Similar Search Results

Consumption, Stock Returns, and the Gains from International Risk-Sharing

Lewis, Karen K. - 2008

Standard theoretical models predict that domestic residents should diversify their portfolios into foreign assets much more than observed in practice. Whether this lack of diversification is important depends upon the potential gains from risk-sharing. General equilibrium models and consumption...

Persistent link: https://www.econbiz.de/10012774983

International Capital Flows, Returns and World Financial Integration

Evans, Martin D.D. - 2005

in equity and debt markets. Such developments are often attributed to the increased integration of world financial … markets. We present a model that allows us to examine how greater integration in world financial markets affects the behavior … concentrated in bonds. As integration progresses and households gain access to world equity markets, the size and volatility of …

Persistent link: https://www.econbiz.de/10012784163

Cojumps and Asset Allocation in International Equity Markets

Arouri, Mohamed - 2018

This paper examines the patterns of intraday cojumps between international equity markets as well as their impact on international asset holdings and portfolio diversification benefits. Using intraday index-based data for exchange-traded funds as proxies for international equity markets, we...

Persistent link: https://www.econbiz.de/10012907781

Is there Momentum in Factor Premia? Evidence from International Equity Markets

Zaremba, Adam - 2019

This study examines the momentum effect in the returns of factor premia representing a broad set of stock market strategies. Using cross-sectional and time-series tests, we investigate the performance persistence of market, value, size, momentum, low-risk, and quality premia within a sample of...

Persistent link: https://www.econbiz.de/10012893036

Separating Momentum from Reversal in International Stock Markets

Walkshäusl, Christian - 2019

Taking into account expected return characteristics like firm size and book-to-market in the selection of winners and losers helps to ex ante separate stocks with momentum from those that exhibit reversal in international equity markets. A strategy that buys small value winners and sells large...

Persistent link: https://www.econbiz.de/10012893957

Jump Risk Premia Across Major International Equity Markets

Arouri, Mohamed El Hedi - 2019

We decompose the non-diversifiable market risk into continuous and discontinuous components and jump systematic risks into positive vs. negative and small vs. large components. We examine their association with equity risk premia across major equity markets. We show that developed markets jumps...

Persistent link: https://www.econbiz.de/10012895506

Econometric analysis of integration of selected new eu member cee stock markets with global stock market and eurozone : impact of global financial crisis

Sucháček, Jan; Koutský, Jaroslav; Caridad y López … - In: Amfiteatru economic : an economic and business research … 23 (2021) 58, pp. 824-842

The period of the global financial crisis can be characterized by the spillover of negative innovations among stock markets worldwide. Stock markets in Central Europe were not excluded as they are not isolated from global stock markets. Recently published scientific studies dealing with this...

Persistent link: https://www.econbiz.de/10012939609

Another Look at Currency Risk in International Stock Returns

Karolyi, George Andrew - 2017

This paper offers new evidence on how currency risk is priced in the cross-section of international stock returns. Our experiment examines this long-standing question for a wide variety of test asset portfolios comprised of monthly returns for over 37,000 stocks from 46 countries over a...

Persistent link: https://www.econbiz.de/10012945183

How Big are the Gains from International Financial Integration?

Hoxha, Indrit - 2010

The literature has shown that the implied welfare gains from international financial integration are very small. We revisit the existing findings and document that welfare gains can be substantial if capital goods are not perfect substitutes. We use a model of optimal savings that includes a...

Persistent link: https://www.econbiz.de/10012758019

Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets

Diebold, Francis X. - 2010

We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, we formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates study of both non-crisis and crisis episodes,...

Persistent link: https://www.econbiz.de/10012759516