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Can Investors Hedge Energy Risk? Evidence from Asia

Batten, Jonathan A. - 2017

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

The Role of Information Asymmetries and Inflation Hedging in International Equity Portfolios

Giofré, Maela - 2009

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

How Do Foreign Firms Manage Their Exposure to United States Portfolio Flows?

Wynter, Matthew - 2018

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

Currency Hedging Strategies, Strategic Benchmarks and the Global and Euro Sovereign Financial Crises

Caporin, Massimiliano - 2013

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

Bitcoin, VIX futures and CDS : a triangle for hedging the international equity portfolios

Zghal, Rania; Ghorbel, Ahmed - In: International journal of emerging markets 17 (2022) 1, pp. 71-97

Persistent link: https://www.econbiz.de/10012886357

Reversals in Global Market Integration and Funding Liquidity

Akbari, Amir; Carrieri, Francesca; Malkhozov, Aytek - 2017

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

Global Diversification with Local Stocks : A Road Less Traveled

Eun, Cheol S. - 2017

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

Should Investors Buy Commodities?

Batten, Jonathan A. - 2015

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

Global Portfolio Investment Network and Stock Market Co-Movement

Chuluun, Tuugi - 2015

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

Global Risk Aversion Spillover Dynamics and Investors' Attention Allocation

Ceylan, Ozcan - 2016

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