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What drives international stock return comovements?

Zhang, Bohui - 2020

This paper presents new evidence on international financial market integration using stock analyst earnings forecasts from 37 countries. By examining cash flow and discount rate news co-movements, we find that the financial and economic aspects of global market integration have diverged over...

Persistent link: https://www.econbiz.de/10012320303

Islamic capital market integration and asymmetric information: a study in the five ASEAN countries from the post-global financial crisis

Qizam, Ibnu - In: Verslas : teorija ir praktika : Vilniaus Gedimino … 22 (2021) 1, pp. 121-132

results confirm an interplay between a modern portfolio theory, Efficient Market Hypothesis (EMH), contract theory, and … general economic theory, and also provide new insights for stakeholders in investment decisions and strategies, cross …

Persistent link: https://www.econbiz.de/10012503437

Assessing portfolio vulnerability to systemic risk : a vine copula and APARCH-DCC approach

Mba, Jules Clement - In: Financial innovation : FIN 10 (2024), pp. 1-36

This study evaluates the sensitivity and robustness of the systemic risk measure, Conditional Value-at-Risk (CoVaR … the vine copula and APARCH-DCC in assessing portfolio systemic risk. This advanced approach provides nuanced insights into … strengthening risk management practices. Future research could explore the sensitivity of the CoVaR to diferent weighting schemes …

Persistent link: https://www.econbiz.de/10014532413

Tail risk transmission : a study of the Iran food industry

Mojtahedi, Fatemeh; Mojaverian, Seyed Mojtaba; … - In: Risks : open access journal 8 (2020) 3/78, pp. 1-17

This paper extends the extreme downside correlation (EDC) and extreme downside hedge (EDH) methodology to model the … interdependence in the sensitivity of assets to the downside risk of other financial assets under severe firm-level and market … the "transmitters" and "receivers" of downside risk. We study the return series of 11 companies and the Food Industry …

Persistent link: https://www.econbiz.de/10012293248

An empirical study of the impact of the Euro on cross-country diversification

Diro Ejara, Demissew; Upadhyaya, Kamal Prasad - In: Economies : open access journal 12 (2024) 1, pp. 1-21

The euro was launched, on 1 January 1999, as a common currency for members of the European Union that complied with the Maastricht Treaty. The Maastricht Treaty calls for the coordination of major macroeconomic policies, such as inflation, budget balance, public debt, and long-term interest...

Persistent link: https://www.econbiz.de/10014496391

Frontier-market economies as a new group of the financial periphery : patterns and transmission channels of global shocks

Prates, Daniela Magalhães; Fritz, Barbara; Paula, Luiz … - In: European journal of economics and economic policies : … 20 (2023) 2, pp. 282-298

This paper seeks to fill a gap in the literature on frontier market economies (FMEs) with the following two research questions: (i) Which are the drivers of FMEs' integration into financial globalisation? (ii) What explains the greater vulnerability of FMEs compared to emerging market economies...

Persistent link: https://www.econbiz.de/10014433727

International financial integration : too much?

Taşdemir, Fatma - In: Borsa Istanbul Review 23 (2023) 2, pp. 402-411

According to theory, financial openness (FO) increases growth. The literature often conditions the growth effect of FO …

Persistent link: https://www.econbiz.de/10014307771

Impact of COVID-19 on long run and short run financial integration among emerging Asian stock markets

Bhardwaj, Nikhil; Sharma, Nishi; Mavi, Anupreet Kaur - In: Business, mangagement and economics engineering : BMEE 20 (2022) 2, pp. 189-206

the absence of integration indicates an ample opportunity for risk minimization through international diversification of …

Persistent link: https://www.econbiz.de/10013361279

Bivariate copula trees for gross loss aggregation with positively dependent risks

Wójcik, Rafał; Liu, Charlie Wusuo - In: Risks : open access journal 10 (2022) 8, pp. 1-24

insurance portfolio. Hierarchical risk aggregation is performed using bivariate copula trees. Six common parametric copula … is a measure of positive dependence through variance of the aggregate risk. During gross loss accumulation, the marginals …

Persistent link: https://www.econbiz.de/10013368496

Modeling portfolio credit risk taking into account the default correlations using a copula approach : implementation to an Italian loan portfolio

Di Clemente, Annalisa - In: Journal of risk and financial management : JRFM 13 (2020) 6/129, pp. 1-23

This work aims to illustrate an advanced quantitative methodology for measuring the credit risk of a loan portfolio … the portfolio. The analytical approach used for estimating the portfolio credit risk is a binomial type based on a Monte … contributions of each obligor to the overall risk of the loan portfolio in terms of Expected Shortfall (ES), a risk measure more …

Persistent link: https://www.econbiz.de/10012309082