With increasing financial integration and improving regulatory quality, we expect equity home bias to decline. Drawing on the supportive evidence for such trends in advanced economies, this paper investigates the links between financial integration and regulatory quality; and equity home bias in...

Most of the research on the benefits of diversification into emerging markets (EMs) has focused on equity markets. In this research, the focus is on investments in fixed income instruments. Specifically, the research explores the performance benefits of developed markets (DMs) combined with the...

This paper compares the size and book-to-market value factors of Fama and French (1993) alongside Momentum of Jagadeesh and Titman (1993) with two Liu (2006) liquidity factors formed from 1 year rebalancing and 1 month rebalancing respectively. A heterogeneous and comprehensive sample of the top...

This study employs the Vector Autoregressive-Generalized Autoregressive Conditional Heteroskedasticity (VAR-AGARCH) model to examine both return and volatility spillovers from the USA (developed) and China (Emerging) towards eight emerging Asian stock markets during the full sample period, the...

This study examines the potential influence of exogenous shocks on time-varying correlations and portfolio strategies between the Asian emerging and other global stock markets including developed and other emerging markets. Using the ARMA-cDCC-FIEGARCH model with and without exogenous shocks,...

China is considered the largest emerging economy and thus investors perceived as an attractive investment. We examine the spillover effect from Chinese stock exchange to stock exchanges of Asia and Latin America, namely, India, Indonesia, Mexico, and Brazil. For empirical purpose, the study...

Since portfolio management relies on the association of portfolio diversification, analyzing the spillover between the United States (US) and Asian-Pacific financial markets has become more critical. If Asian stock markets have low or negative correlations with each other and/or the US market,...

Using negative to low-correlated assets to manage short-term portfolio risk is not uncommon among investors, although the long-term benefits of this strategy remain unclear. This study examines the long-term benefits of the correlation strategy for portfolios based on the stock market in Asia,...

This paper minimizes the risk of Brent oil in a multivariate portfolio, with three risk-minimizing goals: variance, parametric value-at-risk (VaR), and semiparametric value-at-risk. Brent oil is combined with five emerging ASEAN (Association of Southeast Asian Nations) stock indexes and five...