Cost of sovereign debt and foreign bias in bond allocations

Finance theory suggests that markets where foreign bond portfolio investors overweight their portfolio relative to the prescribed theoretical benchmark should experience higher international risk sharing. Correspondingly, the cost of debt in such markets should be lower compared to markets facing a lower degree of international risk sharing. We empirically examine this prediction using a panel data set of sovereign bond yield spreads and a measure of suboptimal foreign bond portfolio allocations for 50 emerging and ten developed markets. Consistent with theory, our results show higher levels of foreign bond allocations – relative to the theoretical benchmark – are negatively related to the cost of debt. These results have important policy implications as a country’s cost of debt could potentially be lowered by encouraging foreign portfolio investors to hold their optimal allocation

Integration of emerging equity markets. A systematic review

Emerging equity markets have attracted foreign investor by their higher returns and prospect of superior risk diversification benefits. In light of increasing flow of equity portfolio investments into these economies and their subsequent integration with equity markets of developed world, studies have not only shown concern over the reduction in the long term risk diversification benefits, but also there may be less of increase in the original price of securities. Local economy initiates formal financial liberalisation measures to integrate with world capital markets. However, removal of regulatory restrictions may not attract foreign investments in the presence of other indirect barriers and emerging markets specific risks. Also, the process of financial liberalisation is time varying and not one off event. This creates difficulty in pin pointing the exact date of liberalisation. These complexities cause difficulties in the development of dynamic models for pricing securities in emerging markets and measuring the impact of integration. However, with the removal of direct and indirect barriers to foreign investments, these markets are showing greater integration with world markets. With increasing integration emerging markets are becoming more susceptible to global risk factors. Higher degree of integration should reduce cost of equity capital (expected return) and increase the correlation of returns with developed markets. However, empirical works report the reduction in cost of capital to be lower than predicted by asset pricing models. It is also challenging to measure the degree of market integration because of the constant structural changes observed in emerging markets. Countries have even been found to exhibit segmentation over time. Hence, in the context of asset pricing models the findings on the degree of integration are inconclusive and conflicting

Generalized Interlinked Cycle Cover for Index Coding

A source coding problem over a noiseless broadcast channel where the source is pre-informed about the contents of the cache of all receivers, is an index coding problem. Furthermore, if each message is requested by one receiver, then we call this an index coding problem with a unicast message setting. This problem can be represented by a directed graph. In this paper, we first define a structure (we call generalized interlinked cycles (GIC)) in directed graphs. A GIC consists of cycles which are interlinked in some manner (i.e., not disjoint), and it turns out that the GIC is a generalization of cliques and cycles. We then propose a simple scalar linear encoding scheme with linear time encoding complexity. This scheme exploits GICs in the digraph. We prove that our scheme is optimal for a class of digraphs with message packets of any length. Moreover, we show that our scheme can outperform existing techniques, e.g., partial clique cover, local chromatic number, composite-coding, and interlinked cycle cover.Comment: Extended version of the paper which is to be presented at the IEEE Information Theory Workshop (ITW), 2015 Jej

Graph-Theoretic Approaches to Two-Sender Index Coding

Consider a communication scenario over a noiseless channel where a sender is required to broadcast messages to multiple receivers, each having side information about some messages. In this scenario, the sender can leverage the receivers' side information during the encoding of messages in order to reduce the required transmissions. This type of encoding is called index coding. In this paper, we study index coding with two cooperative senders, each with some subset of messages, and multiple receivers, each requesting one unique message. The index coding in this setup is called two-sender unicast index coding (TSUIC). The main aim of TSUIC is to minimize the total number of transmissions required by the two senders. Based on graph-theoretic approaches, we prove that TSUIC is equivalent to single-sender unicast index coding (SSUIC) for some special cases. Moreover, we extend the existing schemes for SSUIC, viz., the cycle-cover scheme, the clique-cover scheme, and the local-chromatic scheme to the corresponding schemes for TSUIC.Comment: To be presented at 2016 IEEE Global Communications Conference (GLOBECOM 2016) Workshop on Network Coding and Applications (NetCod), Washington, USA, 201

A New Index Coding Scheme Exploiting Interlinked Cycles

We study the index coding problem in the unicast message setting, i.e., where each message is requested by one unique receiver. This problem can be modeled by a directed graph. We propose a new scheme called interlinked cycle cover, which exploits interlinked cycles in the directed graph, for designing index codes. This new scheme generalizes the existing clique cover and cycle cover schemes. We prove that for a class of infinitely many digraphs with messages of any length, interlinked cycle cover provides an optimal index code. Furthermore, the index code is linear with linear time encoding complexity.Comment: To be presented at the 2015 IEEE International Symposium on Information Theory (ISIT 2015), Hong Kon

Foreign bias in bond portfolio investments:the role of economic and non-economic factors and the impact of the global financial and sovereign debt crises

In this study we examine whether theoretically inconsistent foreign bond allocations are associated with economic fundamentals and/or non-economic behavioural factors. Using panel data for 54 developed and emerging markets spanning a temporal period of 12 years, the results show that non-economic factors, i.e. familiarity with foreign markets and behavioural characteristics of source markets, are the stronger drivers of biases in foreign bond allocations. Further, using the recent 2009-11 European sovereign debt crisis as an experimental set-up, we find that investors reduce their foreign bond allocations during the debt crisis, with the withdrawals being more severe from the most affected countries. We also find that the relevance of familiarity with foreign markets becomes more pronounced during the European debt crisis. However, in case of the recent 2007-09 global financial crisis, we find no evidence of change in foreign bias by international bond investors

A Study Of Structure-Property Correlation In V2o5 And Tio2 Based Thin Films As Functional Materials

ABSTRACT A STUDY OF STRUCTURE-PROPERTY CORRELATION IN V2O5 AND TiO2 BASED THIN FILMS AS FUNCTIONAL MATERIALS by CHANDRA THAPA June 2010 Advisor: Dr. Ratna Naik Co-Advisor: Dr. K. R. Padmanabhan Major: Physics (Condensed Matter) Degree: Doctor of Philosophy The focus of this thesis is to study the structure-property correlation in thin films of V2O5 and TiO2 based transition metal oxides as functional materials. V2O5 is investigated as a cathode material for lithium ion battery and TiO2 as a high-K dielectric material. We studied V2O5 thin films prepared by spin coating using three different types of precursors, MOD precursor, sol-gel organic precursor and sol-gel inorganic precursor. On the basis of structural and electrochemical studies, we find that the capacity is dependent on the degree of non-stoichiometry. We have also studied the effect of addition of Ti. Although Ti doping enhances non-stoichiometry, the capacity was found to increase only in 5% Ti-doped sol-gel film. This means the optimal degree of non-stoichiometry is crucial to enhance the capacity. TiO2 is one of the possible high-k dielectric materials because of its very high dielectric constant. We studied leakage characteristics, the dielectric strength and frequency dependent behavior of dielectric constant of TiO2 thin films prepared by MOD, sputter deposition and annealed at different temperatures. We find dielectric constant increasing with the increase in annealing temperature and leakage current density improvement by almost one order of magnitude with each 1000C increase in annealing temperature. Since TiO2 possess two distinct thermodynamical phases: anatase and rutile, which dramatically influences the values of dielectric constant and leakage current density, it is crucial if we can stabilize the phase of TiO2 by doping. We find that 20% Zr-doping completely stabilizes TiO2 phase in its anatase form. The dielectric constant of the films is independent of annealing temperature but the leakage current density improves by one order of magnitude with every 1000C increase in annealing temperature