Graduate Institute of Technology and Innovation Management

Department of Finance, College of Commerce, NCCU Yen, Simon H.





Seminar in Multinational Financial Management

Spring 2011

A. / Instructor: / Professor Yen, Simon H.
Office: / Research Room 261011, 10th Fl., College of Commerce Bldg.
E-mail: /
Phone/Fax: / 2939-3091 ext.81011 (Phone), 29393394 (Fax)
Class Hours: / Wednesday 14:10 – 17:00
Office Hours: / Wednesday 10:10 – 14:00 And by appointment
B. / Reference Books
(1) Buckley, Peter J., International Investment, Brookfield, Vermont: Edward Elgar Publishing Ltd., 1990.
(2) Kolb, Robert W., The International Finance Reader, Miami, Florida: Kolb Publishing Co., 1991.
(3) Lessard, Donald R., International Financial Management: Theory and Application, 2nd ed., New York: John Wiley & Sons, 1985.
(4) Krugman and Obstfeld, International Economics, 5th ed., Addison-Wesley, 2000.
(5) Roberts, Richard, International Financial Center of Europe, North America and Asia, Cambridge: Edward Elgar Publishing, 1994.
(6) Shapiro, A. C., Multinational Financial Management, 9th ed., John Wiley, 2010.
(7) Stern, Joel M. And Donald H. Chew, New Development in International Finance, New York: Basil Blackwell Inc., 1988.
C. / Handouts
I. Solnik’s (1974) International CAPM.
II. Stulz’s (1981) International Asset Pricing Model.
D. / Course Objectives
This course is designed to train the participants in comprehending financial theory on multinational financial management, and solving them with the use of continuous-time general equilibrium model and stochastic differential equations. And the students are required to choose one paper from reading list to present in class. After class teaching, discussions and presentations, students are required to submit a term paper of selected reading papers.
E. / Grading Policy
1. Term paper report------
2. Class discussion, participation and presentation------/ 50%
Total / 100%
F. / Important Notes and Policies
1.  Full term paper will be submitted by hardcopy and CD in two weeks after course finished.
2.  Attendance records are available for grading bonus.

Syllabus_ FM_Ph. D._Seminar in Multinational Financial Management_Yen, Simon H. page 25/26

Department of Finance, College of Commerce, NCCU Yen, Simon H.

Class Schedule

1 / 2/23
2 / 3/2
3 / 3/9
4 / 3/16
5 / 3/23
6 / 3/30
7 / 4/6
8 / 4/13
9 / 4/20
10 / 4/27
11 / 5/4
12 / 5/11
13 / 5/18
14 / 5/25
15 / 6/1
16 / 6/8
17 / 6/15
18 / 6/22


I. Introduction

  1. Lessard, Donald R., “Finance and Global Competition: Exploiting Financial Scope and Coping with Volatile Exchange Rates” in Competition in Global Industries, edited by Michael E. Porter, Boston, Mass.: Harvard Business School Press, 1986.
  1. Levich, Richard M., “Evaluating the Performance of the Forecasters” in International Financial Management: Theory and Application, edited by Donald R. Lessard, 1985.

