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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

Emerging equity markets in a globalized world

Bekaert, Geert; Harvey, Campbell R.; Mondino, Tomas - In: Emerging markets review 56 (2023), pp. 1-24

Persistent link: https://www.econbiz.de/10014478638

World gold prices and stock returns in China : insights for hedging and diversification strategies

Arouri, Mohamed; Lahiani, Amine; Nguyen, Duc Khuong - In: Economic modelling 44 (2015), pp. 273-282

Persistent link: https://www.econbiz.de/10011326226

Dissecting investment strategies in the cross section and time series

Baz, Jamil; Granger, Nicolas; Harvey, Campbell R.; Le … - 2015

We contrast the time-series and cross-sectional performance of three popular investment strategies: carry, momentum and value. While considerable research has examined the performance of these strategies in either a directional or cross-asset settings, we offer some insights on the market...

Persistent link: https://www.econbiz.de/10012822381

Is Sector-neutrality in Factor Investing a Mistake?

Ehsani, Sina; Harvey, Campbell R.; Li, Feifei - 2022

Stock characteristics have two sources of predictive power. First, a characteristic might be valuable in identifying high or low expected returns across industries. Second, a characteristic might be useful in identifying individual stock expected returns within an industry. Past studies...

Persistent link: https://www.econbiz.de/10013321780

Handbook of global financial markets : transformations, dependence, and risk spillovers

Boubaker, Sabri (ed.); Nguyen, Duc Khuong (ed.) - 2019

contagion effects; financial uncertainty and volatility; role of emerging financial markets in the global economy; role of …pt. I. Global Stock markets: dynamic linkages, shock transmission, and contagion. ch. 1. International stock markets …. Brexit and contagion in global financial markets ; ch. 4. Ontology-driven framework for stock market monitoring and …

Persistent link: https://www.econbiz.de/10012643533

Conditional Asset Allocation in Emerging Markets

Harvey, Campbell R. - 1994

Within the context of conditional asset allocation strategies, this paper explores the implications of the low correlations of the emerging market returns with developed market returns and the relatively high degree predictability of emerging countries' returns. It is well known that low...

Persistent link: https://www.econbiz.de/10012474311

Conditional Asset Allocation in Emerging Markets

Harvey, Campbell R. - 2010

Persistent link: https://www.econbiz.de/10012763465

Dynamic global linkages of the brics stock markets with the United States and Europe under external crisis shocks : implications for portfolio risk forecasting

Hammoudeh, Shawkat; Kang, Sang Hoon; Mensi, Walid; … - In: The world economy : the leading journal on … 39 (2016) 11, pp. 1703-1727

Persistent link: https://www.econbiz.de/10011584204

Cross-market dynamics and optimal portfolio strategies in Latin American equity markets

Arouri, Mohamed; Lahiani, Amine; Nguyen, Duc Khuong - In: European business review : EBR ; the official journal … 27 (2015) 2, pp. 161-181

Persistent link: https://www.econbiz.de/10011299632