN INTERNATIONAL STOCK MARKETS
Session Chair: Damodar Gujarati - U.S. Military Academy-West Point, USA

International Market Linkages and Common Volatility in Emerging Markets of Asia and Latin America
Reena Aggarwal - Georgetown University, USA
Ricardo P. Leal - Georgetown University, USA

A New Look at the Volatility Information Flows Between Stock Markets: A Case of Two Nordic Stock Exchanges
Seppo Pynnönen - University of Vaasa, Finland
Johan Knif - Swedish School of Economics and Business, Finland
Martti Luoma - University of Vaasa, Finland

Correlation Structure of Returns and Volatility Reversion in Major International Stock Markets
Panayiotis Theodossiou - Rutgers University, USA
Andreas Christofi - Azusa University, USA
Gregory Koutmos - Fairfield University, USA

Discussants:
George Tsetsekos - Drexel University, USA
Unro Lee - University of the Pacific, USA
Teppo Martikainen - University of Vaasa, Finland

SESSION 5 Friday 10:30-12:00 Directors A

FOREIGN EXCHANGE MARKETS: ARBITRAGE, HEDGING, AND PRICING
Session Chair: Asim Erdilek - Case Western Reserve University, USA

Multiplier Effect in Arbitrage Process in Currency Markets: Hong Kong Dollars, British Pounds, and Japanese Yens
Dilip K. Ghosh - Suffolk University, USA

Has Exchange Rate Volatility Been Stabilized Through Managed Systems of Cooperation?
Abraham Mulugetta - Ithaca College, USA
Yuko Mulugetta - Cornell University, USA

Purchasing Power Parities for Tradable Goods in OCED Countries
Evangelos Simos - University of New Haven, USA
Ahmad Etebari - University of New Haven, USA

Exchange Risk, Utility Functions, and Numeraire- Invariance in a Continuous-Time International Asset Pricing Model
Paritosh D. Mehta - Temple University, USA

Discussants:
Sam Thomas - Case Western Reserve University, USA
Asim Erdilek - Case Western Reserve University, USA
Bang Nam Jeon - Drexel University, USA
Dilip K. Ghosh - Suffolk University, USASESSION 6 Friday 10:30-12:00 Directors B

STOCK MARKETS AND FOREIGN EXCHANGE RISK
Session Chair: Jorge L. Urrutia - Loyola University of Chicago, USA

The Impact of Exchange Regime Shifts on the Relationship Between Exchange Rate Changes and Stock Returns
Sie Hoon Lee - Penn State, USA
Prasad Padmanabhan - Penn State, USA

Investing in Emerging Stock Markets: Is it Worthwhile Hedging Foreign Exchange Risk?
Shmuel Hauser - Israel Securities Authority, Israel
Matityahu Marcus - Rutgers University, USA
Uzi Yaari - Rutgers University, USA

An Investigation of the Stability of Relationships Between Returns from Emerging Stock Markets
Donald Sinclair - University of Dundee, Scotland
David Power - University of Dundee, Scotland
Alisdair Lonie - University of Dundee, Scotland
Panos Avgoustinos - University of Dundee, Scotland

Financial Market Research in Germany: An Evaluation of Recent Findings
Wolfgang Bessler - Rensselaer Polytechnic Institute, USA

Discussants:
Gregory Koutmos - Fairfield University, USA
Patricia H. Hall - Old Dominion University, USA
Emeka Nwaeze - Rutgers University, USA
G. Geoffrey Booth - Louisiana State University, USA

SESSION 7 Friday 2:00-3:30 Producers

ISSUES IN EMERGING CAPITAL MARKETS I
Session Chair: G. Geoffrey Booth - Louisiana State University, USA

Inefficiencies in the Emerging Stock Markets of Latin America and Asia
Ricardo P. Leal - Georgetown University, USA
Mitchell Ratner - Rider College, USA

Emerging Capital Markets: Results from Cointegration Tests
Richard A. DeFusco - University of Nebraska-Lincoln, USA
John M. Geppert - University of Nebraska-Lincoln, USA
George P. Tsetsekos - Drexel University, USA

The Impact of Opening of the Karachi Stock Exchange on Stock Return Variability
Jamshed Y. Uppal - Catholic University of America, USA
Ki C. Han - Suffolk University, USA

Discussants:
Jorge L. Urrutia - Loyola University of Chicago, USA
Edward J. Zychowicz - Hofstra University, USA
Kaj Hedvall - Swedish School of Economics and Business, Finlan

