Similar Search Results

The Effect of the GFC (and Other Busts) on Portfolio Diversification Benefits

Hunt, Benjamin Francis - 2010

The paper examines the extent of impairment of asset diversification benefits during share market crashes with particular focus on the effects of the GFC. The analysis uses return data on ASX Twenty Leaders' stocks, from 1985 to 2009, to quantify the effect on diversification benefits of...

Persistent link: https://www.econbiz.de/10013149021

The changing role of emerging and frontier markets in global portfolio diversification

Pätäri, Eero; Ahmed, Sheraz; John, Elena; Karell, Ville - In: Cogent economics & finance 7 (2019) 1, pp. 1-23

Although the literature on the benefits of diversifying equity portfolios to emerging markets is abundant, the role of frontier markets in global equity portfolio diversification is clearly less examined. We contribute to the existing literature by examining three different, though closely...

Persistent link: https://www.econbiz.de/10014233132

Predictive directional measurement volatility spillovers between the US and selected Asian Pacific countries

Al-Hajieh, Heitham - In: Cogent economics & finance 11 (2023) 1, pp. 1-38

Kong and Singapore have a clear direction of a return to other stock markets, whereas China has a clear net recipient. The …

Persistent link: https://www.econbiz.de/10014500629

Diversification gains for a home biased trader in the emerging and frontier equity markets

Narayan, Seema; Srianathakumar, Sivagowry; Maheshwari, … - In: Bulletin of monetary economics and banking 24 (2021) 3, pp. 385-414

Persistent link: https://www.econbiz.de/10012664859

Down-side risk metrics as portfolio diversification strategies across the global financial crisis

Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Journal of risk and financial management : JRFM 9 (2016) 2, pp. 1-18

This paper features an analysis of the effectiveness of a range of portfolio diversification strategies, with a focus on down-side risk metrics, as a portfolio diversification strategy in a European market context. We apply these measures to a set of daily arithmetically-compounded returns, in...

Persistent link: https://www.econbiz.de/10011543960

Financial Exposure to the Euro Area Before and After the Crisis : Home Bias and Institutions at Home

Floreani, Vincent - 2015

This paper investigates whether global investors are over or under exposed towards the euro area and the role of home bias and institutions at home in shaping this exposure. According to a simple benchmark from standard portfolio theory, euro area investors - in particular those from euro area...

Persistent link: https://www.econbiz.de/10013020654

Return and volatility transmission between world-leading and Latin American stock markets : portfolio implications

Yousaf, Imran; Ali, Shoaib; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 13 (2020) 7/148, pp. 1-19

(USA and China) and four emerging Latin American stock markets over the global financial crisis of 2008 and the crash of …, the results indicate a unidirectional return transmission from China to the Brazil, Chile, Mexico, and Peru stock markets … stock markets. Furthermore, the volatility spillover is unidirectional from China to the Brazil stock market during the …

Persistent link: https://www.econbiz.de/10012309325

Global uncertainty and potential shelters : gold, bitcoin, and currencies as weak and strong safe havens for main world stock markets

Feder-Sempach, Ewa; Szczepocki, Piotr; Bogołębska, Joanna - In: Financial innovation : FIN 10 (2024), pp. 1-23

This article investigates fve safe-haven asset responses from 2014 to 2022, includ‑ ing the unprecedented COVID-19 crisis, Russian invasion of Ukraine, and sharp US inter‑ est rate increases of 2015 and 2022. We apply the unique approach of the multivariate factor stochastic volatility (MSV)...

Persistent link: https://www.econbiz.de/10014541628

When Love and Hate Collide : A Network Analysis of emotional contagion in Financial Markets

Alsharman, Muhamed; Fairchild, Richard J. - 2021

Emotional finance introduces the notion that financial markets may be driven by the co-existence of fully-rational and emotional investors, driven by phantasy. The analysis of emotional finance is informed with reference to a Freudian psychoanalytical framework. In this paper, we add to the...

Persistent link: https://www.econbiz.de/10013231810

Financial Market's Appetite for Risk : And the Challenge of Assessing its Evolution by Risk Appetite Indicators

Uhlenbrock, Birgit - 2016

Assessments of investors' risk appetite/aversion stance via indicators often yields results which seem unsatisfactory (see e.g. Illing and Aaron (2005)). Understanding how such indicators work therefore seems essential for further improvements. The present paper seeks to contribute to this...

Persistent link: https://www.econbiz.de/10012989257