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International Diversification Gains and Home Bias in Banking

García-Herrero, Alicia - 2007

countries and their subsidiaries overseas during 1995-2004, and studies the extent of diversification gains from their local … of a mean-variance portfolio optimization model. Overall, international diversification gains in banking appear to be … diversification gains could usefully be considered in the second pillar of Basel II as the first pillar is based only on the …

Persistent link: https://www.econbiz.de/10014401066

Emerging market portfolio flows : the role of benchmark-driven investors

Arslanalp, Serkan; Tsuda, Takahiro - 2015

Portfolio flows to emerging markets (EMs) tend to be correlated. A possible explanation is the role global benchmarks play in allocating capital internationally, the so-called 'benchmark effect.' This paper finds that benchmark-driven investors indeed play a large role in a key segment of the...

Persistent link: https://www.econbiz.de/10011445830

Benchmark-driven investments in emerging market bond markets : taking stock

Arslanalp, Serkan; Drakopoulos, Dimitris; Goel, Rohit; … - 2020

This paper reviews the role of benchmark-driven investments in EM local bond markets. We provide an overview of how key EM bond benchmark indices are constructed, how they affect the behavior of investment funds, and what are the likely implications for capital flows and policy-making. Several...

Persistent link: https://www.econbiz.de/10012391578

Do multi-sector bond funds pose risks to emerging markets?

Cortes, Fabio; Sanfilippo, Luca - 2020

Emerging economies in the post-crisis period increasingly saw portfolio debt inflows from a type of large international investment fund: Multi-Sector Bond Funds (MSBFs). These investors have lacked adequate representation in the literature. This paper constructs a new detailed database from...

Persistent link: https://www.econbiz.de/10012300674

The Asset Allocation of Emerging Market Mutual Funds

Disyatat, Piti - 2001

Benchmark following and portfolio rebalancing effects have often been cited when trying to explain international financial contagion phenomena. Using a dataset containing the country allocation of individual dedicated emerging market equity funds, we assess the relevance of mean-variance...

Persistent link: https://www.econbiz.de/10014403597

Is Foreign Debt Portfolio Management Efficient in Emerging Economies?

Hussein, Khaled - 2001

This paper develops a simple model of foreign debt portfolio management. The model suggests that, under mild conditions, the currency composition of a country''s foreign debt portfolio is responsive to exchange rate movements. Empirical evidence is provided for a panel of 14 emerging economies...

Persistent link: https://www.econbiz.de/10014400113

Risk Management of Sovereign Assets and Liabilities

Cassard, Marcel - 1997

In an environment of sizable and volatile capital flows and integrated international capital markets, large and unhedged net external sovereign liabilities expose countries to swings in international asset prices and to potential speculative currency attacks. The paper argues that an essential...

Persistent link: https://www.econbiz.de/10014403784

U.S. Investors' Emerging Market Equity Portfolios : A Security-Level Analysis

Warnock, Francis E. - 2003

We analyze a unique data set and uncover a remarkable result that casts a new light on the home bias phenomenon. The data are comprehensive, security-level holdings of emerging market equities by U.S. investors. We document, as expected, that at a point in time U.S. portfolios are tilted towards...

Persistent link: https://www.econbiz.de/10014403970

Pension Funds and Emerging Markets

Chan-Lau, Jorge A. - 2004

This paper focuses on the investment behavior of pension funds in developed and emerging market countries. First, it analyzes the main determinants of the emerging market asset allocation of pension funds in developed countries. Second, it assesses how pension funds in emerging markets have...

Persistent link: https://www.econbiz.de/10014404155

Tracking Global Demand for Emerging Market Sovereign Debt

Arslanalp, Serkan - 2014

This paper proposes an approach to track US$1 trillion of emerging market government debt held by foreign investors in local and hard currency, based on a similar approach that was used for advanced economies (Arslanalp and Tsuda, 2012). The estimates are constructed on a quarterly basis from...

Persistent link: https://www.econbiz.de/10014411133

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