SESSION 8 Friday 2:00-3:30 Directors A

FINANCIAL DIMENSIONS OF PRIVATIZATION IN THE FORMER SOVIET REPUBLICS
Session Chair: Alexander Woroniak - Catholic University of America, USA

Financial Theory and Practice in the Commonwealth of Independent States
Mick Swartz - University of Manitoba, Canada
Harry Turtle - University of Manitoba, Canada
Charles Mossman - University of Manitoba, Canada

Foreign Capital Requirement of the Former Soviet Republics
Swapan Sen - Michigan Technological University, USA
Sergei Beloborodov - Institute of Physics and Technology, Russia

The Evolving Financial Structure of Russian Privatization
Richard Puntillo - University of San Francisco, USA
Matthew Keehn - University of San Francisco, USA
Marina Schneiderman - University of San Francisco, USA

Discussants:
Richard A. LaBarge - Capital Choices Inc., USA
Alexander Woroniak - Catholic University of America, USA
Harvey Arbeláez - Penn State at Harrisburg, USA

SESSION 9 Friday 2:00-3:30 Directors B

FIXED INCOME INSTRUMENTS
Session Chair: Shivaji Rao - Fischer Francis Trees & Watts Inc., USA

Treasury Management in a Euro-Japanese Firm
Wim Westerman - University of Groningen, Netherlands
Joop Hessels - University of Groningen, Netherlands
Henk Ritsema - University of Groningen, Netherlands

Taxation, the Term Structure of Interest Rates and the Pattern of Bond Payments
Eliakim Katz - York University, Canada
Eliezer Z. Prisman - York University, Canada

Time-Varying Term Premia and Forward Premia in Eurobond Rates
Gregory Koutmos - Fairfield University, USA

Negative Option Values and the Violation of Boundary Conditions: The Extendible Canadian Treasury Bond Puzzle
George Athanassakos - Wilfrid Laurier University, Canada
Peter Carayannopoulos - University of Michigan, USA
Yisong Pian - Wilfrid Laurier University, Canada

Discussants:
Stephen Prowse - Federal Reserve Board, Washington DC, USA
Erkin Bairam - University of Otago, New Zealand
Johan Knif - Swedish School of Economics and Business, Finland
Paritosh D. Mehta - Temple University, USA

SESSION 10 Friday 3:45-5:15 Producers

ISSUES IN EMERGING CAPITAL MARKETS II
Session Chair: George Tsetsekos - Drexel University, USA

Preliminary Analyses of the Mexican and "ABC" Closed End Funds
Karin P. LaBarge - Rutgers University, USA
Richard A. LaBarge - Capital Choices Inc., USA

Emerging Patterns of Linkages in Global Security Markets
M. Raquibuz Zaman - Ithaca College, USA
Warren Dickson - Ithaca College, USA

Latin American Emerging Markets: A Time Diversification Approach
Harvey Arbeláez - Penn State at Harrisburg, USA
Mitchell Ratner - Rider College, USA

Discussants:
Wei Lee - Drexel University, USA
Ricardo P. Leal - Georgetown University, USA
Ayse Yuce - Bilkent University, Turkey

SESSION 11 Friday 3:45-5:15 Directors A

FINANCIAL MARKETS, PRIVATIZATION AND EFFICIENCY
Session Chair: Izzet Kenis - Rutgers University, USA

The Impacts of the Internationalization of the Korean Capital Market on the Market Value and Risk of Publicly-Traded Financial Institutions
Beom Joon Yu - University of Ulsan, Korea

The Efficiency of the Exchange Rate for the Drachma
Paraskevas Bakarezos - Agricultural Bank of Greece, Greece
John Malindretos - New Jersey Institute of Technology, USA

Efficiency and Privatization of Commercial Banking in Mexico
Noel Nava - ITESM, Mexico
Edgar Ortiz - Universidad Nacional Autonoma de Mexico, Mexico

Discussants:
Reza Saidi - Catholic University of America, USA
John Kallianiotis - University of Scranton, USA
Diamando Afxentiou - New York Institute of Technology, USA

SESSION 12 Friday 3:45-5:15 Directors B

FUTURES AND OPTIONS
Session Chair: Chuck Kohli - The Savid Group, USA

Option Volume and Market Timing Effectiveness in Finland
Teppo Martikainen - University of Vaasa, Finland
Vesa Puttonen - Helsinki School of Economics and Business, Finland

