We propose an international asset allocation model to investigate whether home currency concern has impacts on home bias puzzle. Domestic investors choosing their international portfolios depend on home currency premium and thus will behave in home bias scenarios. Besides, the optimal portfolio...

This paper analyzes the relationship between net capital flow and home bias puzzle. The model suggests that both capital inflow and potential preference in home assets lead agents to allocate more in domestic and thus s home bias phenomenon. Besides, the more nontradable consumption, the fewer...

This paper analyzes the relationship between net capital flow and home bias puzzle. The model suggests that both capital inflow and potential preference in home assets lead agents to allocate more in domestic and thus s home bias phenomenon. Besides, the more nontradable consumption, the fewer...

This study extends the GARCH pricing tree in Ritchken and Trevor (J Financ 54:366–402, <CitationRef CitationID="CR33">1999</CitationRef>) by incorporating an additional jump process to develop a lattice model to value options. The GARCH-jump model can capture the behavior of asset prices more appropriately given its consistency with...</citationref>

This study investigates correlations between India’s bustling single stock futures (SSFs) and its peculiar Badla mechanism. Data from the world’s most active SSF market, the National Stock Exchange (NSE) of India, are used. The results indicated that both the Badla mechanism and the...

"We extend Campbell's &lpar;1993&rpar; model to develop an intertemporal international asset pricing model &lpar;IAPM&rpar;. We show that the expected international asset return is determined by a weighted average of market risk, market hedging risk, exchange rate risk and exchange rate hedging risk. These weights...