We investigate the role of information asymmetries and inflation hedging in shaping international equity portfolios. We confirm, in a multinational setting, Cooper and Kaplanis (1994) result of no inflation hedging motive driving investors' behavior and find evidence of a crucial role for...

The shift of perspective from a national basis to a Euro area basis, inevitably induced by EMU, has led member countries to a parallel shift from equity home bias to equity Euro bias. We interpret this evidence by means of a standard mean-variance portfolio selection model modified in order to...

This paper demonstrates that, after integration, equity portfolios of countries that joined the European Monetary Union have converged at faster rate than those of NON EMU countries. This outcome canbe interpreted as a combination of the convergence of inflation rates and the convergence of...

Capital flows in today’s arena is a hot topic attracting many researchers to do some contributions. International capital flows are rapidly increasing day by day with huge increases in volume of trade in equity and debt markets. This piece of work is an effort and a kind of approach in finding...

This paper examines the possible determinants for the sources of variations in ASEAN stock returns across financial crises. Using a comprehensive data of 4043 firms from six ASEAN countries and 40 industries, we find that lagged country return and concentration are among the determinants that...

1970’s financial liberalization has been followed by the liberalization of commercial markets in the process of globalization. Liberalization of financial markets has caused the acceleration of capital flows and the increase of their volume. Capital that flows to developing countries suffering...

We show that recent methodological advances in econometric theory raise questions about the results obtained by Lane and Milesi-Ferretti (LMF) in relation to the determinants of international investment patterns (International Investment Patterns, The Review of Economics and Statistics 2008; 90(3):...

This study compares the safe haven properties of asset classes of real estate (house, plot and residential), gold, dollar, and oil against equity returns in Pakistan for the period January 2011-December 2020. We employ the wavelet coherence to encapsulate the overall dependence and correlation...

This paper investigates whether foreign institutional investors in emerging markets can enhance shareholder value. We pay special attention to two dimensions of investor heterogeneity: whether an investor declares itself as an activist, and whether an investor comes from a country with a strong...

Wavelet coherence of time series provide valuable information about dynamic correlation and its impact on time scales. Here, we analyze the wavelet coherence of major real estate markets data. Our paper is the first to link co-movement in terms of wavelet coherence. Here we consider USA, Canada,...