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The reality of stock market jumps diversification
Chen, Mark Ke; Vitiello, Luiz; Hyde, Stuart; Poon, Ser-Huang - In: Journal of international money and finance 86 (2018), pp. 171-188
Persistent link: https://www.econbiz.de/10012000491
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Essays in international finance : risk, jumps and diversification
M'Saddek, Oussama - 2018
Persistent link: https://www.econbiz.de/10012204650
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Global economic divergence and portfolio capital flows to emerging markets
Mandalinci, Zeyyad; Mumtaz, Haroon - 2015
This paper studies the role of global and regional variations in economic activity and policy in developed world in driving portfolio capital flows (PCF) to emerging markets (EMs) in a Factor Augmented Vector Autoregressive (FAVAR) framework. Results suggest that PCFs to EMs depend mainly on...
Persistent link: https://www.econbiz.de/10011372822
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Foreign portfolio investment and the US macroeconomic conditions
Motie, Golnaz Baradaran; Zeng, Zheng - In: The North American journal of economics and finance : a … 68 (2023), pp. 1-20
Persistent link: https://www.econbiz.de/10014485286
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Disentangling rebalancing return
Hallerbach, Winfried G. - In: The journal of asset management 15 (2014) 5, pp. 301-316
Persistent link: https://www.econbiz.de/10010476237
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CAPM and Diversification of the Investment Portfolio Under Heterogeneous Volatility
Minasyan, Vigen Babkenovich - 2013
The theory of capital (long-term) assets value (Sharpe, 1964, Lintner, 1965, Mossin, 1966), based on G. Markovitz … finance. However, implicitly, this theory contains an assumption that the financial market exists in a state that is … relatively “habitual“ for the investors and is largely homogeneous with regards to the assets risks . Meanwhile, the same theory …
Persistent link: https://www.econbiz.de/10013095269
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Exchange rate fluctuations and international portfolio rebalancing
Gyntelberg, Jacob; Loretan, Mico; Subhanij, Tientip; … - In: Emerging markets review 18 (2014), pp. 34-44
Persistent link: https://www.econbiz.de/10010417542
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Contagion, globalization, and the volatility of capital flows
Calvo, Guillermo; Mendoza, Enrique G. - In: Capital flows and the emerging economies : theory, …, (pp. 15-41). 2000
Persistent link: https://www.econbiz.de/10001534785
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Equity markets risks and returns : implications for global portfolio capital flows during pandemic and crisis periods
Dziuba, Pavlo; Pryiatelchuk, Olena; Rusak, Denys - In: Baltic Journal of Economic Studies 7 (2021) 3, pp. 97-108
Persistent link: https://www.econbiz.de/10012616041
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The currency composition of international portfolio assets
Galstyan, Vahagn; Mehigan, Caroline; Mercado, Rogelio … - In: Journal of international money and finance 103 (2020), pp. 1-9
Persistent link: https://www.econbiz.de/10012392610