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Market Integration and Asset Prices : Evidence from the Inclusion of China A-Shares in MSCI Global Indices
Li, Bo; Sun, Qian - 2022
We examine the stock price reactions to the mass inclusion of China A-shares in the Morgan Stanley Capital …
Persistent link: https://www.econbiz.de/10013292527
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Does gold act as a hedge and a safe haven for China's stock market?
Chen, Ke; Wang, Meng - In: International Journal of Financial Studies : open … 5 (2017) 3, pp. 1-18
This paper examines the dynamic relationships between gold and stock markets in China. Using daily gold and stock … different segments of China’s stock markets for analysis. Our main objective was to examine the time-varying correlations … to the increasing investment demand of gold, the hedging effect of gold on China’s stock market has strengthened …
Persistent link: https://www.econbiz.de/10011759995
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China Markets and Global Stock Return Predictability
Sun, Yulong - 2020
We have seen China's growing role in the past decades, and the world economy has become more exposed to the influence … of China. This paper explores emerging China's impact on the global equity market through the lens of asset pricing. We … study the predictive properties of the lagged China returns for global stock returns and find that the lagged China returns …
Persistent link: https://www.econbiz.de/10012824300
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Book-to-market decomposition, net share issuance, and the cross section of global stock returns
Blackburn, Douglas W.; Cakici, Nusret - In: Journal of risk and financial management : JRFM 12 (2019) 2/90, pp. 1-29
This paper provides global evidence supporting the hypothesis that expected return models are enhanced by the inclusion of variables that describe the evolution of book-to-market-changes in book value, changes in price, and net share issues. This conclusion is supported using data representing...
Persistent link: https://www.econbiz.de/10012022063
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The Magic Formula : Value, Profitability, and the Cross Section of Global Stock Returns
Blackburn, Douglas W. - 2017
Buying profitable, undervalued stocks and shorting unprofitable, overvalued stocks yields significant return differentials in North America, Europe, Japan, and Asia. Using data from 1991-2016, we test Greenblatt's (2006) “Magic Formula” (MF) and find that a modified MF which uses gross...
Persistent link: https://www.econbiz.de/10012958130
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Frontier Stock Markets : Local vs Global Factors
Blackburn, Douglas W. - 2017
We study the returns of stocks from twenty-one frontier markets divided into the four regions of Europe, Africa, Middle East and Asia from January 2006 to June 2016. Factor mimicking portfolios based on market capitalization (SMB), book-to-market equity (HML), and momentum (WML) are constructed...
Persistent link: https://www.econbiz.de/10012961374
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Cap-Weighted All Stock Indices, Emerging Markets
Ramraika, CFA, Baijnath - 2015
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 Emerging Markets index as of...
Persistent link: https://www.econbiz.de/10013028705
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Book-to-Market Decomposition, Net Share Issuance, and the Cross Section of Global Stock Returns
Blackburn, Douglas W. - 2019
This paper provides global evidence supporting the hypothesis that expected return models are enhanced by the inclusion of variables that describe the evolution of book-to-market—changes in book value, changes in price, and net share issues. This conclusion is supported using data representing...
Persistent link: https://www.econbiz.de/10012901804
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Does Volatility Allow for Style Rotation? Evidence from International Stock Market Returns
Dori, Fabian - 2012
Unlike the existing literature on value and growth investing, this paper takes a different point of view by conducting a "between-markets analysis." First of all, it asks whether the value premium also exists on a country level, in the sense that country indexes that are undervalued consistently...
Persistent link: https://www.econbiz.de/10013096369
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COVID-19 Infection Data, Policy Interventions or Sentiment; What Explains International Stock Returns and Volatility?
Virk, Nader - 2021
We examine the impact of COVID-19 (C-19) pandemic on global equity markets by constructing novel infection indices. Our results show that the impact of prompt and large-scale policy interventions is ambiguous yet statistically significant. However, in this equivocality, the impact of global...
Persistent link: https://www.econbiz.de/10013242732