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Strategic returns to international diversification: an application to the equity markets of Europe, Japan, and North America
Ammer, John; Mei, Jianping - Federal Reserve Board (Board of Governors of the … - 1995
We undertake a decomposition of the risk factor loadings of fifteen national stock market returns from 1972 to 1990, using a variant of the Campbell-Shiller (1988) linearization. We find considerable variation among countries in the relative importance of a cash flow component and a discount...
Persistent link: https://www.econbiz.de/10005368494
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International stock price spillovers and market liberalization: evidence from Korea, Japan, and the United States
Kim, Sang W.; Rogers, John H. - Federal Reserve Board (Board of Governors of the … - 1995
relationship between the stock markets of Korea, Japan, and the United States. We estimate GARCH models to quantify the importance … of "volatility spillovers" from Japan and the U.S. on the mean and variance of Korean returns. Such spillovers have …
Persistent link: https://www.econbiz.de/10005372543