We analyze a global equity return model driven by mutually exciting jump-diffusions with asymmetric excitation to account for the fact that crashes in the US get reflected quickly in other economies but much less the other way round. We solve in closed-form the associated portfolio optimization...

This study examines the impact of investors' buy and sell trades on Korean stock market volatility across two crisis events, the Asian crisis of 1997 and the 2008 global financial crash. We investigate the trading behaviour of domestic vs. foreign and institutional vs. individual investors. Our...

This study provides detailed evidence on the transistion state of Central and Eastern Europe (CEE) countries. It draws on data from a survey conducted among portfolio managers of Western investment funds thereby making use of the knowledge of experts in CEE markets. The approach of the study is...

Local stock markets adjust sluggishly to changes in local inflation. When the local rate of inflation increases, local investors subsequently earn significantly lower real returns on local stocks, but not on local bonds or foreign stocks. Our results suggest that local stock market investors use...

While capital flows to emerging markets bring numerous benefits, they are also known to create macroeconomic imbalances (economic overheating, currency overvaluation) and increase financial vulnerabilities (domestic credit growth, bank leverage, foreign currency-denominated lending). But are all...