Download or read book International Asset Pricing Diversification and Links Between National Stock Markets written by Birger Nilsson (Economist.) and published by . This book was released on 2002 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book International Asset Pricing Diversification and Links Between National Stock Markets written by Birger Nilsson and published by . This book was released on 2002 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Internationalization of Equity Markets written by Jeffrey A. Frankel and published by University of Chicago Press. This book was released on 2008-04-15 with total page 428 pages. Available in PDF, EPUB and Kindle. Book excerpt: This timely volume addresses three important recent trends in the internationalization of United States equity markets: extensive market integration through foreign investment and links among stock prices around the world; increasing securitization as countries such as Japan come to rely more than ever before on markets in equities and bonds at the expense of banks; and the opening of national financial systems of newly industrializing countries to international financial flows and institutions, as governments remove capital controls and other barriers. Eight essays examine such issues as the current extent of international market integration, gains to U.S. investors through international diversification, home-country bias in investing, the role of time and location around the world in stock trading, and the behavior of country funds. Other, long-standing questions about equity markets are also addressed, including market efficiency and the accuracy of models of expected returns, with a particular focus on variances, covariances, and the price of risk according to the Capital Asset Pricing Model.

Download or read book Global Asset Allocation written by Heinz Zimmermann and published by John Wiley & Sons. This book was released on 2003-02-03 with total page 340 pages. Available in PDF, EPUB and Kindle. Book excerpt: Reveals new methodologies for asset pricing within a global asset allocation framework. Contains cutting-edge empirical research on global markets and sectors of the global economy. Introduces the Black-Litterman model and how it can be used to improve global asset allocation decisions.

Download or read book Institutional Investors and Asset Pricing in Emerging Markets written by Ms.Elaine Karen Buckberg and published by International Monetary Fund. This book was released on 1996-01-01 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a new theory of asset pricing intended to address why other developing country equity markets responded so strongly to the Mexican devaluation, while the world’s major stock markets were unmoved. This phenomenon can be explained if investors follow a two-step portfolio allocation process, first determining what share of their portfolio to invest in developing countries, then allocating those funds across the emerging markets. For 12 of 13 markets studied, the one-factor CAPM is rejected in favor of a two-factor asset pricing model, including both a broad emerging markets portfolio and the global market portfolio.

Download or read book International Capital Asset Pricing Model and Portfolio Diversification with Time Varying Risk A Study of the South Africa Stock Market written by 唐婷婷 and published by . This book was released on 2010 with total page 78 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Global Diversification and Asset Pricing written by Kennedy K. Mbekeani and published by . This book was released on 1997 with total page 530 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Examining International Stock Market Integration written by Justin Kingsley Hanig and published by . This book was released on 2016 with total page 101 pages. Available in PDF, EPUB and Kindle. Book excerpt: The internet provides individuals with the ability to find instantaneous information on nearly every corner of the earth. Increasing correlations of international stock markets suggests investors may use information from different parts of the world to assess the value of the assets they hold in their portfolios. This dissertation examines changes in international stock market behavior to identify the effects of international market integration across a time. More specifically, this dissertation studies the effects of integration on the ability of diversification to reduce risk and skewness of portfolios, how global-wide risks significantly impact country-level index returns, and the equity purchasing behavior of foreign investors.The first paper in this dissertation measures the benefit to international portfolio diversification through time. The investigation observes the change in the standard deviation and skewness of increasingly more diversified portfolio returns from 1973 to 2010. Previous literature implies diversification reduces standard deviation, but diversification also reduces positive skewness in a portfolio. Increasing correlations of international stock markets suggests the reduction in standard deviation and positive skewness of a portfolio could be mitigated in recent time periods. This paper studies the changes of risk and positive skewness of international index portfolios over time. The results show that the reduction in standard deviation and skewness occurs at a much faster rate in more recent time periods. Robustness checks demonstrate the rate of standard deviation and skewness reduction varies across different investment strategies.The second paper examines the impact of global-wide risk measures on country-level asset prices in an international capital asset pricing model (ICAPM). Integrated international markets imply assets returns with similar risks should not vary across countries, but segmented international markets suggest asset returns vary only through risks within a particular country. Previous literature documents that international financial markets became more correlated and integrated in the late 1990s. This investigation in this paper, therefore, studies the impact of global-wide risks on returns in an integrated international stock market environment. The results show insignificant global-market risk factors on returns before and after 2000, which implies world financial markets have not become integrated in the recent time period when looking across a sample of 37 stock markets. However, global-wide risk factors significantly impact index returns for a sub-set of advanced economies.The third paper investigates the effect of international equity market integration on equity purchasing behavior of investors in different countries across different time periods. This study observes the relationship between net equity purchases by U.S. residents from foreign investors on stock market index returns in a segmented and integrated international stock market environment. The results of the examination indicate international equity integration did not affect equity purchasing differences across foreign and domestic investors.

