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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

Handbook of banking and finance in emerging markets

Nguyen, Duc Khuong (ed.) - 2022

"Emerging markets are increasingly facing significant challenges, from a slowdown in productivity, rising debt, and trade tensions to the adverse effects of proliferating global uncertainty on domestic financial systems. This incisive Handbook examines the ongoing dynamics of global financial...

Persistent link: https://www.econbiz.de/10013462761

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

An International CAPM for Partially Integrated Markets : Theory and Empirical Evidence

Arouri, Mohamed - 2019

This article proposes a theoretical testable ICAPM for partially segmented markets. We establish that if some investors do not hold all international assets because of implicit and/or explicit segmentation factors, the world market portfolio is not efficient and the classic ICAPM must be...

Persistent link: https://www.econbiz.de/10012905921

An International CAPM for Partially Integrated Markets : Theory and Empirical Evidence

Arouri, Mohamed - 2019

Persistent link: https://www.econbiz.de/10012905966

An International CAPM for Partially Integrated Markets : Theory and Empirical Evidence

Arouri, Mohamed El Hedi - 2012

This article proposes a theoretical testable capital asset pricing model for partially segmented markets. We establish that if some investors do not hold all international assets because of direct and/or indirect barriers, the world market portfolio is not efficient and the traditional...

Persistent link: https://www.econbiz.de/10013096112

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

Risk management in emerging markets : issues, framework, and modeling

Boubaker, Sabri (ed.); Buchanan, Bonnie G. (ed.); … - 2016

such as liquidity, tail dependence, comovement, contagion, and timescale interactions have thus to be part of an integrated …

Persistent link: https://www.econbiz.de/10012215570

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