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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
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Multi-level analysis of dynamic portfolio formations : Central European countries
Princ, Michael - 2013
The paper focused on measuring efficiency of investment strategies and portfolio optimization based on dynamic portfolio formation using the global minimum variance approach in a region of central European countries. The paper analyses DCC GARCH model, which was employed in order to obtain...
Persistent link: https://www.econbiz.de/10009786883
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Does bilateral market and financial integration explains international co-movement patterns
Ur Rehman, Mobeen; Shah, Syed Muhammad Amir - In: International Journal of Financial Studies : open … 4 (2016) 2, pp. 1-13
This study aims to explore the relationship between market integration, foreign portfolio equity holding and inflation rates on international stock market linkages between Pakistan and India. To measure stock equity interlinkage, we constructed international co-movement index through rolling...
Persistent link: https://www.econbiz.de/10011474476
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The Impact of Derivative Markets on Asset Management and the Economy
Sammer, Bernhard - 2011
During the last decade, derivatives markets became an asset class of their own and influenced the financial landscape strongly. While the financial sector contributes positively to overall economic growth in many studies up to the mid nineties, a positive contribution of the financial sector to...
Persistent link: https://www.econbiz.de/10013130407
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Diversification Potential of ADRs, Country Funds, and Underlying Stocks Across Economic Conditions
Peterburgsky, Stanley - 2011
We study the relative diversification potential of American Depository Receipts (ADRs) as compared to the underlying shares as well as the relative diversification potential of closed-end country funds as compared to the foreign market indexes across various economic conditions. We find that,...
Persistent link: https://www.econbiz.de/10013134047
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A Semiparametric Approach to Value-at-Risk, Expected Shortfall and Optimum Asset Allocation in Stock-Bond Portfolios Before and After the Global Financial Crisis
Silvapulle, Param - 2012
This paper investigates a stock-bond portfolio s tail risks such as value-at-risk (VaR) and expected shortfall (ES) and … decreased only for Italy. However, both VaR and ES have increased for all eight countries. In addition, before the GFC, the … minimum portfolio VaR and ES were achieved at an interior solution only for the US, the UK, Australia, Canada and Italy, while …
Persistent link: https://www.econbiz.de/10013115773
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International Portfolio Diversification Benefits : Cross-Country Evidence from a Local Perspective
Driessen, Joost - 2011
We investigate how the benefits of international portfolio diversification differ across countries from the perspective of a local investor. We find that the benefits of investing abroad are largest for investors in developing countries, including when controlling for currency effects. Most of...
Persistent link: https://www.econbiz.de/10013123408
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Nowhere Left to Hide? Stock Market Correlation, Regional Diversification, and the Case for Investing in Africa
Moss, Todd J. - 2013
Investors diversify their portfolios to boost returns and manage risk. However, the benefits of diversifying across geographic regions are reduced if markets are highly correlated. This paper examines trends over the past two decades and finds, as expected from global market integration, that...
Persistent link: https://www.econbiz.de/10013085160
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The Comparisson of Benefit of International Diversification Among Seven Large Stocks in the Malaysian and Indonesian Stock Markets
Setyawan, Ignatius Roni - 2013
Bai and Green (2010) argue that existing studies related to international diversification of portfolio mainly concentrated on the risk-returns tradeoffs from the developed markets perspective. Very few literatures available on the behavior on emerging markets, they are scarce in comparison to...
Persistent link: https://www.econbiz.de/10013087861
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International Portfolio Diversification : An ICAPM Approach with Currency Risk
Dimitriou, Dimitrios I. - 2013
This article investigates international stock market integration in four major developed economies, namely the United States, the Economic and Monetary Union of the European Union, Japan and the United Kingdom, and two Asian emerging, countries namely China and India, over the period from June...
Persistent link: https://www.econbiz.de/10013089701