The industries in which listed firms are concentrated in less developed equity markets are not random, nor entirely explained by the underlying composition of production. Listed firms and market capitalization are disproportionately concentrated in industries with low beta (measured with their...

This paper investigates the volatility and correlations of stock returns of some crisis-hit countries such as, US, Greece, Thailand and Malaysia during the major global financial crises since 1992. The paper makes an attempt to address the following two issues: Firstly, to measure the extent of...

We propose a novel approach to cross-sectional equities sample selection, derived from best market practice in index construction and focused on investability. Using the U.K. market as a template, we first demonstrate how the popular Datastream dataset is plagued by data deficiencies that would...

This article investigates international stock market integration in four major developed economies, namely the United States, the Economic and Monetary Union of the European Union, Japan and the United Kingdom, and two Asian emerging, countries namely China and India, over the period from June...

This paper examines the benefits of regionally and globally diversified portfolios from the perspective of investors holding domestic-only portfolios from different Asia-Pacific countries. Three groups of regional portfolio are constructed, with sorting based on relative strength ranking...

We show that recent methodological advances in econometric theory raise questions about the results obtained by Lane and Milesi-Ferretti (LMF) in relation to the determinants of international investment patterns (International Investment Patterns, The Review of Economics and Statistics 2008; 90(3):...

This study is the first effort to establish a short and long run relationship between developed (US-S&P500 index and UK-FTSE100 index), emerging (DJ TOXX 600) and South Asian (India, Pakistan and Sri Lanka) equity markets. Using the data from Jan 1998 to Dec 2013, this study have tested the unit...

The aim of this paper is to examine whether or not financial liberalization has triggered banking crises in developing countries. We focus in particular on the role of capital inflows as their volatilities threat economic stability. In the empirical model, based on Panel Logit estimation, we use...

This paper explores the evolution of European stock markets integration with the US stock market, after the formation of European Monetary Union (EMU). To this end, we employ a dynamic version of international CAPM in the absence of purchasing power parity. The conditional covariance matrix of...

The purpose of this paper is to understand the reasons behind financial market behavior that often does not match that proposed by classic finance models. In particular, this work tests the fully-rational agents assumption made by classic finance to explain investment decisions under...