Do Electronic Trading Systems Completely Dominate Floor Trading Systems in Information Processing Capability? Evidence from Germany
John Paul Broussard - Louisiana State University, USA
G. Geoffrey Booth - Louisiana State University, USA
Otto Loistl - Frankfurt Stock Exchange, Germany

Stock Market Volatility and Trading in Futures and Options
Andreas Pericli - Smith Barney Shearson Inc., USA

Price Discovery Between Foreign Currency Futures and the Foreign Currency Cash Market
Patricia H. Hall - Old Dominion University, USA

Discussants:
Steven Krull - Hofstra University, USA
Thomas Chiang - Drexel University, USA
Jonas Niemeyer - Stockholm School of Economics, Sweden
Peter Carayannopoulos - University of Michigan-Flint, USA

SESSION 13 Saturday 8:45-10:15 Producers

STOCK MARKETS AND MACROECONOMIC VARIABLES
Session Chair: Jay Choi -Temple University, USA

Relationship Between Inflation and Real Stock Prices Across International Stock Markets: New Test of the Proxy-Effect Hypothesis
Unro Lee - University of the Pacific, USA

Macroeconomic Determinants of Emerging Stock Markets: Theory and Evidence
Achla Marathe - SUNY-Albany, USA
Kwang Jun - World Bank, Washington DC, USA

The Relationship Between the Stock Market and Economic Fluctuations: International Evidence
Asim Ghosh - Bloomsburg University, USA
Reza Saidi - Catholic University of America, USA

Discussants:
Richard Ajayi - Wayne State University, USA
Elyas Elyasiani - Temple University, USA
Russell Gregory-Allen - Rutgers University, USA

SESSION 14 Saturday 8:45-10:15 Directors A

FINANCIAL ISSUES FOR THE MULTINATIONAL FIRM
Session Chair: George Athanassakos - Wilfrid Laurier University, Canada

Further Evidence on the Role of Multinational Firms in International Equity Investment
Mary M. Cutler - Central Connecticut State University, USA
James M. Sfiridis - Central Connecticut State University, USA

A Comparative Study of Capital Structure of Industries in Developed Versus Developing Countries
Dev Prasad - University of Texas at San Antonio, USA
Andreas G. Merikas - University of Piraeus, Greece
Garry D. Bruton - University of Tulsa, USA

Robustness of Greek Business Failure Prediction Models
Christos Negakis - University of Thessaloniki, Greece

Issues in North-South Relations and the New World Order
Benjamin F. Bobo - Loyola Marymount University, USA
Lawrence S. Tai - Loyola Marymount University, USA

Discussants:
Jukka Perttunen - University of Vaasa, Finland
Kenneth Högholm - Swedish School of Economics and Business, Finland
Emel Kahya - Rutgers University, USA
Ramon Ramos - Wilfrid Laurier University and University of Santiago, ChileSESSION 15 Saturday 8:45-10:15 Directors B

MICROSTRUCTURE OF NORDIC STOCK MARKETS
Session Chair: Teppo Martikainen - University of Vaasa, Finland

Tick Size, Market Liquidity and Trading Volume: Evidence from the Stockholm Stock Exchange
Jonas Niemeyer - Stockholm School of Economics, Sweden
Patrik Sandås - Carnegie Mellon University, USA

To Trade In-or Outside the Limit Order Book? An Empirical Study of the Use of the Automated Trading System at the Helsinki Stock Exchange
Kaj Hedvall - Swedish School of Economics and Business, Finland

Finnish Turn-of-the-Month Effects
Teppo Martikainen - University of Vaasa, Finland
Jukka Perttunen - University of Vaasa, Finland
Vesa Puttonen - Helsinki School of Economics and Business, Finland

Discussants:
Lal C. Chugh - University of Mass-Boston, USA
Thomas J. O'Brien - University of Connecticut, USA
Ricardo Leal - Georgetown University, USA

SESSION 16 Saturday 10:30-12:00 Producers

INTERNATIONAL PORTFOLIO DIVERSIFICATION
Session Chair: Gregory Koutmos - Fairfield University, USA

Diversification and Portfolio Formation in the Istanbul Stock Exchange
Ayse Yuce - Bilkent University, Turkey

International Portfolio Selection and Determinants of Net International Investment
Tribhuvan N. Puri - Temple University, USA
George C. Philippatos - University of Tennessee, USA

