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Forecasting international stock market variances
Bekaert, Geert; Xu, Nancy; Ye, Tiange - 2024
Persistent link: https://www.econbiz.de/10014536734
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Global crises and equity market contagion
Bekaert, Geert; Ehrmann, Michael; Fratzscher, Marcel - 2011
quality of countries' economic fundamentals and policies. Consequently, we reject the globalization hypothesis that links the …
Persistent link: https://www.econbiz.de/10009380410
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Variance Risk in Global Markets
Bekaert, Geert - 2020
world to U.S. based equity variance risk. We explore implications for global risk premiums and asset return comovements …
Persistent link: https://www.econbiz.de/10012848035
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Emerging Equity Markets in a Globalizing World
Bekaert, Geert - 2017
Given the dramatic globalization over the past twenty years, does it make sense to segregate global equities into … emerging markets have increased, the process of integration of these markets into world markets is incomplete. To some degree …, this accounts for the disparity between emerging equity market capitalization in investable world equity market benchmarks …
Persistent link: https://www.econbiz.de/10012973844
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Emerging Equity Markets in a Globalizing World
Bekaert, Geert - 2014
Given the dramatic globalization over the past twenty years, does it make sense to segregate global equities into … emerging markets have increased, the process of integration of these markets into world markets is incomplete. To some degree …, this accounts for the disparity between emerging equity market capitalization in investable world equity market benchmarks …
Persistent link: https://www.econbiz.de/10013051425
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Global Crises and Equity Market Contagion
Bekaert, Geert - 2011
Using the 2007-09 financial crisis as a laboratory, we analyze the transmission of crises to country-industry equity portfolios in 55 countries. We use a factor model to predict crisis returns, defining unexplained increases in factor loadings and residual correlations as indicative of...
Persistent link: https://www.econbiz.de/10012461537
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Risk, Uncertainty and Monetary Policy in a Global World
Bekaert, Geert - 2020
Since the global financial crisis, there has been renewed interest in understanding how monetary policy shocks transmit across countries through risk variables, spurring a literature on the "global financial cycle." This paper studies how (conventional and unconventional) monetary policy shocks...
Persistent link: https://www.econbiz.de/10012834260
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Global Crises and Equity Market Contagion
Bekaert, Geert; Ehrmann, Michael; Fratzscher, Marcel; … - 2012
Using the 2007-09 financial crisis as a laboratory, we analyze the transmission of crises to country-industry equity portfolios in 55 countries. We use a factor model to predict crisis returns, defining unexplained increases in factor loadings and residual correlations as indicative of...
Persistent link: https://www.econbiz.de/10014178116
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Global Crises and Equity Market Contagion
Bekaert, Geert - 2011
Using the 2007-09 financial crisis as a laboratory, we analyze the transmission of crises to country-industry equity portfolios in 55 countries. We use a factor model to predict crisis returns, defining unexplained increases in factor loadings and residual correlations as indicative of...
Persistent link: https://www.econbiz.de/10013123703
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Global Crises and Equity Market Contagion
Bekaert, Geert - 2012
. Consequently, we reject the globalization hypothesis that links the transmission of the crisis to the extent of global exposure …
Persistent link: https://www.econbiz.de/10013109074