II. International Stock Markets and Pricing Models

(A) International Asset Pricing Model

  1. Alder, Michael and Bernard Dumas, “International Portfolio Choice and Corporation Finance: A Synthesis” Journal of Finance 38 (June 1983), 925-984.
  1. Bansal, Ravi, David A. Hsieh and S. Viswanathan, “A New Approach to International Arbitrage Pricing,” Journal of Finance (December 1993), 1719-1747.
  1. Brennan, M. J., H. H. Cao, N. Strong, and Xinzhong Xu, “The Dynamics of International Equity Market Expectations,” Journal of Financial Economics 77 (2005), 257-288.※
  1. Brennan, M. J. and Yihong Xia, “International Capital Markets and Foreign Exchange Risk,” Review of Financial Studies, Vol. 19, No.3 (2006), 753-795.※
  1. Chaieb, Ines and Vihang Errunza, “International asset pricing under segmentation and PPP deviation” Journal of Financial Economics 86 (2007), 543-578.※
  1. Eun, S. C. and S. Viswanathan, “A Model of International Asset Pricing with a Constraint on the Foreign Equity Ownership,” Journal of Finance, Vol. XLI, No. 40 (September 1986), 897-914.
  1. Grauer, F. L. A., R. H. Litzenberger and R. E. Stehle, “Sharing Rules and Equilibrium in an International Capital Market under Uncertainty,” Journal of Financial Economics 3 (1976), 233-256.
  1. * Lee, Kuan-Hui, “The World Price of Liquidity Risk,” Journal of Financial Economics 99 (2011), 136 – 161.
  1. Lioui, Abraham and Patrice Poncet, “International Asset Allocation: A New Perspective,” Journal of Banking & Finance 27 (2003), 2203-2230.※
  1. Mo, Henry and Liuren Wu, “International capital asset pricing: Evidence from options” Journal of Empirical Finance 14 (2007), 465-498.※
  1. Ng, David T., “The International CAPM when expected returns are time-varying,” Journal of International Money and Finance 23 (2004), 189-230.
  1. Pavlova, Anna, and R. Rigobon, “Asset Prices and Exchange Rates,” NBER Working Paper 9834 (July 2003).
  1. Solnik, B. H., “An Equilibrium Model of the International Capital Market,” Journal of Economic Theory 8 (1974), 500-524.
  1. Solnik, B. H., “International Arbitrage Pricing Theory,” Journal of Finance, Vol. XXXVIII, No. 2 (May 1983), 449-457.
  1. Stulz, René M., “A Model of International Asset Pricing,” Journal of Financial Economics 9 (1981), 383-406.
  1. Stulz, René M., “On the Effects of Barriers to International Investment,” Journal of Finance, Vol. XXXVI, No. 4 (September 1981), 923-934.
  1. Stulz, René M., “The Demand for Foreign Bonds,” Journal of International Economics 15 (1983), 225-238.
  1. Stulz, René M., “On the Determinants of Net Foreign Investment,” Journal of Finance, Vol. XXXVIII, No. 2 (May 1983), 459-468.
  1. Stulz, René M., “Pricing Capital Assets in an International Setting: an Introduction,” Journal of International Business Studies (winter 1984), 55-73.
  1. Stulz, René M., “Capital Mobility and Current Account,” Journal of International Money and Finance, 7 (1988), 167-180.
  1. Stulz, René M., “International Portfolio Choice and Asset Pricing: An Integrative Survey,” in Handbooks in OR & MS, Vol.9, edited by R. Jarrow et al., Elsevier Science B.V., 1995.

(B) International Market Integration and/or Segmentation

1.  Bekaert, Geert and Campbell R. Harvey, “Time-Varying World Market Integration,” Journal of Finance, Vol. L. No.2 (June 1995), 403-444.

2.  Bekaert, Geert and Campbell R. Harvey, “Emerging Equity Market Volatility,” Journal of Financial Economics 43 (1997), 29-77.

3.  Bekaert, Geert, Campbell R. Harvey and R.L. Lumsdaine, “The Dynamics of Emerging Market Equity Flows,” Journal of International Money and Finance 21 (2002), 295-350.

4.  Bekaert, Geert, Campbell R. Harvey, Christian Lundblad and Stephan Siegel, “Global Growth Opportunities and Market Integration,” The Journal of Finance, Vol. LXII, No.3 (June 2007), 1081-1137.

5.  Campbell, John Y. And Yasushi Hamao, “Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration,” The Journal of Finance, Vol.47, No.1 (March 1992), 43-69.

6.  Foerster, Stephen R. and G. Andrew Karolyi, “The Effect of Market Segmentation and Investor Recognition on Asset Prices: Evidence from Foregin Stocks Listing in the United States,” Journal of Finance 54, No. 3 (June 1999), 981-1013.

7.  Gultekin, Mustafa N., Bulent Gultekin, and Alessandro Penati, “Capital Controls and International Capital Market Segmentation: The Evidence form the Japanese and American Stock Markets,” Journal of Finance 44 (September 1989), 849-869.

8.  Heston, Steven L., K. Geert Rouwenhorst, and Roberto E. Wessels, “The Structure of International Stock Returns and the Integration of Capital Markets,” Journal of Empirical Finance 2 (1995), 173-197.

9.  Karolyi, G. Andrew and René M. Stulz, “Why Do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements,” Journal of Finance 51 (July 1996), 951-986.

10.  Lombard, T., J. Roulet, and B. Solnik, “Pricing of Domestic versus Multinational Companies,” Financial Analyst Journal (March/April 1999), 35-49.

11.  Pukthuanthong, Kuntara and Richard Roll, “Global market integration: An alternative measure and its application,” Journal of Financial Economics 94 (2009), 214-232.

