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글로벌 금융위기 전·후 외국인의 채권투자 결정요인 변화 분석 : 한국의 사례 (Analysis of Changes in Determinants of Foreigners′ Bond Investment Before and after the Global Financial Crisis: The Case of Korea)

Yu, Bok-Keun - 2018

Korean Abstract: 본 연구는 포트폴리오 선택 및 이자율평형 이론에 근거하여 수익성 요인인 차익거래유인, 글로벌 리스크 및 국가 리스크를 중심으로 글로벌 금융위기 전·후 우리나라에 대한 외국인의 채권투자 결정요인 변화...

Persistent link: https://www.econbiz.de/10012915513

Do Foreigners Invest Less in Poorly Governed Firms?

Leuz, Christian - 2008

As domestic sources of outside finance are limited in many countries around the world, it is important to understand factors that influence whether foreign investors provide capital to a country's firms. We study 4,409 firms from 29 countries to assess whether and why concerns about corporate...

Persistent link: https://www.econbiz.de/10012772390

Small Caps in International Equity Portfolios : The Effects of Variance Risk

Nicodano, Giovanna - 2008

We show that predictable covariances between means and variances of stock returns may have a first order effect on portfolio composition. In an international asset menu that includes both European and North American small capitalization equity indices,we find that a three-state, heteroskedastic...

Persistent link: https://www.econbiz.de/10012773045

Dynamic Correlation Analysis of Financial Contagion : Evidence from Asian Countries

Chiang, Thomas Chinan - 2008

This paper reexamines Asian stock market contagion by applying a dynamic multivariate GARCH model to daily stock … supportive evidence of a contagion effect. By analyzing the correlation-coefficient series, this paper identifies two phases of … the Asian crisis. The first phase shows an increase in correlation (contagion) and the second phase shows continued high …

Persistent link: https://www.econbiz.de/10012773206

Risk Sharing, Finance and Institutions in International Portfolios

Fratzscher, Marcel - 2008

We develop a standard model to show how transaction costs in international investment affect conventional tests of consumption risk sharing, both in a multilateral and a bilateral setting. We implement the tests in a novel international dataset on bilateral holdings of equity, bonds, foreign...

Persistent link: https://www.econbiz.de/10012773328

Which Way for Market Institutions? The Fundamental Question of Self-Regulation

Jordan, Cally - 2008

It is a fundamental question. How should financial market institutions be regulated? Is self-regulation alive and well, at least in some parts of the world, for some market functions? Or, despite a last gasp here and there, is self-regulation shuffling towards extinction? In particular, the wave...

Persistent link: https://www.econbiz.de/10012773598

Home Bias in Global Bond and Equity Markets : The Role of Real Exchange Rate Volatility

Fidora, Michael - 2008

This paper focuses on the role of real exchange rate volatility as a driver of portfolio home bias, and in particular as an explanation for differences in home bias across financial assets. We present a Markowitz-type portfolio selection model in which real exchange rate volatility induces a...

Persistent link: https://www.econbiz.de/10012773743

A New Set of Measures on International Financial Integration

Vo, Xuan Vinh - 2008

This paper will attempt to provide a comprehensive review and introduce the concept of international financial integration. In addition, it provides a review on the available indicators used as proxies for international financial integration in empirical studies. It also proposes a more detailed...

Persistent link: https://www.econbiz.de/10012773752

International Financial Integration : An Empirical Investigation into Asian Equity Markets Pre-And Post-1997 Asian Financial Crisis

Vo, Xuan Vinh - 2008

The study investigates the interdependence of the stock markets in the following countries; Hong Kong, Japan, Korea, Taiwan, Indonesia, Malaysia, Philippines, Singapore, Thailand, and the advanced stock markets of Australia, Germany, United Kingdom and the United States. Using data from 1994 to...

Persistent link: https://www.econbiz.de/10012773753

Private Benefits of Control, Ownership, and the Cross-Listing Decision

Doidge, Craig - 2006

This paper investigates how a foreign firm's decision to cross-list on a U.S. stock exchange is related to the consumption of private benefits of control by its controlling shareholders. Theory has proposed that when private benefits are high, controlling shareholders are less likely to choose...

Persistent link: https://www.econbiz.de/10012735319