This paper uses the data of six Asian countries to estimate the relationship between stock price index and exchange rate. According to the portfolio balance effect, these two variables should be negatively related. However, since the evidence from traditional ordinary least squares estimation is...

This paper approaches the central questions of the identification and the price of risk in an international asset pricing context. We construct and use factor mimicking portfolios to obtain factor loadings for testing unconditional and conditional pricing. We use a new measure of specification...

This paper introduces an international asset pricing model with time-varying risk premia. It augments the two factor model which has the return on the world index and trade weighted exchange rates as factors, with skewness and kurtosis factors. This leads to a stochastic discount factor that is...

In this paper we examine global tactical asset allocation (GTAA) strategies across a broad range of asset classes. Contrary to market timing for single asset classes and tactical allocation across similar assets, this topic has received little attention in the existing literature. Our main...

In this paper we try to find common factors that can explain the stock returns of Tokyo stock exchange firms with multivariate asset-pricing framework. Specifically, we explore the nature of risk contained in the size and the HML factor variables and their information content. For this purpose...

This paper tries to identify the risks embodied in foreign-currency denominated sovereign bond spreads. It adopts an instrumental variables method , which attributes the explanatory power of fundamentals in a spread equation to their predictive power for observed risk realizations. Using...

This study follows and extends Sias (2004) to examine whether Qualified Foreign Institutional Investors' (QFIIs') herding behavior exists in the Taiwan stock market. By testing the cross-sectional dependence in QFII's demand over two adjacent months and decomposing them into QFIIs' own cascades...

This study makes a cross sectional case in investigating the validity, or otherwise, of the finance-driven growth hypothesis in the ECOWAS countries using annual data from 1970 to 2008 for seven countries namely: Burkina Faso, Cote d’Ivoire, The Gambia, Ghana, Nigeria, Senegal and Togo. In...

The out-of-sample forecasting performances of two univariate time series presentations for the USD/DEM real exchange rate are compared using quarterly data for the period 1957Q1-1998Q4. The linear AR process is frequently fitted to real exchange rate series because it is sufficient for capturing...

We use a regime-switching model approach to investigate the dynamic linkages between the exchange rates and stock market returns for the BRICS countries (Brazil, Russia, India, China and South Africa). The univariate analysis indicates that stock returns of the BRICS countries evolve according...