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Is local bias a cross-border phenomenon? : evidence from individual investors’ international asset allocation
Baltzer, Markus; Stolper, Oscar; Walter, Andreas - 2013
Extant literature consistently documents that investors tilt their domestic equity portfolios towards regionally close stocks (local bias). We hypothesize that individual investors’ local bias is not limited to the domestic sphere but instead also determines their international investment...
Persistent link: https://www.econbiz.de/10009740268
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Financial crises and the dynamic linkages between stock and bond returns
Eraslan, Sercan; Ali, Faek Menla - 2017
results lend support to the existence of a substantial time-variation in the dynamic linkages between these financial assets … spillovers mostly run from stocks to bonds and exhibit a time-varying pattern over all three stages of the crisis in most … way round and also exhibit a time-varying pattern in most countries. Furthermore, the portfolio performance comparison …
Persistent link: https://www.econbiz.de/10011663407
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Analysis of nonlinear comovement of benchmark Thai government bond yields
Rewat Khanthaporn - 2022
Persistent link: https://www.econbiz.de/10013429426
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Identifying time variability in stock and interest rate dependence
Stein, Michael; Islami, Mevlud; Lindemann, Jens - 2012
which allow for time-variability and regime changes in correlation. All estimated models allowing for timevarying … correlation complement each other in identifying time-varying patterns found in the (co-)movement between the variables … correlation may move. Our result of a dominant time factor indicates a transition in market structures over time, which is in line …
Persistent link: https://www.econbiz.de/10009625556
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Surprises in scheduled releases : why do they move the bond market?
Hess, Dieter - 2000
It is well known that information arrival has an impact on prices volatility, and trading volume in financial markets (see e.g., Goodhart and O'Hara 1997). Scheduled macroeconomic announcements, such as monthly employment figures, consumer prices, or building permits, stand out from the steady...
Persistent link: https://www.econbiz.de/10013428356
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Who trades on momentum?
Baltzer, Markus; Jank, Stephan; Smajlbegovic, Esad - 2014
momentum trading over time, we document substantial increase in sales of loser stocks by foreign and institutional investors …
Persistent link: https://www.econbiz.de/10010471006
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Procyclical asset management and bond risk premia
Barbu, Alexandru; Fricke, Christoph; Mönch, Emanuel - 2020
Institutional funds have concentrated ownership by a few institutional investors, infrequent outflows and essentially no leverage. Yet using unique granular data on the bond holdings of institutional funds, we show that their trading behavior is strongly procyclical: they actively move into...
Persistent link: https://www.econbiz.de/10012250652
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Investment opportunities in Central and Eastern European equity markets : an econometric examination of the risk-return relationships for Western investors
Schröder, Michael - 2000
This study focuses on the diversification benefits of the most developed equity markets of Central and Eastern Europe (CEE). To evaluate these benefits of diversification we use so-called spanning tests based on a stochastic discount factor approach and estimated by General Methods of Moments...
Persistent link: https://www.econbiz.de/10013428350
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Shock around the clock - on the causal relations between international shock markets, the strength of causality and the intensity of shock transmission : an econometric analysis
Dornau, Robert - 1998
, DAX and Dow Jones Industrial index. Contrary to former work this paper uses the succession of the markets in time to form …
Persistent link: https://www.econbiz.de/10013428145
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When old meets young? : Germany's population ageing and the current account
Schön, Matthias; Stähler, Nikolai - 2019
the world, we analyze the impact of population ageing on net foreign asset and current account developments. Using …
Persistent link: https://www.econbiz.de/10012101176