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Author : Robert Vermeulen
Publisher :
ISBN 13 :
Total Pages : 33 pages
Book Rating : 4.:/5 (838 download)
Download or read book International Diversification During the Financial Crisis written by Robert Vermeulen and published by . This book was released on 2011 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Grace Lely
Publisher :
ISBN 13 :
Total Pages : 156 pages
Book Rating : 4.:/5 (222 download)
Download or read book The Relative Importance of Country and Industry Factors for International Diversification and Evidence from Financial Crisis in Asia written by Grace Lely and published by . This book was released on 2000 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mr.Nelson Camanho da Costa Neto
Publisher : International Monetary Fund
ISBN 13 : 1455254304
Total Pages : 25 pages
Book Rating : 4.4/5 (552 download)
Download or read book Did Export Diversification Soften the Impact of the Global Financial Crisis? written by Mr.Nelson Camanho da Costa Neto and published by International Monetary Fund. This book was released on 2011-05-01 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study considers the role of export diversification in determining trade outcomes during the global financial crisis. The impact of export diversification (or concentration) is measured by assessing three different dimensions of specialization. First, concentration by geographic destination is considered; that is, whether the bulk of exports from a country go to many or few trading partners. Second, industry/sectoral concentration is considered; that is, whether a country’s exports are scattered across many industries and sectors, or concentrated in just a few. Third, product concentration is considered; that is, whether countries produce many products within their export sectors or just a few. The workhorse gravity trade model is adapted with trade diversification as an additional trade cost, and the model solution is empirically tested on a dataset containing over 500 thousand observations for Latin America. Industry and product concentration are found to significantly affect the resilience of Latin American countries’ trade during the global financial crisis - increasing the diversity of both export sectors and export products within sectors by one standard deviation reduces the quarterly decline in exports by approximately 4.7 percent. Diversifying exports across many different trading partners is not found to significantly affect outcomes.
Author : Daniel Moreno de Liche
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (83 download)
Download or read book International Diversification and Systematic Risk of Large European Banks written by Daniel Moreno de Liche and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis empirically analyzes international diversification as a determinant of systematic risk of large European banks. This is done by using two newly introduced proxies for international diversification; the number of foreign countries with subsidiary (NFMS) and the number of high growth markets with subsidiary (NHGMS), in addition to the classic variables of the ratios of foreign assets to total assets (FATA) and foreign sales to total sales (FSTS). Furthermore, in order to account for different economic contexts, the assessment is done over two consecutive periods covering two different economic cycles. On the one hand is the period from 2003 to mid-2007, in which the European market experienced a growth phase. On the other hand is the period after the outbreak of the financial crisis from mid-2007 to 2010, in which the European market in general and banks in particular struggled with the adverse market conditions. The different variables lead to different results. The results of FATA and FSTS suggest a positive correlation between international diversification and systematic risk in both periods, whereas those of NFMS and NHGMS indicate the opposite effect. Especially in the period of crisis, the results of the NFMS proxy suggest that large European banks were able to reduce their systematic risk by diversifying internationally. The NHGMS does not confirm an additional systematic risk reducing effect of diversification in high growth markets. Whereas FATA and FSTS mainly capture the degree of international involvement, the NFMS and NHGMS seem to be superior in measuring international diversification.
Author : Lukasz Prorokowski
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (921 download)
Download or read book International Portfolio Diversification in the Warsaw Stock Market During the Financial Crisis written by Lukasz Prorokowski and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis investigates issues relating to international portfolio diversification from the perspective of the Polish stock market in the context of the financial crisis. Beginning with an outline of the functioning of the Polish stock market, the first contribution of the thesis is to consider the risks, benefits and opportunities in this market. Within this context, trading strategies are considered with an emphasis on the impact on risk reduction or return enhancement of initial public offerings. Second, the thesis provides a model which may be relevant for measuring trend durations in equity prices. A third element of the thesis considers the influence of spill-over effects (from the financial crisis) on equity investments in Poland, incorporating country and industry specific factors. Finally, the thesis considers financial crisis contagion and policies that may be relevant for practitioners.
