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Author :
Publisher :
ISBN 13 : 9789524623247
Total Pages : 32 pages
Book Rating : 4.6/5 (232 download)
Download or read book Financial Market Integration and the Value of Global Diversification written by and published by . This book was released on 2006 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Miklós Koren
Publisher : International Monetary Fund
ISBN 13 : 1451875614
Total Pages : 48 pages
Book Rating : 4.4/5 (518 download)
Download or read book Financial Globalization, Portfolio Diversification, and the Pattern of International Trade written by Miklós Koren and published by International Monetary Fund. This book was released on 2003-12-01 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper provides a general-equilibrium model where incomplete international financial markets lead to insufficient industrial specialization and low international trade. As international portfolio diversification is limited and productivity is uncertain, investors wish to maintain a diversified industrial structure rather than specializing according to their comparative advantage. Financial globalization then induces more specialization and more trade. The present framework yields explicit closed-form solutions for the volume and the structure of trade. Empirical results support the implications of the theory. Trade in financially open countries is (i) higher, (ii) more dependent on productivity differences, and (iii) less sensitive to industry risks.
Author : Robin Brooks
Publisher : International Monetary Fund
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4.:/5 (318 download)
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.
Author : Geert Bekaert
Publisher :
ISBN 13 :
Total Pages : 70 pages
Book Rating : 4.0/5 ( download)
Download or read book Diversification, Integration and Emerging Market Closed-end Funds written by Geert Bekaert and published by . This book was released on 1995 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using an extensive new data set on U.S. and U.K.-traded closed- end funds, we examine the diversification benefits from emerging equity markets and the extent of their integration with global capital markets. To measure diversification benefits, we exploit the duality between Hansen-Jagannathan bounds [1991] and mean-standard deviation frontiers. We find significant diversification benefits for the U.K. country funds, but not for the U.S. funds. The difference appears to relate to differences in portfolio holdings. To investigate global market integration, we compute the reduction in expected returns an investor would be willing to accept to avoid investment barriers in six countries. We find evidence of investment restrictions for Indonesia, Taiwan and Thailand, but not for Korea, the Philippines or Turkey.
Author : Jeffrey A. Frankel
Publisher : University of Chicago Press
ISBN 13 : 0226260216
Total Pages : 428 pages
Book Rating : 4.2/5 (262 download)
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.
Author : Nuno Fernandes
Publisher :
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4.:/5 (129 download)
Download or read book Sources of Gains from International Portfolio Diversification written by Nuno Fernandes and published by . This book was released on 2006 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper looks at the determinants of country and industry specific factors in international portfolio returns using a sample of forty eight countries and thirty nine industries over the last three decades. Country factors have remained relatively stable over the sample period while industry factors have significantly increased during the last decade and dropped again since 2000. The importance of industry and country factors is correlated with measures of economic and financial international integration and development. We find that financial market globalization is the main driving force behind the changes in relative magnitude of the different shocks. Country factors are smaller for countries integrated in world financial markets and have declined as the degree of financial integration and the number of countries pursuing financial liberalizations has increased. Higher international financial integration within an industry increases the importance of industry factors in explaining returns. Economic integration of production also helps in explaining returns. Countries with a more specialized production activity have higher country shocks.
Author : Maurice Obstfeld
Publisher : Cambridge University Press
ISBN 13 : 9780521671798
Total Pages : 386 pages
Book Rating : 4.6/5 (717 download)
Download or read book Global Capital Markets written by Maurice Obstfeld and published by Cambridge University Press. This book was released on 2004 with total page 386 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is an economic survey of international capital mobility from the late nineteenth century to the present.
Author : Philip R. Lane
Publisher : International Monetary Fund
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.:/5 (318 download)
Download or read book International Financial Integration written by Philip R. Lane and published by International Monetary Fund. This book was released on 2003-04 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent decades, the foreign assets and liabilities of advanced economies have grown rapidly relative to GDP, with the increase in gross cross-holdings far exceeding changes in the size of net positions. Moreover, the portfolio equity and FDI categories have grown in importance relative to international debt stocks. This paper describes the broad trends in international financial integration for a sample of industrial countries and seeks to explain the cross-country and time-series variation in the size of international balance sheets. It also examines the behavior of the rates of return on foreign assets and liabilities, relating them to "market" returns.
Author : Robert A. Korajczyk
Publisher : World Bank Publications
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4./5 ( download)
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:
Author : Augusto de la Torre
Publisher : World Bank Publications
ISBN 13 : 0821365444
Total Pages : 232 pages
Book Rating : 4.8/5 (213 download)
Download or read book Emerging Capital Markets and Globalization written by Augusto de la Torre and published by World Bank Publications. This book was released on 2006-10-20 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: Back in the early 1990s, economists and policy makers had high expectations about the prospects for domestic capital market development in emerging economies, particularly in Latin America. Unfortunately, they are now faced with disheartening results. Stock and bond markets remain illiquid and segmented. Debt is concentrated at the short end of the maturity spectrum and denominated in foreign currency, exposing countries to maturity and currency risk. Capital markets in Latin America look particularly underdeveloped when considering the many efforts undertaken to improve the macroeconomic environment and to reform the institutions believed to foster capital market development. The disappointing performance has made conventional policy recommendations questionable, at best. 'Emerging Capital Markets and Globalization' analyzes where we stand and where we are heading on capital market development. First, it takes stock of the state and evolution of Latin American capital markets and related reforms over time and relative to other countries. Second, it analyzes the factors related to the development of capital markets, with particular interest on measuring the impact of reforms. And third, in light of this analysis, it discusses the prospects for capital market development in Latin America and emerging economies and the implications for the reform agenda.
