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Private information, human capital, and optimal “home bias” in financial markets

Ehrlich, Isaac; Shin, Jong Kook; Yin, Yong - 2011

By allowing for imperfectly informed markets and the role of private information, we offer new insights about observed deviations of portfolio concentrations in domestic relative to foreign risky assets, or "home bias", from what standard finance models predict. Our model ascribes the "bias" to...

Persistent link: https://www.econbiz.de/10009516904

Inter-markets volatility spillover in U.S. bitcoin and financial markets

Qarni, Muhammad Owais; Gulzar, Saqib; Fatima, Syeda Tamkeen - In: Journal of business economics and management 20 (2019) 4, pp. 694-714

This paper investigates the volatility spillover dynamics between U.S. Bitcoin and financial markets from July 19, 2010 to December 29, 2017. Diebold and Yilmaz (2012) volatility spillover index, Barunik, Kocenda, and Vacha (2017) Spillover Asymmetry Measure, and Barunik and Krehlik (2018)...

Persistent link: https://www.econbiz.de/10012175787

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

Foreign under-investment in US securities and the role of relational capital

Michael, Bryane - 2015

securities. We also estimate "pent-up" demand for US securities in developing countries -- like China, Argentina, Turkey and …

Persistent link: https://www.econbiz.de/10010515955

Wealth Heterogeneity, Information Acquisition and Equity Home Bias : Evidence from U.S. Household Surveys of Consumer Finance

Carpio, Ronaldo - 2018

The well-known equity home bias has two components: an extensive and intensive margin. Using U.S. household portfolio data, we find that the decision to participate in foreign stock markets depends on investor's wealth, with richer investors more likely to participate (the extensive margin). We...

Persistent link: https://www.econbiz.de/10012927543

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

Portfolio diversification benefits between financial markets of the US and China : empirical evidence from two alternative methods

Hatemi-J, Abdulnasser; Taha, Viyan - In: Economia internazionale 74 (2021) 4, pp. 537-546

Persistent link: https://www.econbiz.de/10013164508

Stock Market Integration and International Portfolio Diversification between U.S. and ASEAN Equity Markets

Ardliansyah, Rifqi - 2014

The paper empirically analyzes stock market integration and the benefit possibilities of international portfolio diversification across the Southeast Asia (ASEAN) and U.S. equity markets. It employs daily sample of 6 ASEAN equity market indices and S&P 500 index as a proxy of U.S. market index...

Persistent link: https://www.econbiz.de/10013065264

Diversification, integration and cryptocurrency market

Anyfantaki, Sofia; Arvanitis, Stelios; Topaloglou, Nikolas - 2018

Persistent link: https://www.econbiz.de/10011855663

Selection in asset markets : the good, the bad, and the unknown

Bottazzi, Giulio; Dindo, Pietro - 2011

We provide simple examples to illustrate how wealth-driven selection works in asset markets. Our examples deliver both good and bad news. The good news is that if individual assets demands are expressed as a fractions of wealth to be invested in each asset, e.g. because traders maximize an...

Persistent link: https://www.econbiz.de/10009009683