Author : Mohammed Humayun Kabir
Publisher :
ISBN 13 :
Total Pages : 208 pages
Book Rating : 4.:/5 (571 download)
Download or read book International Diversification with American Depository Receipts, Financial Crises and the U.S. Financial Services Industry written by Mohammed Humayun Kabir and published by . This book was released on 2004 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ghulam Ali
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Portfolio Diversification and the Role of Global Financial Crisis written by Ghulam Ali and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this study was to examine the impact of Global Financial crises on intertwining relationship among Asian, European, and American equity markets. Weekly data of 33 major stock indices was analyzed from 1 January, 2000 to 10th September, 2010. Markets were divided into three groups to measure the impact of crises on co-movement by applying Rotated Factor Analysis technique. Results of the analysis revealed that American and Asian markets demonstrated a linear interaction. However, behavior of European markets not stayed similar and significant in the period of pre- and post-financial crisis.
Author : Luis Alberto Baca
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.:/5 (961 download)
Download or read book Managing Risk written by Luis Alberto Baca and published by . This book was released on 2016 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis looks at some of the different ways risk is measured in the financial markets and traces the evolution of the autoregressive conditional heteroskedasticity (ARCH) class of models. In addition, this thesis proposes a new way to manage risk using international diversification by comparing the risk characteristics of United States headquartered companies based on whether they earn the majority of their revenue domestically or internationally and indices that track both the United States market and global markets. Furthermore, these risk characteristics are studied over three different periods-the pre-financial crisis period, financial crisis period, and post-financial crisis period, which gives the added benefit of studying how risk changes during times of extreme market stress. Ultimately, the companies that generated significant revenue from overseas performed better on the majority of the measures analyzed, especially during the financial crisis.
Author : Jamie Alcock
Publisher : John Wiley & Sons
ISBN 13 : 1119289025
Total Pages : 428 pages
Book Rating : 4.1/5 (192 download)
Download or read book Asymmetric Dependence in Finance written by Jamie Alcock and published by John Wiley & Sons. This book was released on 2018-02-13 with total page 428 pages. Available in PDF, EPUB and Kindle. Book excerpt: Avoid downturn vulnerability by managing correlation dependency Asymmetric Dependence in Finance examines the risks and benefits of asset correlation, and provides effective strategies for more profitable portfolio management. Beginning with a thorough explanation of the extent and nature of asymmetric dependence in the financial markets, this book delves into the practical measures fund managers and investors can implement to boost fund performance. From managing asymmetric dependence using Copulas, to mitigating asymmetric dependence risk in real estate, credit and CTA markets, the discussion presents a coherent survey of the state-of-the-art tools available for measuring and managing this difficult but critical issue. Many funds suffered significant losses during recent downturns, despite having a seemingly well-diversified portfolio. Empirical evidence shows that the relation between assets is much richer than previously thought, and correlation between returns is dependent on the state of the market; this book explains this asymmetric dependence and provides authoritative guidance on mitigating the risks. Examine an options-based approach to limiting your portfolio's downside risk Manage asymmetric dependence in larger portfolios and alternate asset classes Get up to speed on alternative portfolio performance management methods Improve fund performance by applying appropriate models and quantitative techniques Correlations between assets increase markedly during market downturns, leading to diversification failure at the very moment it is needed most. The 2008 Global Financial Crisis and the 2006 hedge-fund crisis provide vivid examples, and many investors still bear the scars of heavy losses from their well-managed, well-diversified portfolios. Asymmetric Dependence in Finance shows you what went wrong, and how it can be corrected and managed before the next big threat using the latest methods and models from leading research in quantitative finance.
Author : Sungyong Chang
Publisher :
ISBN 13 :
Total Pages : 53 pages
Book Rating : 4.:/5 (13 download)
Download or read book Global Diversification Discount and Its Discontents written by Sungyong Chang and published by . This book was released on 2018 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: The documented discount on globally diversified firms is often cited, but a correlation is not per se evidence that global diversification destroys firm value. Firms choose to globally diversify based on their firm attributes, some of which may be unobservable. Given these exogenous firm attributes, the decision to diversify globally is endogenous and self-selected. Using the same specifications save for the Heckman selection instrument, our results contradict past research that did not address endogeneity. We posit that the global premium should reflect the value of multinational operating flexibility. We use the 2008-2009 financial crisis as creating exogenous variation to permit a test for the positive change in firm valuation due to global diversification. During the 2008-2009 financial crisis, the premium associated with global diversification became larger and more significant than before the 2008-2009 financial crisis. The churn of subsidiaries entering and exiting countries increased during the crisis, pointing to the value of an operating flexibility to restructure the geography of the multinational network. In all, the results contradict past findings and provide evidence that operating flexibility is more valued during times of high volatility, thus generating the diversification premium.
Author : Priyanka Bhattarai
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.:/5 (926 download)
Download or read book United States Equity Mutual Funds and International Diversification written by Priyanka Bhattarai and published by . This book was released on 2015 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the United States equity mutual funds to understand the existence of home bias in their portfolios through institutional and behavioral factors. This home bias contradicts the Modern Portfolio Theory, which attempts to maximize portfolio expected return for a given amount of portfolio risk or equivalently minimize risk for a given level of expected return, by bringing a variation in the kind of assets included in the portfolio. Thus, I argue that the home bias keeps mutual fund portfolios from the benefits that international diversification brings with it. For this, I have collected data of top performing domestic and global mutual funds through Morning Star and Bloomberg that allows me to look into their performance and risk pattern from 2005-2014. The results show domestic equity mutual funds acquiring higher returns accompanied by higher volatility in most time period, but the global funds have outperformed them in the times of financial crisis and during the most recent years. Thus, through research on available financial literature and data analysis I emphasize the importance of international diversification that would lower non-systematic risks in equity mutual fund portfolios and allow them to perform better in times of domestic financial crisis. JEL Classifications: C12, G01, G11.
Author : Mr.Garry J. Schinasi
Publisher : International Monetary Fund
ISBN 13 : 1451855796
Total Pages : 39 pages
Book Rating : 4.4/5 (518 download)
Download or read book Portfolio Diversification, Leverage, and Financial Contagion written by Mr.Garry J. Schinasi and published by International Monetary Fund. This book was released on 1999-10-01 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: Models of “contagion” rely on market imperfections to explain why adverse shocks in one asset market might be associated with asset sales in many unrelated markets. This paper demonstrates that contagion can be explained with basic portfolio theory without recourse to market imperfections. It also demonstrates that “Value-at-Risk” portfolio management rules do not have significantly different consequences for portfolio rebalancing and contagion than other rules. The paper’s main conclusion is that portfolio diversification and leverage may be sufficient to explain why investors would find it optimal to sell many higher-risk assets when a shock to one asset occurs.
Author : Oussama M'saddek
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (115 download)
Download or read book Essays in International Finance written by Oussama M'saddek and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of an introductory chapter and three empirical studies that contribute to the international finance literature by investigating the dynamics of cojumps between major equity markets and assessing their impact on international portfolio allocation and asset pricing. The first study aims to examine the impact of cojumps between international stock markets on asset holdings and portfolio diversification benefits. Using intraday index-based data for exchange-traded funds (SPY, EFA and EEM) as proxies for international equity markets, we document evidence of significant intraday cojumps, with the intensity increasing during the global financial crisis of 2008-2009. The application of the Hawkes process also shows that jumps propagate from the US and other developed markets to emerging markets. However, the evidence of jump spillover from emerging markets to developed markets is weak. To assess the impact of cojumps on international asset holdings, we consider a representative American investor who allocates his wealth among one domestic risky asset, the SPY fund, and two foreign risky assets, the EFA and EEM funds and compute the optimal portfolio composition from the US investor perspective by minimizing the portfolio's risk. We find that the demand of foreign assets is negatively correlated to jump correlation, implying that a domestic investor will invest less in foreign markets when the frequency of cojumps between domestic and foreign assets increases. In contrast, idiosyncratic jumps are found to increase the diversification benefits and foreign asset holdings in international equity portfolios.The second study tackles the issue of pricing of both continuous and jump risks in the cross-section of international stock returns. We contribute to the literature on international asset pricing by considering a general pricing framework involving six separate market risk factors. We first decompose the systematic market risk into intraday and overnight components. The intraday market risk includes both continuous and jump parts. We then consider the asymmetry and size effects of market jumps by separating the systematic jump risk into positive vs. negative and small vs. large components. Using the intraday data of a set of country exchange traded funds covering developed, emerging and frontier markets, we show that continuous and downside discontinuous risks are positively rewarded in the cross-section of expected stock returns during the pre-financial crisis period whereas the upside and large jump risks are negatively priced during the crisis and post-crisis periods.The third study examines how international equity markets respond to aggregate market jumps at price and volatility levels. Using intraday data of ten exchange-traded funds covering major developed and emerging markets and two international market volatility indices (VIX and VXEEM), we show that both price and volatility jump betas are time-varying and exhibit asymmetric effects across upside and downside market movements. Looking at the relation between future stock market returns and aggregate market price and volatility jumps, we measure the proportion of future excess returns explained by market price and volatility jumps and provide evidence of a significant predictive power that market price and volatility jumps have on future stock returns.
Author : Dimitrios V. Siskos
Publisher :
ISBN 13 :
Total Pages : 15 pages
Book Rating : 4.:/5 (129 download)
Download or read book International Portfolio Prospects and Concerns written by Dimitrios V. Siskos and published by . This book was released on 2020 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt: The recent financial crisis amplifies the need for an updated and more universal investment strategy for both individuals and corporate investors. Diversification satisfies that condition, as it provides access to different economies operating in different countries while, simultaneously, it spreads the risk across different asset allocation. However, to benefit the advantages of a diversified portfolio, a sophisticated decision making process and appeal to re-planning are required. Otherwise, international investors have to face the consequences of political-country risk and currency risk. The goal of this research is to correlate the benefits of diversification with risk undertaking for either individual or corporate investors. The main conclusion is that investors should engage in international diversification, eliminating home country bias where investors prefer to invest in their own domestic environment (Maniam et al, 2005). In addition, the paper finds that the optimal portfolio is not static and its benefits vary across different types of markets included in portfolios.
Author : Martin Feldstein
Publisher : University of Chicago Press
ISBN 13 : 0226241807
Total Pages : 500 pages
Book Rating : 4.2/5 (262 download)
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.
Author : Kimsun Tong
Publisher :
ISBN 13 :
Total Pages : 25 pages
Book Rating : 4.:/5 (871 download)
Download or read book The Role of Income Diversification During the Global Financial Crisis written by Kimsun Tong and published by . This book was released on 2013 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Beini Guo
Publisher :
ISBN 13 :
Total Pages : 31 pages
Book Rating : 4.:/5 (129 download)
Download or read book China-Africa Stock Market Linkages and the Global Financial Crisis written by Beini Guo and published by . This book was released on 2020 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we investigate the long-run linkages and short-run dynamics among China and five major African stock markets (South Africa, Morocco, Egypt, Nigeria and Kenya), with emphasis on the impact of the global financial crisis on the linkages and transmission mechanisms. In the pre-crisis and crisis era, we find convincing linkages among the stock markets, evidenced by the presence of co-integration and stronger dynamic price transmission. Our results show that the influence of China on the African stock markets became more noticeable during the crisis. Interestingly, after the crisis, the co-integration was lost as the China-Africa stock market linkages became significantly weakened. The influence of China on Africa's stock markets - which was not in doubt prior to and during the crisis - became eroded after the crisis. Thus, our results suggest that Africa's major stock markets have become less connected with China's stock market post crisis, even though China's trade and other economic influence on Africa has grown - an outcome we attribute to a possible disconnect between Africa's real economy and stock markets. Meanwhile, the decoupling of African and Chinese stock markets in the post crisis period suggests that gains from international diversification exist in Africa for portfolio investors and asset managers with nontrivial exposure to China.
