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Determinants of Stock Market Correlations. Accounting for Model Uncertainty and Reverse Causality in a Large Panel Setting
with A Afonzo and K Beck We examine 22 determinants of stock market correlations in a panel setting with 651 country pairs of developed economies over the 2001-2018 period, while accounting for model uncertainty and reverse causality. On the one hand, we find, that a number of determinants, well established in the literature, e.g. trade, institutional distance, and exchange rate volatility fail the robustness test. On the other hand, we find strong evidence supporting several others: (1) inertia, with current correlation being the best single predictor of the future stock market correlation (2) positive impact of the market size (3) imperative role of the interconnected financial factors: capital mobility, financial development, and portfolio equity flows. With the expected future growth of economies and their capital markets as well as deepening financial liberalization, this paper brings strong support to the hypothesis of diminishing international diversification potential. COSCO and the privatisation of Piraeus port: A tale of three piers
with J Li and S Masino This paper examines one of the most high-profile Chinese investment projects in Europe. Using data collected over the period 2019-2021, we tackle important questions around the impact on employment and workplace regimes of the state-run Piraeus Port Authority (PPA) and China Ocean Shipping Company (COSCO)-run Piraeus Container Terminal (PCT) sides of Piraeus port in Greece. Our key findings indicate that while COSCO’s investment has created much-needed local employment, the adoption of widespread subcontracting of the labour force has segmented workers into very different workplace regimes depending on the side of the port they work at. We found the new workplace regime introduced by PCT to have evolved over time since the inception of operations but to have nevertheless retained key elements of a labour control strategy detrimental to workers’ agency. We examine these findings in light of the facilitative and enabling role that the national labour market reforms played in paving the way for COSCO’s adoption and deployment of such working practices and contextualise them within a multi-scalar governance architecture that connects transnational, national, sectoral and firm-specific elements of the prevailing labour conditions. |
Financial, institutional, and macroeconomic determinants of cross-country portfolio equity flows: the case of developed countries
with A Afonzo, J Alves and K Beck This paper examines the determinants of financial equity flows to investigate the role played by business cycles, government debt and sovereign rating scores, and whether the impact depends on the magnitude and direction of the flows. Using a new, richer dataset of flows among developed countries over 2001-2018, our key findings are as follows: (i) equity flows are more intense among countries at the same stage of the business cycle (ii) equity flows are higher to countries with a relatively lower debt to GDP ratio (iii) financial and macroeconomic variables are important for big equity flows, while institutional variables are important for the small flows. Overall, considering a wider range of factors under-explored in the literature, we provide a stronger understanding of the development of risks in the financial sector as well as the linkages with other sectors of the economy. |
