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Dating the Integration of World Equity Markets
Bekaert, Geert - 2008
Measuring the integration of world capital markets is notoriously difficult. For example, regulatory changes which … equity market becomes financially integrated with world capital markets. We find endogenous break dates that are very … markets are on average larger and more liquid than before; returns are more volatile and more highly correlated with the world …
Persistent link: https://www.econbiz.de/10012774881
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Global Crises and Equity Market Contagion
Bekaert, Geert - 2011
Using the 2007-09 financial crisis as a laboratory, we analyze the transmission of crises to country-industry equity portfolios in 55 countries. We use a factor model to predict crisis returns, defining unexplained increases in factor loadings and residual correlations as indicative of...
Persistent link: https://www.econbiz.de/10013123703
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On the Link between the Volatility and Skewness of Growth
Bekaert, Geert - 2012
In a sample of 110 countries over the period 1960-2009, we document a positive relation between the volatility and skewness of growth in the cross-section. The relation holds regardless of initial level of economic development and of subsequent long-run growth rate. We argue that this novel...
Persistent link: https://www.econbiz.de/10013097664
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Flights to Safety
Baele, Lieven - 2013
We identify flight-to-safety (FTS) days for 23 countries using only stock and bond returns and a model averaging approach. FTS days comprise less than 2% of the sample, and are associated with a 2.7% average bond-equity return differential and significant flows out of equity funds and into...
Persistent link: https://www.econbiz.de/10013081241
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On the Global Financial Market Integration “Swoosh” and the Trilemma
Bekaert, Geert - 2017
We propose a simple measure of de facto financial market integration based on a factor model of monthly equity returns, which can be computed back to the first era of financial globalization for 17 countries. Global financial market integration follows a “swoosh” shape – i.e. high...
Persistent link: https://www.econbiz.de/10012963752
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The Determinants of Stock and Bond Return Comovements
Baele, Lieven - 2010
We study the economic sources of stock-bond return comovements and its time variation using a dynamic factor model. We identify the economic factors employing a semi-structural regime-switching model for state variables such as interest rates, inflation, the output gap, and cash flow growth. We...
Persistent link: https://www.econbiz.de/10013151357
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Currency Factors
Aloosh, Arash - 2019
additional factors, a commodity currency factor and a “world” factor based on trading volumes, fits currency basket correlations …
Persistent link: https://www.econbiz.de/10012894993
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Good Carry, Bad Carry
Bekaert, Geert - 2019
We distinguish between ”good” and ”bad” carry trades constructed from G-10 currencies. The good trades exhibit higher Sharpe ratios and sometimes positive return skewness, in contrast to the bad trades that have both substantially lower Sharpe ratios and highly negative return skewness....
Persistent link: https://www.econbiz.de/10012895473
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Market Integration and Contagion
Bekaert, Geert - 2010
to providing new insights on contagion during crisis periods, we document patterns through time in world and regional …
Persistent link: https://www.econbiz.de/10012762856
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Time-Varying World Market Integration
Bekaert, Geert - 2010
-switching model, allows us to describe expected returns in countries that are segmented from world capital markets in one part of the …
Persistent link: https://www.econbiz.de/10012763564