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Some Evidence On The Interdependence Of National Stock Markets And The Gains From International Portfolio Diversification
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Book Synopsis Some Evidence on the Interdependence of National Stock Markets and the Gains from International Portfolio Diversification by : J. D. Byers
Download or read book Some Evidence on the Interdependence of National Stock Markets and the Gains from International Portfolio Diversification written by J. D. Byers and published by . This book was released on 1992 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Some Evidence on the Interdependence of National Stock Markets from International Portfolio Diversification by : J. D. Byers
Download or read book Some Evidence on the Interdependence of National Stock Markets from International Portfolio Diversification written by J. D. Byers and published by . This book was released on 1992 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Evolution of Interdependence in World Equity Markets by : Brian M. Lucey
Download or read book The Evolution of Interdependence in World Equity Markets written by Brian M. Lucey and published by . This book was released on 2009 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: The minimum spanning tree (a concept from Physics) is used to study the process of market integration for a large group of national stock market indices. We show how the asset tree evolves over time and describe the dynamics of its normalized length, mean occupation layer, and single- and multiple-step linkage survival rates. Over the period studied, 1997-2006, the tree shows a tendency to become more compact. This implies that global equity markets are increasingly interrelated. The consequence for global investors is a potential reduction of the benefits of international portfolio diversification.
Book Synopsis Multinationals and the Gains from International Diversification by : Patrick F. Rowland
Download or read book Multinationals and the Gains from International Diversification written by Patrick F. Rowland and published by . This book was released on 1998 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt: One possible explanation for home bias is that investors may obtain indirect international diversification benefits by investing in multinational firms rather than by investing directly in foreign markets. This paper employs mean-variance spanning tests to examine the diversification potential of multinational firms and foreign market indices for investors domiciled in Canada, France, Germany, Italy, Japan, the United Kingdom and the United States. We find that in most countries and most time periods, the portfolio of domestic stocks spans the risk and return opportunities of a portfolio that includes domestic and multinational stocks. However, there is weak evidence that U.S. multinationals provided global diversification benefits in the full 1984-92 sample and in the post-1987 subsample. We also find that the addition of foreign market indices to a domestic portfolio - inclusive of multinationals - provides diversification benefits. The economic importance of the shift of the portfolio frontier - measured as the utility gain from diversification - varies considerably from market to market and often reflects the benefits of large short positions in certain markets.
Book Synopsis STOCK MARKET BEHAVIOR AND INTEGRATION AMONG GLOBAL STOCK MARKETS - AN EMPIRICAL INVESTIGATION by : Arul Sulochana Y
Download or read book STOCK MARKET BEHAVIOR AND INTEGRATION AMONG GLOBAL STOCK MARKETS - AN EMPIRICAL INVESTIGATION written by Arul Sulochana Y and published by Faculty of Management Sciences. This book was released on 2022-07-28 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investors and researchers have been paying more attention to the emerging stock markets performance. Analysing stock market behaviour and stock market efficiency is important for investors because it allows the investors to understand the stock market behaviour better and consequently make more sensible choices. The investors can make above average profits through investments in different markets by taking advantage of any abnormalities when they occur. In the context of globalization and increasing opportunities to the investors to invest abroad, it is essential for the international portfolio investors from India to understand the level of interdependence among the major stock markets in the world and its impact on the Indian stock market.Efficiency in the domestic stock market has important implications for issuers of equity and portfolio investors. Furthermore, an efficient stock market can attract foreign portfolio investment, support domestic savings and improve the mobility of capital and financial resources. Market efficiency has an important bearing on fund managers and investment bankers and more specifically the investors who are seeking to diversify their portfolio internationally. With increased movement of investment across international boundaries due to the integration of world economies, understanding of global stock market efficiency is also gaining greater becoming more important.It is difficult for the foreign institutional investors to identify profitable markets during negative global cues. Framing an investment policy is difficult by considering native market behaviour alone. Stock market operations are dynamic in nature. newline.
Book Synopsis Firm-Level Evidenceon International Stock Market Comovement by : Mr.Marco Del Negro
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.
Book Synopsis Stock Market Integration and International Portfolio Diversification Between U.S. and ASEAN Equity Markets by : Rifqi Ardliansyah
Download or read book Stock Market Integration and International Portfolio Diversification Between U.S. and ASEAN Equity Markets written by Rifqi Ardliansyah and published by . This book was released on 2014 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper empirically analyzes stock market integration and the benefit possibilities of international portfolio diversification across the Southeast Asia (ASEAN) and U.S. equity markets. It employs daily sample of 6 ASEAN equity market indices and S&P 500 index as a proxy of U.S. market index from years 2001 to 2010. The paper examines the stock market return interdependence from three different perspectives which are 'long-term', 'short-term' and 'dynamic' perspectives. In order to investigate the long-run interdependencies, the Johansen-Juselius multivariate co-integration test and the bivariate Engle-Granger 2-step method were used. In respect to the short-run interdependencies, the Generalized Impulse Response Function (GIRF) and the Generalized Forecast Error Variance Decomposition (GFEVD) are employed. Finally, to assess the dynamic structure of equity market co-movements, the Dynamic Conditional Correlation (DCC) model is engaged. Results suggest that in the long-run, there are no potential benefits in diversifying investment portfolios across the ASEAN and U.S. market since there are evidences of cointegration among them. However, the potential benefits of international portfolio diversification can be seen throughout the short-run-period. Subsequently, the DCC findings suggest an overall proposition that by the end of 2010, most of the ASEAN markets do not share the U.S. stock price movement.