(C) International Transmission

1.  Bae, K.H., G.A. Karolyi, and René M. Stulz, “A New Approach to Measuring Financial Contagion,” Review of Financial Studies 16, No. 3 (2003), 717-763.

2.  * Bekaert, G., R.J. Hodrick, and X. Zhang, “International Stock Return Comovements,” The Journal of Finance, Vol. LXIV, No. 6 (December 2009), 2591 – 2626.

3.  * Boyson, N.M., C.W. Stahel, and R.M. Stulz, “Hedge Fund Contagion and Liquidity Shocks,” The Journal of Finance, Vol. LXV, No.5 (October 2010), 1789 – 1816.

4.  Eun, Cheol S. and Sangdal Shim, “International Transmission of Stock Market Movements,” Journal of Financial and Quantitative Analysis, vol.24, No.2 (June 1989), 241-256.

5.  Froot, Kenneth A., Paul G.J. O’Connell, and Mark S. Seasholes, “The Portfolio Flows of International Investors,” Journal of Financial Economics 59 (2001), 151-193.

6.  Goldstein, I., and Ady Pauzner, “Contagion of self-fulfilling financial crises due to diversification of investment portfolios,” Journal of Economic Theory 119 (2004), 151-183.

5.  Hamao, Yasushi, Ronald W. Masulis and Victor Ng, “Correlations in Price Changes and Volatility across International Stock Markets,” Review of Financial Studies 3, No. 2 (1990), 281-307.

6.  Hon, M.T., J. Strauss, and S. Yong, “Contagion in Financial Markets after September 11: Myth or Reality,” Journal of Financial Research 27, No.1(2004), 95-114.

7.  Ivaschenko, I.V., “Coping with Financial Spillovers from the United States: the Effect of US Corporate Scandals on Canadian Stock Prices,” Journal of Multinational Financial Management 14 (2004), 407-424.

8.  Kim, Sang W. And John H. Rogers, “International Stock Price Spillovers and Market Liberalization: Evidence from Korea, Japan, and the United States,” Journal of Empirical Finance 2 (1995), 117-133.

9.  King, Mervyn A. And Sushll Wadhwanl, “Transmission of Volatility between Stock Markets,” The Review of Financial Studies 3, No.1 (1990), 5-33.

10.  Koutmos, Gregory and G. Geoffrey Booth “Asymmetric Volatility Transmission in International Stock Markets,” Journal of International Money and Finance, Vol. 14, No. 6 (1995), 747-762.

11.  Lau, Sie Ting and J. David Diltz, “Stock Returns and The Transfer of Information between The New York and Tokyo Stock Exchanges,” Journal of International Money and Finance (1994) 13(2), 211-222.

12.  Lin, Wen-Ling, Robert F. Engle, and Takatoshi Ito, “Do Bulls and Bears Move across Borders? International Transmission of Stock Returns and Volatility,” The Review of Financial Studies 7, No.3 (fall 1994), 507-538.

13.  Tai, C., “Contagion: Evidence from International Banking Industry,” Journal of Multinational Financial Management 14 (2004), 353-368.

(D) International Dual Listings

  1. Baruch, Shmuel, G. Andrew Karolyi and Michael L. Lemmon, “Multimarket Trading and Liquidity: Theory and Evidence,” The Journal of Finance, Vol, LXII, No.5 (OCTOBER 2007), 2169-2200.
  1. Chan, K.C., Wai-Ming Fong, Bong-Chan Kho, René M. Stulz, “Information, Trading and Stock Returns: Lessons from Dually-listed Securities,” Journal of Banking & Finance 20 (1996), 1161-1187.
  1. Doidge, C., G. A. Karolyi, and René M. Stulz, “Why are Foreign Firms Listed in the U.S. Worth more? ,” Journal of Financial Economics 71 (2004), 205-238.
  1. Doidge, Craig, G. Andrew Karolyi and René M. Stulz, “Has New York Becomes Less Competitive than London in Global Markets? Evaluating Foreign Listing Choices Over Time,” Journal of Financial Economics 91 (2009), 253-277.
  1. * Doidge, C., G. A. Karolyi, and R.M. Stulz, “Why Do Foreign Firms Leave U.S. Equity Markets?” The Journal of Finance, Vol. LXV, No.4 (August 2010), 1507 – 1553.
  1. Domowitz, L. J. Glen and A. Madhavan, “International Cross-Listing and Order Flow Migration: Evidence from an Emerging Market,” Journal of Finance, Vol. LIII, No. 6 (December 1998), 2001-2027.
  1. Fernandes, Nuno and Miguel A. Ferreira, “Does International Cross-Listing Improve the Information Environment?” Forthcoming in the Journal of Financial Economics (June 2007).
  1. Miller, Darius P, “The Market Reaction to International Cross-listings: Evidence from Depositary Receipts,” Journal of Financial Economics, Vol. 51, No. 1 (Jan. 1999), 103-123.
  1. Noronha, Gregory M., Atulya Sarin, Shahrokh M. Saudagaran, “Testing for Micro-structure Effects of International Dual Listings Using Intraday Data,” Journal of Banking & Finance 20 (1996), 965-983.
  1. Pagano, M., Ailsa A. Röell, and Josef Zechner, “The Geography of Equity Listing: Why Do Companies List Abroad ? ,” Journal of Finance, Vol. LVII, No. 6 (December 2002), 2651-2694.
  1. Reese Jr., William A., Michael S. Weisbach, “Protection of Minority Shareholder Interests, Cross-listings in the United States, and Subsequent Equity Offerings,” Journal of Financial Economics 66 (2002), 65-104.

