This paper studies the behavior of emerging stock excess returns in an industry-by-industry context. We examine stock market performance for 23 countries and ten industries over 17 years from 1995 to 2012 – a period that includes major changes in capital market regulations, the removal of...

This article presents various techniques for downside risk control of an emerging markets equity index or long only fund. We evaluate different risk adjusted strategies applied to dynamic asset allocation between an emerging markets equity index and cash and at a later stage between an emerging...

Faced with a persistent pandemic, investors are concerned about portfolio diversification. While the literature on COVID-19 has evolved impressively, limited work remains on diversification opportunities. We contribute to the literature by exploring the volatility and co-movement of different...

Distinguishing two components of the preference for geographical proximity – the domestic country bias assessing investors' holdings within the domestic market, and the foreign country bias assessing investors' bilateral holdings within a particular host, I document a number of stylized facts...

The main objective of this study is to examine the role of quality as a determinant of a cross-sectional variation in country-level stock returns. The study attempts to address the question: Is there any special premium for top-quality stock markets with decent profitability, indebtedness and...

This paper investigates the impact of IMF programs on private capital flows in the assisted countries. We look at the impact on inflows and outflows of both traditional and precautionary programs, also taking into account the characteristics of the programs. Using the entropy balancing method to...

The recent financial crisis and the corresponding market crash have had a tremendous impact on investors with significant exposures to equity markets but without appropriate risk control tools. Indeed, within just a few weeks a number of pension funds, university endowments, and mutual funds...

The all-stock equity indices provide important information to market participants for asset allocation and investment performance evaluations. In this paper, we construct market capitalization weighted indexes for each of the 23 countries included in the MSCI World Developed Market index as of...

During the 1990s, overall economic performance of South East Asian countries was remarkable in many respects, including a significant increase in economic development. This paper empirically assesses the reasons behind such progress by focusing on the impact of foreign direct investment, trade...

The emerging economic and financial globalization in recent years has been much more rapid that our understanding of all ingredients associated with this phenomenon of globalization. As a result, the impact that the current crisis may have on the global economy is still uncertain, since an...