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The Causal Links Between Equity Market Prices: The Case of Australia and Its Major Trading Partners

Roca, Eduardo D.; Hatemi-J, Abdulnasser - Econometric Society - 2004

, these results give further confirmation that the latter group of markets can serve as good avenues for portfolio …

Persistent link: https://www.econbiz.de/10005063637

That Courage is not inconsistent with Caution: Foreign Currency Hedging for Superannuation Funds

Thorp, Susan - Econometric Society - 2004

optimal allocations which stochastically dominate the restricted portfolio according to Barrett-Donald (2003) tests. The …

Persistent link: https://www.econbiz.de/10005063662

Myopic Loss Aversion, Asymmetric Correlations, and the Home Bias

Carvalho, Carlos Viana de; Amonlirdviman, Kevin - Econometric Society - 2004

risk aversion. The intuition is that it plays the role of high risk aversion in portfolio choice. But if so, should these … risk aversion? They might not because stock market returns are asymmetrically correlated. We analyze the portfolio problem …

Persistent link: https://www.econbiz.de/10005699617

International capital flows and transmission of financial crises

Goenka, Aditya; Boschi, Melisso - Econometric Society - 2004

formation. It is shown how international portfolio choice in frictionless financial markets with habit formation is in itself a …

Persistent link: https://www.econbiz.de/10005702724

The Spirit of Capitalism and International Risk Sharing

Chue, Timothy K. - Econometric Society - 2004

by the discount-factor-based approach of Brandt, Cochrane, and Santa-Clara (2001), even when consumption and portfolio … holdings exhibit "home bias". We also show how portfolio externalities can arise in the model, and highlight the caution that … one needs in interpreting discount-factor-based measures of international risk sharing: in the presence of portfolio …

Persistent link: https://www.econbiz.de/10005702731

Cousin Risks: The Extent and the Causes of Positive Correlation between Country and Currency Risks

Garcia, Marcio; Lowenkron, Alexandre - Econometric Society - 2004

If country and currency risk premiums are positively correlated, a negative international liquidity shock harms twice the economy, thereby substantially increasing interest rates. This harmful positive correlation between country and currency risk premiums observed in some countries is called...

Persistent link: https://www.econbiz.de/10005328851

The Contagion Box: Measuring Co-Movements in Financial Markets by Regression Quantiles

Manganelli, Simone; Cappiello, Lorenzo; Gerard, Bruno - Econometric Society - 2004

We propose a semi-parametric approach to investigate whether co-dependence across markets increase in periods of extreme returns. Given that returns on one market fall in the extreme tail of their own distribution, we compute the conditional probability that returns on another market will also...

Persistent link: https://www.econbiz.de/10005328895

Non Monotone Liquidity Under-Supply

Ana, Fostel; John, Geanakoplos - Econometric Society - 2004

We show that very little is needed to create liquidity under-supply in equilibrium: only the presence of credit constraints on demand. We show that the under-supply is a non-monotone function of the demand distortion that causes it, a result that may have interesting implications for emerging...

Persistent link: https://www.econbiz.de/10005063557

The Growth of Global Equity Markets: A Closer Look

Li, Kai - Econometric Society - 2004

This paper presents both the time-series and cross-country evidence on the growth of global equity markets and attempts to shed some light on the sources of equity market growth. Using data on 33 countries, I find that development of financial intermediaries and openness to trade are positively...

Persistent link: https://www.econbiz.de/10005063590

Testing for the martingale hypothesis in Asian stock prices: evidence from a new joint variance ratio test

Kim, Jae H. - Econometric Society - 2004

This paper tests for the martingale (or random walk) hypothesis in the stock prices of a group of Asian countries. The selected countries represent well-developed markets (Hong Kong and Japan) as well as emerging markets (Korea, Taiwan and Thailand). This paper adopts a new joint variance ratio...

Persistent link: https://www.econbiz.de/10005063663