Showing 1 - 10 of 15,607
Models play an important role in strategic asset allocation (SAA), however by too much trust in the model stability, results are typically not so useful for practitioners. Professionals usually face the challenging problem of choosing a SAA model that matches their goals, bearing the operational...
Persistent link: https://www.econbiz.de/10012721463
The objective of this paper is to review the transmission mechanisms uniting equity market development and economic growth in developing countries. We find that the theoretical impact of equity markets is ambiguous. At the domestic level, the allocation function of equity markets appears...
Persistent link: https://www.econbiz.de/10012721529
The purpose of this paper is to investigate vulnerability to financial contagion in a set of expanding emerging markets of the Middle East and North Africa, during seven episodes of international financial crisis. Using Fry amp; Baur (2005) fixed-effect panel approach, we significantly reject...
Persistent link: https://www.econbiz.de/10012721554
The objective of this paper is to situate the MENA area within the emerging markets universe. We first discuss the various components of market emergence and generate four bootstrapped indexes reflecting market size, market activity, market pricing and transparency. We then draw inter-regional...
Persistent link: https://www.econbiz.de/10012721571
We examine the issue of possible portfolio diversification benefits into seven Middle-Eastern and North African (MENA) stock markets. We construct international portfolios in dollars and local currencies. We compute the ex-ante weights by plugging five optimization models and two risk measures...
Persistent link: https://www.econbiz.de/10012721619
We investigate the impact of country and sector as variables in explaining the cross-sectional variability of price returns for a sample of over 1900 companies comprising the MSCI Developed World Index, drawn from 21 countries, over the period 1992-2001. For the value-weighted world portfolio,...
Persistent link: https://www.econbiz.de/10012721669
This paper analyzes the existence of flights from stocks to bonds and vice versa. We propose a definition and a test for flight-to-quality, flight-from-quality and cross-asset contagion and examine their characteristics and effects for the financial system. The empirical analysis for eight...
Persistent link: https://www.econbiz.de/10012721677
The objective of this paper is to study capital market integration in smaller European countries and its implications for an international portfolio investment allocation. A time-varying analysis based on Barari (2004) suggests that the markets have recently started moving towards international...
Persistent link: https://www.econbiz.de/10012721706
The purpose of this paper is to investigate vulnerability to financial contagion in a set of expanding emerging markets of the Middle East and North Africa, during seven episodes of international financial crisis. Using Fry amp; Baur (2005) fixed-effect panel approach, we significantly reject...
Persistent link: https://www.econbiz.de/10012721729
We study investment restrictions in a dynamic, two-country, two-good general equilibrium model. The issues that we are concerned with are the impact of the investment restrictions on the cost of capital, the asset returns' volatilities, the international stock market co-movement, and the optimal...
Persistent link: https://www.econbiz.de/10012721825