Potential benefits from international diversification depend upon the stability in stock market relationships. Using monthly data of 11 international stock markets, this paper examines the stability in stock market relationships across month of the year and across different holding intervals....

This paper examines the relation between beta and realized returns in the Korean and Taiwan stock markets. Traditional tests found that beta is unable to explain the realized returns in both markets. Though unsystematic risk, total risk, skewness and kurtosis are significantly related to returns...

Using a direct test on the equality of correlation matrices of 12 international stock markets, this paper examines the intertemporal stability in stock market co-movements. Contrary to previous findings, our empirical results show that for both domestic currency and US$-based returns, the...

This study provides evidence of the conditional effect on market beta, firm size, book-to-market equity ratio (B/M), and earnings-to-price ratio (E/P) to the cross-section of monthly portfolio excess returns in two Asian emerging stock markets: Malaysia and Thailand. Beta may not be a suitable...

The risk-return relationship is one of the fundamental concepts in finance that is most important to investors and portfolio managers. Finance theory argues that the beta or systematic risk is the only relevant risk measure for investors. However, many studies have showed that betas and returns...

A recent article published in International Business Review (12 (2003) 109) argues for the usefulness of beta as a measure of risk in international stock markets. The beta-return relationship is significantly positive (negative) when the market excess returns are positive (negative). This paper...

International managers need to manage foreign exchange rate risks effectively in order to maximize the value of the firm. Modern portfolio theory suggests that exchange rate risks can be reduced through currency portfolio diversification. However, little attention has been paid in the literature...

Diversification and day-of-the-week effects on exchange rate risks have been well documented in the literature, but separately. This paper studies empirically the interaction of diversification and day-of-the-week effects on exchange rate risks. The results show that different days have great...