Book Synopsis The Gains From International Portfolio Diversification by : Riad Cheikh El Ghanama
Download or read book The Gains From International Portfolio Diversification written by Riad Cheikh El Ghanama and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis International Capital Flows by : Martin Feldstein
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.
Book Synopsis The Impact of Increasing Stock Market Integration on Expected Gains from International Portfolio Diversification by : Mohamed Arouri
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.
Book Synopsis Foreign Ownership of Stocks and Long-Run Interdependence Between National Housing and Stock Markets - Evidence from Finnish Data by : Elias Oikarinen
Download or read book Foreign Ownership of Stocks and Long-Run Interdependence Between National Housing and Stock Markets - Evidence from Finnish Data written by Elias Oikarinen and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Globalization of the financial markets may have undermined co-movement between stock and housing markets, at least in small open economies. This paper provides an empirical study on the long-term dynamic interrelation between stock and housing markets in a small open economy with special attention to the effect of foreign investors on the dynamics. The empirical findings, based on a quarterly dataset from Finland over 1970-2006, do not support the hypothesis of diminished co-movement between Finnish stock and housing markets after the abolishment of the foreign ownership restrictions of stocks in 1993. The markets still appear to be tightly interdependent in the long run. Nevertheless, the results suggest that the substantial growth in the foreign ownership of Finnish stocks induced a large and long-lasting deviation from the co-integrating long-run relation between stock and housing prices. The results also imply that diversification between stock and housing markets works the worse the longer the investment horizon is.
Book Synopsis The Rise in Comovement Across National Stock Markets by : Robin Brooks
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.
Book Synopsis International Portfolio Diversification by : Theodore Michael Johnson
Download or read book International Portfolio Diversification written by Theodore Michael Johnson and published by . This book was released on 1989 with total page 148 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Contemporary Studies of Risks in Emerging Technology by : Simon Grima
Download or read book Contemporary Studies of Risks in Emerging Technology written by Simon Grima and published by Emerald Group Publishing. This book was released on 2023-05-10 with total page 287 pages. Available in PDF, EPUB and Kindle. Book excerpt: With the rapid development of technologies, it becomes increasingly important for us to remain up-to-date on new and emerging technologies. This series, therefore, aims to deliver content on current and future technologies and how the young generation benefits from this.
Book Synopsis Are the Gains from Foreign Diversification Diminishing? by : Karen K. Lewis
Download or read book Are the Gains from Foreign Diversification Diminishing? written by Karen K. Lewis and published by . This book was released on 2012 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: How important is foreign diversification? In this paper, we re-examine this question motivated by findings from the literature about foreign companies that are listed on US exchanges. Specifically, domestic portfolios including cross-listed stocks can provide the same diversification as foreign market returns without the need for US investors to go abroad. At the same time, the betas of these foreign stock returns against the US market increase after cross-listing, suggesting diversification worsens over time. In this paper, we assess the impact of these changes on foreign diversification for a US investor. We test for and estimate breaks in the sensitivity of individual foreign stocks listed on US exchanges. We find that roughly half of the changes in betas arise from greater integration between the U.S. and the companies' home markets, not in the companies betas themselves. Moreover, the gains from diversifying into these stocks has declined over time -- National Bureau of Economic Research web site.
Book Synopsis Multinationals and the Gains from International Diversification by : Patrick F. Rowland
Download or read book Multinationals and the Gains from International Diversification written by Patrick F. Rowland and published by . This book was released on 2002 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt: One possible explanation for home bias is that investors may obtain indirect international diversification benefits by investing in multinational firms rather than by investing directly in foreign markets. This paper employs mean-variance spanning tests to examine the diversification potential of multinational firms and foreign market indices for investors domiciled in Canada, France, Germany, Italy, Japan, the United Kingdom and the United States. We find that in most countries and most time periods, the portfolio of domestic stocks spans the risk and return opportunities of a portfolio that includes domestic and multinational stocks. However, there is weak evidence that U.S. multinationals provided global diversification benefits in the full 1984-92 sample and in the post-1987 subsample. We also find that the addition of foreign market indices to a domestic portfolio - inclusive of multinationals - provides diversification benefits. The economic importance of the shift of the portfolio frontier - measured as the utility gain from diversification - varies considerably from market to market and often reflects the benefits of large short positions in certain markets.
Book Synopsis Stock Market Integration and the Pricing for Regionalism by : Chee Wooi Hooy
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:
