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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
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International diversification during the financial crisis : a blessing for equity investors?
Vermeulen, Robert - In: Journal of international money and finance 35 (2013), pp. 104-123
Persistent link: https://www.econbiz.de/10009751746
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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
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Equity markets risks and returns : implications for global portfolio capital flows during pandemic and crisis periods
Dziuba, Pavlo; Pryiatelchuk, Olena; Rusak, Denys - In: Baltic Journal of Economic Studies 7 (2021) 3, pp. 97-108
Persistent link: https://www.econbiz.de/10012616041
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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
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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
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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
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International Diversification During the Financial Crisis : A Blessing for Equity Investors?
Vermeulen, Robert - 2011
This paper empirically investigates international equity investors' foreign portfolios before and during the financial crisis by estimating a gravity model for 22 source and 42 destination countries. The results show that international stock market diversification provides large gains during the...
Persistent link: https://www.econbiz.de/10013117548
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International Portfolio Diversification Benefits in Periods of Crises
Bouslama, Ons - 2012
benefits only when combined with developed markets. Our results highlight the importance of the USA, Jordan and Nigeria indexes …
Persistent link: https://www.econbiz.de/10013113980
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Co-movement, spillovers and excess returns in global bond markets
Byrne, Joseph P.; Cao, Shuo; Korobilis, Dimitris - 2015
Persistent link: https://www.econbiz.de/10011318315