International Portfolio Diversification and Rationality
Stefano Athanasoulis - Yale University, USA

Discussants:
Nikiforos Laopodis - Wesley College, USA
Prasad Padmanabhan - Penn State, USA
Ki C. Han - Suffolk University, USA

SESSION 17 Saturday 10:30-12:00 Directors A

INFLATION, WEALTH EFFECTS AND STOCK VALUATION
Session Chair: Dilip Ghosh - Suffolk University, USA

Inflation in Some Western European Countries: Neo-Keynesian and Monetarist Controversy With or Without a Price Bubble
Erkin Bairam - University of Otago, New Zealand

Stockholder Wealth Effects of Eurobond Financing: A Canadian Perspective
George Athanassakos - Wilfrid Laurier University, Canada
Jacques A. Schnabel - Wilfrid Laurier University, Canada

Why Stock Valuation Ratios Differ Internationally?
Jongmoo Jay Choi - Temple University, USA
Michael G. Papaioannou - IMF and Bank of Greece

Discussants:
Panicos O. Demetriades - Keele University, UK
K.G. Viswanathan - Hofstra University, USA
Andreas G. Merikas - University of Piraeus, Greece

SESSION 18 Saturday 10:30-12:00 Directors B

EUROPEAN BANKING: STRUCTURE AND REGULATION
Session Chair: Stavros Peristiani - Federal Reserve Bank of New York, USA

Bank Lending Rules for Managing Sovereign Risk
Swapan Sen - Michigan Technological University, USA
Manas K. Chattopadhyay - University of Georgia, USA

Market Structure and Profitability in European Banking
Philip Molyneux - University of Wales, UK

Cooperation and Rivalry in European Banking
Philip Molyneux - University of Wales, UK

Capital Adequacy for Market Risk and Regulation in the EEC
E.K. Gatzonas - Bank of Greece, Greece

Discussants:
Stavros Peristiani - Federal Reserve Bank of New York, USA
Wolfgang Bessler - Rensselaer Polytechnic Institute, USA
Wolfgang Bessler - Rensselaer Polytechnic Institute, USA
Richard Puntillo - University of San Francisco, USA

Selected Articles in the Current Volume

Establishing an Efficient Private-Federal Partnership in Deposit Insurance (Edward J. Kane).

The General Flexibility to Switch: Real Options Revisited (Nalin Kulatilaka and Lenos Trigeorgis).

A Test of Modigliani-Miller Theory of Capital Structure: The Value Invariance Proposition with Australian Evidence (Toan M. Pham and Paul Chan).

The Hedge Ratio and the Measure of Hedging Effectiveness for Foreign Currency Futures and Forward Contracts (Muhammad M. Islam).

Stability of Structural Relationship between Onshore and Offshore U.S. Dollar Yields (Peggy E. Swanson).

Seasonality in the Foreign-Exchange Futures Market (Kartano Liano and Patrick H. Marchand).

Joint Efficiency of the U.S. Stock and Foreign Exchange Markets: Evidence from Cointegration (Banamber Mishra and Matiur Rahman).

EDITOR

Dilip K. Ghosh

ASSOCIATE EDITORS

Raj Aggarwal, James S. Ang, Uri Ben-Zion, G. Geoffrey Booth, J. Jay Choi, Krishnan Dandapani, Edward Dyl, Vihang Errunza, Ali M. Fatemi, Khosrow Fatemi, Michael G. Ferri, Joseph E. Finnerty, Kose John, Edward J. Kane, Ira G. Kawaller, Shahriar Khaksari, E. Han Kim, Cheng F. Lee, Arie Melnik, Michael Melvin, Gordian A. Ndubizu, Edgar Ortiz, George C. Philippatos, Manuchehr Shahrokhi, Marti Subrahmanyam, Takaaki Wakasugi, Uzi Yaari.

Subscription: The yearly subscription for the Journal is US $40.00 (for individuals) and $125.00 (for institutions). Overseas subscribers should add $10.00 for each volume. There are four issues in each volume. Subscription begins with the first issue of the current volume.

Submission: Please send four copies of the manuscript to the editor with the submission fee of $40.00 (for subscribers) or $50.00 (for non-subscribers). The manuscript should be sent to: Professor Dilip K. Ghosh, Editor, The International Journal of Finance, Suffolk University, 8 Ashburton Place, Boston, Massachusetts 02108-2770, USA (Phone: 617-573-8754, Fax: 617-367-9307).