Author : Justin Kingsley Hanig
Publisher :
ISBN 13 :
Total Pages : 101 pages
Book Rating : 4.:/5 (12 download)
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.
Author : Mr.Michael Mussa
Publisher : International Monetary Fund
ISBN 13 : 145195039X
Total Pages : 66 pages
Book Rating : 4.4/5 (519 download)
Download or read book The Integration of World Capital Markets written by Mr.Michael Mussa and published by International Monetary Fund. This book was released on 1993-12-01 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper discusses the extent to which national capital markets have become linked, and identifies several of the more important consequences of that increased degree of integration. Alternative approaches to the measurement of capital market integration are reviewed, including deviations from the law of one price, differences between actual and optimally diversified portfolios, correlations between domestic investment and domestic saving, and cross-country links in consumption behavior. Two recent episodes of large-scale international capital flows—namely, the turmoil in the European Monetary System in the fall of 1992, and the surge of capital inflows into Latin America during the last three years—are examined for insights into the workings of today’s global capital market. Finally, the paper offers some concluding remarks on the future development of international capital markets, on exchange rate management, on alternative approaches to living with larger and more influential financial markets, and on the financing of investment in the formerly centrally planned economies.
Author : National Research Council
Publisher : National Academies Press
ISBN 13 : 0309048834
Total Pages : 225 pages
Book Rating : 4.3/5 (9 download)
Download or read book Following the Money written by National Research Council and published by National Academies Press. This book was released on 1995-11-12 with total page 225 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many questions have been raised about America's status in the increasingly interconnected global economy. Yet key factsâ€"such as the amount of foreign assets abroad owned by U.S. citizensâ€"are not known. The crucial data needed to assess the U.S. position are unavailable. This volume explores significant shortcomings in U.S. data on international capital transactions and their implications for policymakers. The volume offers clearcut recommendations for U.S. agencies to bring data collection and analyses of the global economy into the twenty-first century. The volume explores: How factors emerging since the early 1980s have shaped world financial markets and revealed shortcomings in data collection and analysis. How the existing U.S. data system works and where it fails how measurements of international financial transactions are recorded; and how swaps, options, and futures present special reporting problems. How alternative methods, such as collecting data, from sources such as global custodians and international clearinghouses, might improve coverage and accuracy.
Author : Mohamed Arouri
Publisher :
ISBN 13 :
Total Pages : 14 pages
Book Rating : 4.:/5 (129 download)
Download or read book The Impact of Increasing Stock Market Integration on Expected Gains from International Portfolio Diversification written by Mohamed Arouri and published by . This book was released on 2005 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper tests a conditional International Asset Pricing Model (ICAPM) using an asymmetric multivariate GARCH specification and investigates evolutions of ex ante benefits from world market diversification. The model is estimated simultaneously for 8 markets: the world market, 4 developed markets and 3 emerging markets. This approach allows to the price of market risk, betas and correlations to vary through time. The evidence supports the financial integration hypothesis and suggests that investors from all countries could expect statistically significant benefits from international diversification but that gains are considerably larger for investors with smaller home markets.
Author : Adam Zaremba
Publisher : Springer
ISBN 13 : 1137591919
Total Pages : 270 pages
Book Rating : 4.1/5 (375 download)
Download or read book Country Asset Allocation written by Adam Zaremba and published by Springer. This book was released on 2016-10-26 with total page 270 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book demonstrates how quantitative country-level investment strategies can be successfully employed to manage money in international markets. It offers a range of state-of-the-art quantitative strategies, describing their theoretical bases, implementation details, and performance in over 70 countries between 1995 and 2015. International diversification has long been a key to stable investing. However, the increased integration and openness of global financial markets has led to rising correlations between stock market returns in particular countries, driving down the benefits of diversification and increasing the importance of country selection strategies as part of an investment process. Zaremba and Shemer explain the efficiency of quantitative investing, which captures huge amounts of data of limited scope very quickly. In the traditional approach, this data compilation is an immense undertaking, limited in scope and vulnerable to behavioral errors, but this can be overcome with the help of a new paradigm of quantitative investment at the country level. Quantitative country asset allocation can be efficiently accomplished by using wealth insights that have been generated in the academic literature, discovering many anomalies and regular patterns in asset prices. Armed with this information, investors and managers can process large amounts of data more efficiently when deciding to invest in ETFs, index funds, or futures markets.
Author : Falko Fecht
Publisher :
ISBN 13 : 9783865584663
Total Pages : 0 pages
Book Rating : 4.5/5 (846 download)
Download or read book Financial Integration, Specialization and Systemic Risk written by Falko Fecht and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Daniel Kaufmann
Publisher : World Bank Publications
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4./5 ( download)
Download or read book Aggregating Governance Indicators written by Daniel Kaufmann and published by World Bank Publications. This book was released on 1999 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: With the right method, aggregate indicators can provide useful estimates of basic governance concepts as well as measures of the imprecision of these aggregate estimates and their components.