(E) Exchange Rates and Stock Returns

1.  Ajayi, Richard A. and Mbodja Mougoue, “On the Dynamic Relation Between Stock Prices and Exchange Rates,” Journal of Financial Research (summer 1996) Vol. XIX, No.2, 193-207.

2.  Bailey, W., K. Chan, and Y. P. Chung, “Depositary Receipts, Country Funds, and the Peso Crash: The Intraday Evidence,” Journal of Finance, Vol LV, No. 6 (Dec. 2000), p2693-2717.

3.  Bailey, Warren and Y. Peter Chung, “Exchange Rate Fluctuations, Political Risk, and Stock Returns: Some Evidence from an Emerging Market,” Journal of Financial and Quantitative Analysis Vol. 30, No. 4 (December 1995), 541-561.

4.  Chow, Edward H., Wayne Y. Lee and Michael E. Solt, “The Exchange Rate Exposure of Asset Returns,” Journal of Business, Vol. 70, No. 1 (1997), 105-125.

5.  Griffin, J.M. and René M. Stulz, “International Competition and Exchange Rate Shocks: A Cross-Country Industry Analysis of Stock Returns,” The Review of Financial Studies 14, No.1 (Spring 2001), 215-241.

6.  Hau, H. and H. Rey, “Exchange Rates, Equity Prices, and Capital Flows,” Review of Financial Studies 19, No.1 (2006), 273-318.

7.  Koop, Gary, “An Objective Bayesian analysis of Common Stochastic Trends in International Stock Prices and Exchange Rates,” Journal of Empirical Finance 1 (1994), 343-364.

(F) Home Bias

1.  Carey, Mark and Greg Nini, “Is the Corporate Loan Market Globally Integrated? A Pricing Puzzle,” The Journal of Finance, Vol. LXII, No. 6 (December 2007), 2969-3007.

2.  Chan, K., V. Covrig, and L. Ng, “What Determines the Domestic Bias and Foreign Bias? Evidence from Mutual Fund Equity Allocations Worldwide” Journal of Finance Vol. LX, No. 3, (Jun. 2005), 1495-1534.

3.  Coval, Joshua D. and Tobias J. Moskowitz, “Home Bias at Home: Local Equity Preference in Domestic Portfolios,” Journal of Finance Vol. LIV, No. 6, (Dec. 1999), 2045-2073.

4.  Dahlquist, M. and Göran Robertsson, “Direct Foreign Ownership, Institutional Investors, and Firm Characteristics,” Journal of Financial Economics 59 (2001), 413-440.

5.  Gelos, Gaston, and S. Wei, “Transparency and International Portfolio Holdings,” Journal of Finance Vol. LX, No. 6, (Dec. 2005), 2987-3020.

6.  Kang, Jun-Koo and René M. Stulz, “Why is there a Home Bias? An Analysis of Foreign Portfolio Equity Ownership in Japan,” Journal of Financial Economics 46 (1997), 3-28.

7.  Li, Kai, “Confidence in the Familiar: An International Perspective,” Journal of Financial and Quantitative Analysis, Vo.39, No.1 (March 2004), 47-68.

8.  * Nieuwerburgh, S.V. and L. Veldkamp, “Information Immobility and the Home Bias Puzzle,” The Journal of Finance, Vol. LXIV, No. 3 (June 2009), 1187 – 1215.