In this study, we examine the critical question of whether global equity and bond assets (both green and non-green) offer effective hedging and safe haven properties against stock market risks in South Asia, with a focus on Bangladesh, India, Pakistan, and Sri Lanka. The increasing integration...

The purpose of this study was to examine the impact of Global Financial crises on intertwining relationship among Asian, European, and American equity markets. Weekly data of 33 major stock indices was analyzed from 1 January, 2000 to 10th September, 2010. Markets were divided into three groups...

This paper analyzes the effect of the recent market crash on the international diversification of equity portfolios from the perspective of dependence structure. We use the generalized Pareto distribution to fit the left and the right tail of each return distribution in order to evaluate the...

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...

Purpose – The purpose of this paper is to provide empirical evidence on how 1999–2001 dot-com crisis and 2007–2009 subprime crisis affect the gains from international diversification from the perspective of US investors. Design/methodology/approach – A conditional international CAPM with...

This paper quantifies financial spillovers from global risk factors to banks' funding costs in Chile. It decomposes Chilean banks' bond and interbank spreads into domestic and external factors. The results suggest moderate spillovers. On average, global spillovers pushed up bank bond and...

We show that cross-border financial flows arise when countries differ in their abilities to use assets as collateral. Financial integration is a way of sharing scarce collateral. The ability of one country to leverage and tranche assets provides attractive financial contracts to investors in the...

An investor, as Warren Buffett said, should think like a part-owner when investing in common stocks. As a part-owner, the investor should be concerned about the competitive positioning of the business he/she is invested in as a business that is relatively insulated from competitive actions, will...

Foreign portfolio investment is a major means by which emerging stock markets accumulate capital. However, the high mobility of foreign funds is a concern for local investors and policymakers in emerging countries because it may induce high stock price volatility. In this study, we utilized a...

Monetary authorities in Indonesia, as well as some academicians believe the absence of a long run relation between the Indonesian stock market and developed markets prevents this emerging market from being deeply affected by the US downturn. Nevertheless, this hypothesis may not apply to the...