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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

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

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

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

Volatility spillovers between oil prices and stock sector returns : implications for portfolio management

Arouri, Mohamed; Jouini, Jamel; Nguyen, Duc Khuong - In: Journal of international money and finance 30 (2011) 7, pp. 1387-1405

Persistent link: https://www.econbiz.de/10009407665

Cojumps and asset allocation in international equity markets

Arouri, Mohamed; M’saddek, Oussama; Nguyen, Duc Khuong; … - In: Journal of economic dynamics & control 98 (2019), pp. 1-22

Persistent link: https://www.econbiz.de/10012130688

Dependence of stock and commodity futures markets in China : implications for portfolio investment

Hammoudeh, Shawkat; Nguyen, Duc Khuong; Reboredo, Juan … - In: Emerging markets review 21 (2014), pp. 183-200

Persistent link: https://www.econbiz.de/10011304331

Oil prices, stock markets and portfolio investment : evidence from sector analysis in Europe over the last decade

Arouri, Mohamed; Nguyen, Duc Khuong - In: Energy policy 38 (2010) 8, pp. 4528-4539

Persistent link: https://www.econbiz.de/10008655083

Return and volatility transmission between world oil prices and stock markets of the GCC countries

Arouri, Mohamed; Lahiani, Amine; Nguyen, Duc Khuong - In: Economic modelling 28 (2011) 4, pp. 1815-1825

Persistent link: https://www.econbiz.de/10009272445