Using an extensive new data set on U.S. and U.K.-traded closed- end funds, we examine the diversification benefits from … emerging equity markets and the extent of their integration with global capital markets. To measure diversification benefits … significant diversification benefits for the U.K. country funds, but not for the U.S. funds. The difference appears to relate to …

markets. This has led some to doubt the benefits of international diversification. This article solves the dynamic portfolio … a regime-switching model and find evidence for the existence of a high volatility regime, in which returns are more … international diversification is still valuable with regime changes. Currency hedging imparts further benefit. The costs of ignoring …

reservations about the impact of foreign speculators on both expected" returns and market volatility. We propose a cross … receipts country funds and other financial instruments, in an extranational market and market volatility in emerging equity … volatility and correlation are less robust." …

It appears that volatility in equity markets is asymmetric: returns and conditional volatility are negatively … correlated. We provide a unified framework to simultaneously investigate asymmetric volatility at the firm and the market level … empirical evidence on asymmetry to Japanese stocks. Although volatility asymmetry is present and significant at the market and …

measures such as asset concentration, market capitalization to GDP, size of the trade sector, cross-sectional volatility of … has focused on average returns, we analyze the volatility of the returns in emerging equity markets. We characterize the … time-series of volatility in emerging markets and explore the distributional foundations of the variance process. Of …

-Gaussianity. Variance risk premiums on equity are very informative about risk aversion, whereas credit spreads and corporate bond volatility …

The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy … stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility …

We examine aggregate idiosyncratic volatility in 23 developed equity markets, measured using various methodologies, and … we find no evidence of upward trends when we extend the sample until 2008. Instead, idiosyncratic volatility appears to … has relatively short duration. We also document that idiosyncratic volatility is highly correlated across countries …

-varying volatility, skewness and kurtosis in fundamentals while still permitting closed-form solutions for asset prices. The model not …