The paper takes an asset pricing perspective to investigate the equity market comovement and contagion at the sector level during the period 1990-2004 across the regions of Europe, Asia and Latin America. It examines whether unexpected shocks from a particular market, or group of markets, are...

This paper looks at the determinants of country and industry specific factors in international portfolio returns using a sample of forty eight countries and thirty nine industries over the last three decades. Country factors have remained relatively stable over the sample period while industry...

In this study, we first estimate the level of financial integration for twenty five emerging stock markets over the last decade. Using a multivariate GARCH(1,1)-M return generating model allowing for partial market integration as well as for the pricing of systematic emerging market risk, we...

Despite large potential gains international equity investment is less diversified across countries than predicted by the international version of the classical capital asset pricing model (ICAPM). This paper provides empirical evidence on the impact of capital market frictions on international...

In this paper, we present a set of specific measures to quantify the state and evolution of financial integration in the euro area. Five key markets are considered, namely the money, corporate-bond, government-bond, credit, and equity markets. Building upon the law of one price, we have...

This paper investigates to what extent ongoing integration has eroded the equity home bias. To measure home bias, we compare observed foreign asset holdings of 25 markets with optimal portfolio weights obtained from 5 benchmark models. The International CAPM optimal weights equal the relative...

This paper analyzes various indicators of the U.S. international investment position from a portfolio perspective. The 1990s saw a decline in home bias, which, coupled with rapid financial deepening, led to a large increase in gross international investment holdings. The home bias of non-U.S....

This paper presents a portfolio model of financial intermediation in which currency choice is determined by hedging decisions on both sides of a bank`s balance sheet. Minimum variance portfolio (MVP) allocations are found to provide a natural benchmark to estimate the scope for dollarization of...

The paper provides a general-equilibrium model where incomplete international financial markets lead to insufficient industrial specialization and low international trade. As international portfolio diversification is limited and productivity is uncertain, investors wish to maintain a...

This paper revisits the relative importance of global versus country-specific factors underlying stock returns. It constructs a new firm level data set covering emerging and developed markets and estimates a simple factor model, which breaks down stock returns into a global business cycle...