Download or read book International Capital Flows written by Martin Feldstein and published by University of Chicago Press. This book was released on 2007-12-01 with total page 500 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent changes in technology, along with the opening up of many regions previously closed to investment, have led to explosive growth in the international movement of capital. Flows from foreign direct investment and debt and equity financing can bring countries substantial gains by augmenting local savings and by improving technology and incentives. Investing companies acquire market access, lower cost inputs, and opportunities for profitable introductions of production methods in the countries where they invest. But, as was underscored recently by the economic and financial crises in several Asian countries, capital flows can also bring risks. Although there is no simple explanation of the currency crisis in Asia, it is clear that fixed exchange rates and chronic deficits increased the likelihood of a breakdown. Similarly, during the 1970s, the United States and other industrial countries loaned OPEC surpluses to borrowers in Latin America. But when the U.S. Federal Reserve raised interest rates to control soaring inflation, the result was a widespread debt moratorium in Latin America as many countries throughout the region struggled to pay the high interest on their foreign loans. International Capital Flows contains recent work by eminent scholars and practitioners on the experience of capital flows to Latin America, Asia, and eastern Europe. These papers discuss the role of banks, equity markets, and foreign direct investment in international capital flows, and the risks that investors and others face with these transactions. By focusing on capital flows' productivity and determinants, and the policy issues they raise, this collection is a valuable resource for economists, policymakers, and financial market participants.

Download or read book Firm Level Evidenceon International Stock Market Comovement written by Mr.Marco Del Negro and published by International Monetary Fund. This book was released on 2003-03-01 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: We explore the link between international stock market comovement and the degree to which firms operate globally. Using stock returns and balance sheet data for companies in 20 countries, we estimate a factor model that decomposes stock returns into global, country-specific and industry-specific shocks. We find a large and highly significant link: on average, a firm raising its international sales by 10 percent raises the exposure of its stock return to global shocks by 2 percent and reduces its exposure to country-specific shocks by 1.5 percent. This link has grown stronger since the mid-1980s.

Download or read book The Rise in Comovement Across National Stock Markets written by Robin Brooks and published by International Monetary Fund. This book was released on 2002-09 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: The degree of comovement across national stock markets has increased dramatically since the mid-1990s. This has overturned a stylized fact in the international portfolio diversification literature that diversifying across countries is more effective for risk reduction than diversifying across industries. We investigate if this rise in comovement is a permanent phenomenon driven by greater economic and financial integration, or a temporary effect associated with the recent stock market bubble. At the global level, our results point to the bubble. At a regional level, we find evidence of a significant rise in market integration within Europe, possibly a reflection of institutional changes such as the EMU.

Download or read book Stock Market Integration and the Pricing for Regionalism written by Chee Wooi Hooy and published by . This book was released on 2010 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book International Asset Pricing and Portfolio Diversification with Time Varying Risk written by Giorgio De Santis and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We test the conditional CAPM for the world's eight largest equity markets using a parsimonious GARCH parameterization. Our methodology can be applied simultaneously to many assets and, at the same time, accommodate general dynamics of the conditional moments. The evidence supports most of the pricing restrictions of the model, but some of the variation in risk-adjusted excess returns remains predictable during periods of high interest rates. Our estimates indicate that, although severe market declines are contagious, the expected gains from international diversification for a U.S. investor average 2.11% per year and have not significantly declined over the last two decades.

Download or read book A Measure of Stock Market Integration for Developed and Emerging Markets written by Robert A. Korajczyk and published by World Bank Publications. This book was released on 1995 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book International Diversification and the Multinational Enterprise written by Alan M. Rugman and published by Lexington, Mass. ; Toronto : Heath. This book was released on 1979 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Internationalization of Financial Markets and National Economic Policy written by Robert G. Hawkins and published by JAI Press(NY). This book was released on 1983 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on International Asset Pricing in Partially Segmented Markets written by Sundaram Janakiramanan and published by . This book was released on 1986 with total page 356 pages. Available in PDF, EPUB and Kindle. Book excerpt: