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International capital flows, returns and world financial integration

Evans, Martin D. D.; Hnatkovska, Viktoria - In: Journal of international economics 92 (2014) 1, pp. 14-33

Persistent link: https://www.econbiz.de/10010438457

Optimization, cointegration and diversification gains from international portfolios : an out-of-sample analysis

Phengpis, Chanwit; Swanson, Peggy Eubanks - In: Review of quantitative finance and accounting 36 (2011) 2, pp. 269-286

Persistent link: https://www.econbiz.de/10009272498

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

Market segmentation and international diversification across country and industry portfolios

Umutlu, Mehmet; Yargı, Seher Gören; Zaremba, Adam - In: Research in international business and finance 65 (2023), pp. 1-21

Persistent link: https://www.econbiz.de/10014434054

Chapter 16 Are financial assets priced locally or globally?

Karolyi, G. Andrew; Stulz, René M. - 2003

premium depends on its covariance with the world market portfolio and, possibly, with exchange rate changes. The existing … empirical evidence shows that a country's risk premium depends on its covariance with the world market portfolio and that there … time-varying properties of correlations across countries. The home bias has the effect of increasing local influences on …

Persistent link: https://www.econbiz.de/10014023855