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The relationship between energy and stock prices is investigated in the context of Asia, including China and Japan. Oil, gas and coal prices are considered both individually and in an energy portfolio. Consistent with evidence from analysis of other asset prices in international markets, during...
Persistent link: https://www.econbiz.de/10012957216
We investigate the role of information asymmetries and inflation hedging in shaping international equity portfolios. We … confirm, in a multinational setting, Cooper and Kaplanis (1994) result of no inflation hedging motive driving investors …
Persistent link: https://www.econbiz.de/10013159816
From 1990 to 2013, US portfolio flows to foreign stocks and bonds nearly quadrupled. Across 44 countries, I show that non-US firms with stock returns that are more sensitive to these cross-border flows are more likely to sell stocks and bonds, but display lower investment and employment growth...
Persistent link: https://www.econbiz.de/10012931260
This paper investigates dynamic currency hedging benefits, with a further focus on the impact of currency hedging … is hedged. Hedging strategies of currency risk, using exchange rates futures and driven by several multivariate GARCH … decrease in hedging rations compared to naïve hedging strategies based on linear regressions or variance smoothing …
Persistent link: https://www.econbiz.de/10013074792
Persistent link: https://www.econbiz.de/10012886357
This paper looks at the reversals in global financial integration through the funding liquidity lens. First, we construct a segmentation indicator based on differences in funding liquidity across countries as measured by the performance of betting-against-beta strategies. Second, we find that...
Persistent link: https://www.econbiz.de/10014122252
Utilizing approximately 51,000 sample firms from developed markets over 1995-2014, we document a stark heterogeneity in global integration at the firm-level and study its implications for diversification. Specifically, the adjusted R-square, our integration measure, is widely distributed across...
Persistent link: https://www.econbiz.de/10012952863
One reason that investors hold commodities is to receive diversification benefits. However, while an extensive set of existing studies demonstrate diversification benefits when investors hold international stocks or bonds, they are generally silent on the implications of holding commodities....
Persistent link: https://www.econbiz.de/10013027447
We construct a global portfolio investment network by employing network analysis and using bilateral cross-border portfolio holdings data and show that a country's network centrality within this global network has a positive relationship with stock market co-movement. Moreover, network...
Persistent link: https://www.econbiz.de/10013032828
This paper investigates market-wide risk aversion in an international setting. Particularly, this empirical study evaluates risk aversion spillover dynamics as an uncertainty transmission mechanism for the period 2000-2015 to reveal if there has been a significant change in these dynamics when...
Persistent link: https://www.econbiz.de/10012980687