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Lau, Sie Ting - 2009

Theoretical arguments suggest that as the degree of a country's home bias increases, the global risk sharing between … bias for 38 markets. This finding is robust to different cost of capital proxies, different control variables, alternative … home-bias measures, international tradability of stocks, and alternative specifications. Therefore, the overall evidence …

Persistent link: https://www.econbiz.de/10013153371

Should pension funds hedge currency risk? : the case of Poland

Kurach, Radoslaw; Papla, Daniel - In: Baltic journal of economics 16 (2016) 2, pp. 81-94

comparison presented tends to beg the question of how to overcome the home bias phenomenon. …

Persistent link: https://www.econbiz.de/10011890880

The euro and international capital markets

Detken, Carsten; Hartmann, Philipp - 2000

This paper provides a broad empirical examination of the major currencies' roles in international capital markets, with a special emphasis on the first year of the euro. A contribution is made as to how to measure these roles, both for international financing as well as for international...

Persistent link: https://www.econbiz.de/10009767695

International Diversification During the Financial Crisis : A Blessing for Equity Investors?

Vermeulen, Robert - 2011

This paper empirically investigates international equity investors' foreign portfolios before and during the financial crisis by estimating a gravity model for 22 source and 42 destination countries. The results show that international stock market diversification provides large gains during the...

Persistent link: https://www.econbiz.de/10013117548

International Diversification and Dependence Structure of Equity Portfolios during Market Crashes : The Archimedean Copula Approach

Muteba Mwamba, John Weirstrastrass - 2012

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...

Persistent link: https://www.econbiz.de/10013098035

The Effect of Extreme Markets on the Benefits of International Portfolio Diversification

Acker, Daniella - 2013

We investigate the effects of bull and bear markets on correlations between developed and emerging country equity returns, and on the benefits of combining international markets in a portfolio. We find that, contrary to most other studies, correlations fall in both bull and bear markets,...

Persistent link: https://www.econbiz.de/10013076587

Do Foreign Stocks Substitute for International Diversification?

Bermejo, Vicente J. - 2019

Using a novel sample of foreign securities available for trade in 42 countries during the last four decades (1979-2018), we characterize the rise in importance of foreign stocks for investors in their host countries and its implications for diversification benefits across industries and...

Persistent link: https://www.econbiz.de/10012901836

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

Financial Education, Investor Protection and International Portfolio Diversification

Giofré, Maela - 2017

This paper investigates the effect of financial education on foreign portfolio investment. We show that higher investor financial education fosters international diversification, and that its role is particularly pronounced where information problems and monitoring costs are likely to be more...

Persistent link: https://www.econbiz.de/10012975094

The Effect of Extreme Markets on the Benefits of International Portfolio Diversification

Acker, Daniella - 2016

We investigate the effects of bull and bear markets on correlations between developed and emerging country equity returns, and on the benefits of combining international markets in a portfolio. Contrary to most other studies we find that correlations fall in both bull and bear markets, although...

Persistent link: https://www.econbiz.de/10013004463